AQR Managed Futures Strategy Fund
Actively managed U.S. stock fund
As of its 2026 Q2 report, AQR Managed Futures Strategy Fund held 1,730 positions with $3.20B in net assets. Its ten largest holdings made up 51.3% of the fund. The AQMIX share class costs 3.09% a year. Over the 12 months to May 2026, AQMIX returned 23.7%, with dividends reinvested. In 2026 Q2 it added 222 new positions and exited 299.
The AQR Managed Futures Strategy Fund (the Fund) seeks positive absolute returns. As further described under Details About the AQR Managed Futures Strategy Fund in the Funds prospectus, a positive absolute return seeks to earn a positive total return over a reasonable period of time regardless of market conditions or general market direction.
The fund pursues positive absolute returns by taking long and short positions across hundreds of futures contracts, forwards, swaps and related instruments spanning commodities, currencies, equities and fixed income, using a systematic quantitative process that assesses price trends and fundamental data to identify opportunities in individual instruments and combinations of them. The fund targets annualized volatility between 5% and 13% but employs leverage that can result in instruments providing three to four times the net return of a broad- or narrow-based securities index, meaning returns over periods longer than one day will not equal that multiple of index returns. The fund obtains commodity exposure through a wholly-owned subsidiary into which it may invest up to 25% of total assets. Leverage magnifies both gains and losses, and a sharp decline in assets could force liquidation of positions at unfavorable times.
What you own
| Company | Weight | Value | Shares |
|---|---|---|---|
Limited Purpose Cash Investment Fund | 15.15% | $485.44M | — |
United States of America | 8.47% | $271.53M | — |
United States of America | 6.83% | $218.90M | — |
United States of America | 4.18% | $133.93M | — |
United States of America | 3.23% | $103.47M | — |
United States of America | 2.91% | $93.17M | — |
United States of America | 2.77% | $88.94M | — |
United States of America | 2.76% | $88.46M | — |
United States of America | 2.64% | $84.71M | — |
United States of America | 2.40% | $76.88M | — |
The 200 largest of 1,730 holdings, with the share counts as filed, open with a free account.
What the fund is made of
Percentages are of fund net assets. Rounding, liabilities and short positions can make totals differ from 100%.
| Cash & short-term | 73.52% |
| Other | 0.52% |
| Stocks | 0.12% |
| Derivatives | -0.56% |
These positions come to 73.60% of net assets. Not everything a fund owns is reported as a holding — uninvested cash is collected at fund level instead — so the total is not expected to reach 100%.
The outer band is exposure held short — written against the portfolio rather than part of it, which is why it sits outside the ring and why the two are never netted into one figure.
Derivatives are shown at market value, not notional exposure.
By sector
- Cash
- 45.2%
- International
- 21.7%
- Industrials
- 6.3%
- Information Technology
- 5.7%
- 10 other sectors
- 21.1%
- Cash
- 45.2%
- International
- 21.7%
- Industrials
- 6.3%
- Information Technology
- 5.7%
- Financials
- 4.7%
- Consumer Discretionary
- 4.1%
- Health Care
- 4.0%
- Consumer Staples
- 1.9%
- Real Estate
- 1.5%
- Materials
- 1.4%
- Utilities
- 1.3%
- Communication Services
- 1.1%
- Other
- 0.6%
- Energy
- 0.5%
How it has done
AQMIX share class · total returns with dividends reinvested
Volatility over the last 12 months: 6.31%. Past returns are a record, not a forecast.
Jun 2026 has been filed since the trailing figures were struck, so it is not in the table above or the curve — every figure here shares one cut-off, which is what makes them comparable with other funds.
The 3 share classes hold the same portfolio
| Share class | Expense ratio | 1 year | 3 years | 5 years | Worst fall |
|---|---|---|---|---|---|
| 3.09% | +23.72% | +37.86% | +80.03% | -10.49% | |
| 3.39% | +23.34% | +36.83% | +77.75% | -10.61% | |
| 3.01% | +23.88% | +38.26% | +80.79% | -10.47% |
These classes hold the same portfolio, so the 3.04pp spread over 5 years is the cost difference between them — roughly 0.61pp a year — not a difference in what they own.
Fees & fund details
AQR Managed Futures Strategy Fund is an actively managed U.S. equity fund.
- Asset class
- Equity
- Region
- United States
- Management
- Actively managed
- Fund type
- Open-end fund
- Features
- Leveraged
- Expense ratio, by class
- 3.01% – 3.39%· AQMIX 3.09%
- Portfolio turnover
- 412.00% a year · as of 2026 Q2
Turnover is how much of the portfolio was replaced in a year.
Classified from what the fund holds, not from its name · 2026 Q2. The summary is a paraphrase of the prospectus; the objective is verbatim.
What changed this quarter
Positions that entered or left the fund since its previous filing. Positions that were only resized are not listed.
222 new· the largest 1
299 exited· the largest 1
Debt profile
What this fund holds — value-weighted across its bond and securitized long positions · as of 2026-06-30
Based on what filers reported; a filer that never reported a flag also reads as none.
Risk profile
Interest-rate and credit-spread sensitivity, both in years · as of 2026Q2
This fund carries a net credit hedge: it would gain roughly ≈ 0% if credit spreads widened 100bp, where a comparable bond fund would lose.
Share of the fund's spread duration carried by each credit tier.
| Investment grade | +0.04 yr |
| High yield | -0.04 yr |
Share of duration at each point, shortest first. This filer signs its rate and credit disclosures differently; the direction shown follows its interest-rate filing, and a negative reading is the least-supported figure here.
| 1 yr | 3.23 yr | 51% |
| 5 yr | 2.10 yr | 33% |
| 10 yr | 1.02 yr | 16% |
3 mo and 30 yr are NEGATIVE (-0.04 yr, -0.08 yr) — a deliberate hedge at that point on the curve, so they are not part of the band above.
| 10 yr | 0.20 yr | 100% |
1 yr and 5 yr are NEGATIVE (-0.00 yr, -0.20 yr) — a deliberate hedge at that point on the curve, so they are not part of the band above.
The two bands measure the same positions against different shocks and do not add — a Treasury carries rate duration and no spread duration, a floating-rate credit the reverse. Rate tenors are also summed across every currency the fund discloses.
Show the numbers
| Tenor | Rate yrs | IG yrs | HY yrs | IG $/bp | HY $/bp |
|---|---|---|---|---|---|
| 3 mo | -0.04 | +0.00 | +0.00 | $0 | $0 |
| 1 yr | +3.23 | -0.00 | -0.00 | -$469 | -$95 |
| 5 yr | +2.10 | -0.16 | -0.04 | -$50.1k | -$13.6k |
| 10 yr | +1.02 | +0.20 | +0.00 | $63.4k | $0 |
| 30 yr | -0.08 | +0.00 | +0.00 | $0 | $0 |
Dollar change per 1bp of spread movement, as filed and sign-anchored. A blank cell was not filed; a zero was.
Duration contribution in years, summing to the fund's 6.23 yr.
This is where the fund's rate exposure sits, not its currency risk — most international bond funds hedge the currency back to dollars, and the size of those hedges is not in the filing. Tenors are also summed across curves, so a 5-year JPY point and a 5-year USD point are added together.
Understand how this fund fits with the rest.
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