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AQMIX: AQR MANAGED FUTURES STRATEGY FUND CLASS I (MUTUAL FUND)
Basic Info 9.36 0.06(0.65%) April 26
Asset Class: | Managed Futures |
MyPlanIQ Rating: | (90%) |
Start Date: | 01/06/2010 |
Last Dividend Date: | 12/18/2023 |
12-Mo. Yield | 12.55% |
Expenses | 1.18% |
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Performance Analytics (As of 04/26/2024)
Last 1 Week* | YTD*(2024) | 1 Yr | 3 Yr | 5 Yr | 10 Yr | Since 01/06/2010 |
2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 | 2011 | 2010 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
Annualized Return(%) | 0.8 | 14.1 | 18.8 | 15.1 | 9.1 | 4.7 | 3.5 | 2.1 | 35.1 | -0.8 | -0.4 | 1.9 | -8.9 | -1.0 | -8.4 | 2.0 | 9.7 | 9.4 | 3.0 | -6.4 | 6.1 |
Sharpe Ratio | NA | 5.4 | 1.59 | 1.02 | 0.67 | 0.35 | 0.28 | -0.21 | 2.54 | -0.06 | -0.07 | 0.06 | -1.01 | -0.23 | -0.81 | 0.18 | 1.15 | 1.12 | 0.36 | -0.71 | 0.71 |
Draw Down(%) | NA | 1.9 | 7.3 | 10.5 | 12.6 | 26.5 | 26.5 | 7.3 | 9.1 | 9.4 | 9.9 | 10.7 | 14.6 | 10.7 | 14.8 | 11.3 | 7.9 | 7.4 | 7.7 | 9.8 | 5.1 |
Standard Deviation(%) | NA | 8.7 | 9.5 | 12.5 | 11.2 | 10.3 | 9.8 | 10.2 | 13.3 | 13.5 | 9.3 | 8.2 | 10.1 | 6.9 | 10.7 | 10.8 | 8.4 | 8.4 | 8.2 | 9.1 | 8.7 |
Treynor Ratio | NA | 1.86 | -1.23 | -0.83 | -0.76 | -0.48 | -1.02 | 0.12 | -1.41 | -0.04 | 0.09 | -0.04 | -0.66 | -0.03 | 0.25 | -0.13 | 0.29 | 0.24 | -0.59 | 2.37 | 0.29 |
Alpha | NA | 0.13 | 0.07 | 0.05 | 0.04 | 0.02 | 0.01 | 0.01 | 0.1 | -0.02 | 0.01 | 0.02 | -0.04 | -0.05 | -0.02 | 0.01 | 0.02 | -0.01 | 0.02 | -0.02 | 0.01 |
Beta | NA | 0.25 | -0.12 | -0.15 | -0.1 | -0.08 | -0.03 | -0.18 | -0.24 | 0.19 | -0.07 | -0.12 | 0.15 | 0.6 | -0.35 | -0.15 | 0.34 | 0.39 | -0.05 | -0.03 | 0.21 |
RSquared | NA | 0.11 | 0.02 | 0.05 | 0.03 | 0.02 | 0.0 | 0.05 | 0.19 | 0.04 | 0.07 | 0.03 | 0.07 | 0.34 | 0.18 | 0.05 | 0