AQR Managed Futures Strategy Fund
AQR Funds · 3 share classes
Fund classification
Classified from what the fund holds · as of 2026 Q2
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
Fund profile
As filed in the prospectus · 2026 Q2
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.
| Share class | Expense ratio |
|---|---|
| AQMIX | 3.09% |
| AQMNX | 3.39% |
| AQMRX | 3.01% |
Portfolio turnover 412.00% · as of 2026 Q2
Allocation
Asset groups · long / short shown separately, never netted · 2026 Q2
| 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.
Sector allocation
The same holdings as Allocation above, grouped by market sector instead of asset type · as of 2026 Q2
| Cash | 45.2% |
| International | 21.8% |
| Industrials | 6.3% |
| Information Technology | 5.7% |
| 10 smaller | 21.1% |
Government, Securitized and Cash are non-corporate buckets; International is foreign holdings we don’t sector-classify, and Other is the residual (held funds, unresolved names).
Latest quarter
What changed since the fund's previous filing
Largest new: United States of America ×8
Largest exited: United States of America ×8
Return profile
Total return as filed — price change plus distributions reinvested · trailing figures to Apr 2026
| Share class | 1-year | 3-year | 5-year | Vol | Worst fall |
|---|---|---|---|---|---|
| +23.16% | +44.03% | +82.03% | 6.47% | -10.49% | |
| +22.78% | +42.85% | +79.74% | 6.46% | -10.61% | |
| +23.20% | +44.30% | +82.85% | 6.48% | -10.47% |
These classes hold the same portfolio, so the 3.10pp spread over 5 years is the cost difference between them — roughly 0.62pp a year — not a difference in what they own.
May 2026 and Jun 2026 have been filed since the trailing figures were struck, so they are not in the table above or the curve — every figure here shares one cut-off, which is what makes them comparable with other funds.
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.
Holdings
By % of NAV · equity positions carry filed share counts · every resolvable issuer links to its company page
| Ticker | Issuer | %NAV | 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 | — |
Top 10 positions are 51.34% of net assets, top 25 73.57%, across 1.6K issuers.
See more of this fund's book
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