Fund Evaluator:
AQR Managed Futures Strategy N (AQMNX)
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Best Performing in Systematic Trend Over the Last Year
| 26.5% | AQR Managed Futures Strategy HV N (QMHNX) |
| 25.6% | American Beacon AHL Mgd Futs Strat Inv (AHLPX) |
| 22.1% | AMG Systematica Managed Futs Strat N (SMFNX) |
| 20.9% | AQR Managed Futures Strategy N (AQMNX) |
| 15.3% | Goldman Sachs Managed Futs Strat Inv (GFIRX) |
Fund Details
AQR Managed Futures Strategy N Overview
AQR Managed Futures Strategy N (AQMNX) is an actively managed Alternative Systematic Trend fund. AQR Funds launched the fund in 2010.
The investment seeks positive absolute returns. The adviser allocates the fund's assets among four major asset classes (commodities, currencies, and equities and fixed income). It gains exposure to asset classes by investing in several hundred futures contracts, futures-related instruments, forwards, swaps and securities including, but not limited to, commodity futures, forwards and swaps; currencies, currency futures and forwards; equity index futures, equity swaps and volatility futures; bond futures and swaps; interest rate futures and swaps and credit default index swaps.
About AQR Managed Futures Strategy N (AQMNX)
There are 7 members of the management team with an average tenure of 6.69 years: John Liew (2010), Jordan Brooks (2022), John Huss (2025), Erik Stamelos (2022), Fred Liu (2024), James Lofton (2024), Clifford Asness (2010). Management tenure is more important for actively managed funds than passive index funds.
The fund has 2 primary benchmarks: Bloomberg US Agg Bond TR USD index with a weighting of 100% and ICE BofA US 3M Trsy Bill TR USD index with a weighting of 100%. AQR Managed Futures Strategy N has 5920 securities in its portfolio. The top 10 holdings constitute 157.5% of the fund’s assets. The fund meets the SEC requirement of being classified as a diversified fund. The fund is not considered to have an ESG focus with its investment selection and management.
AQR Managed Futures Strategy N is part of the Alternative Strategies global asset class and is within the Alternative fund group. AQR Managed Futures Strategy N has -202.0% of its portfolio invested in foreign issues. The overall assets allocated to domestic stock is 3.3%. There is 4.4% allocated to foreign stock, and -0.1% is allocated to preferred stocks. The bond allocation as a percentage of total assets is 26.7% (233.0% domestic bond, -206.3% foreign bond and 0.0% convertible bond). AQR Managed Futures Strategy N has 28.1% of the portfolio in cash.
Assets Under Management
The fund has $99 million in total assets, which is below the $248 million average for the Systematic Trend category. Normally, lower assets under management translates to higher average expense ratios, and greater total assets are desired. However, for some investment categories, such as small-cap investing, it may be difficult for the manager to fully employ the desired active strategy if assets grow too large or too quickly.
AQMNX Performance and Fees
The expense ratio measures how much of a fund’s assets are used for administrative expenses and operating expenses, including adviser fees and fees for the transfer agent and custodial services. The AQR Managed Futures Strategy N expense ratio is high compared to funds in the Systematic Trend category. AQR Managed Futures Strategy N has an expense ratio of 3.39%, which is 68% higher than its category average, making the fund expense ratio grade a F. While it is difficult to predict returns, it is known that high annual expense ratios reduce your rate of return, and excessive fees are difficult to overcome. Active management normally comes with higher expense ratios than passive index management. Certain investment categories such as small company and foreign also normally have higher expense ratios. It is best to compare fund expense ratios against the category averages for meaningful assessments.
High portfolio turnover can translate to higher expenses and lower aftertax returns. AQR Managed Futures Strategy N has a portfolio turnover rate of 412%, indicating that holds its assets around 0.0 years. By way of comparison, the average portfolio turnover is 209% for the Systematic Trend category.
Recently, in the month of June 2026, AQR Managed Futures Strategy N returned -1.6%, which earned it a grade of D, as the Systematic Trend category had an average return of -1.4%. The letter grades of A, B, C, D and F are based upon relative rankings within the investment category. A grade of A, for example, would indicate that the return is in the highest 20% for that time period compared to all funds in that category.
AQR Managed Futures Strategy N has a trailing yield of 1.88%, which is below the 2.60% category average. The fund normally distributes its income annually and its capital gains annually.
It’s natural to seek the best-performing investments, but you must consider the relationship between risk and return and the impact of costs and taxes on your realized returns.
AQR Managed Futures Strategy N Grades
Year to date, the fund has returned 9.0%, 1.8 percentage points better than the category, which translates into a grade of B. The fund has returned 20.9% over the past year (grade of B), 10.5% over the past three years (grade of A) and 12.5% per year over the past five years (grade of A) and 4.0% per year over the past 10 years (grade of B).
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AQMNX Trailing NAV Total Returns Data as of 6/30/26
| Last Month |
Last Quarter |
Ann'l. 1Yr |
Ann'l. 3Yr |
Ann'l. 5Yr |
Ann'l. 10Yr |
|
| AQMNX Return (NAV) | -1.6% | -0.5% | 20.9% | 10.5% | 12.5% | 4.0% |
| AQMNX Grade | D | F | B | A | A | B |
| +/- Category | -0.2% | -2.4% | 3.0% | 8.1% | 7.5% | 0.8% |
| Systematic Trend Avg | -1.4% | 1.9% | 17.9% | 2.3% | 5.1% | 3.2% |
| AQMNX Tax Cost Ratio | na | na | 0.8% | 1.8% | 2.5% | 1.5% |
AQMNX Annual NAV Total ReturnsData as of 6/30/26
| 2026 | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | |
| AQMNX Return (NAV) | 9.0% | 14.4% | 8.1% | 1.6% | 35.0% | -1.3% | -0.6% | 1.6% | -9.1% | -1.2% | -8.7% |
| AQMNX Grade | B | A | A | B | B | F | F | D | D | F | F |
| +/- Category | 1.8% | 11.5% | 7.7% | 5.5% | 13.2% | -6.2% | -5.8% | -3.8% | -3.6% | -5.7% | -5.3% |
| Systematic Trend Avg | 7.2% | 2.9% | 0.4% | -3.9% | 21.8% | 4.8% | 5.2% | 5.4% | -5.5% | 4.5% | -3.4% |
| Risk Measures | |
| Standard Deviation: | 9.6% |
| Total Risk Index: | 0.79 - Average |
| Category Risk Index: | 0.97 - Average |
| Category Risk Grade: | C (59% Rank) |
| Beta: | -0.13 |
| R-Squared: | 3% |
| Leveraged Fund: | No |
| Inverse Fund: | No |
| Portfolio Characteristics | |
| Equity Investment Style: | Mid-Cap Value |
| Bond Investment Style: | na |
| Yield: | 1.9% |
| Dividend Distribution: | Annually |
| Cap Gains Distribution: | Annually |
| Total Assets: | $3204 Mil |
| Fund Total Assets: | $ 99 Mil |
| Share Class Type: | N |
| Portfolio Turnover: | 412% |
Management Team
| Number of Managers: 7 | |||
| Longest Tenure: 16.5 years | |||
| Average Tenure: 6.7 years | |||
| Managers (Year): Liew John (2010), Asness Clifford (2010), Stamelos Erik (2022), Brooks Jordan (2022), Liu Fred (2024), Lofton James (2024), Huss John (2025) | |||
Portfolio Composition (as of 3/31/26)
| # of Holdings: | 5920 |
| % in Top 10 Holdings: | 157.5% |
| Fund is Non-Diversified: | No |
| % in Foreign Issues: | -202.0% |
Portfolio Allocation |
|
| Domestic Stock: | 3.3% |
| Foreign Stock: | 4.4% |
| Preferred Stock: | -0.1% |
| Domestic Bond: | 233.0% |
| Foreign Bond: | -206.3% |
| Convertible Bond: | 0.0% |
| Other: | 37.7% |
| Cash: | 28.1% |
Purchase Information
| Fund Family: | AQR Funds |
| Phone Number: | 866-290-2688 |
| Website: | www.aqrfunds.com |
| Status: | Open |
| Inception Date: | January 6, 2010 |
| Min. Initial Purchase: | $2,500 |
| Min. Initial IRA Purchase: | $ 0 |
| True No-Load: | Yes |
| Front Load Maximum: | 0.00% |
| Deferred Charge Maximum: | 0.00% |
| Redemption Charge Maximum: | 0.00% |
| 12b-1 Fee: | 0.25% |
Expenses and Fees | |
| Expense Ratio (%): | 3.39% ( Rating : High ) |
| Category Average Expense Ratio (%): | 2.01% |
| Share Class: | AQR Managed Futures Strategy N |
| Min. Subsequent Purchase: | $ 0 |
| Min. Subsequent IRA Purchase: | $ 0 |
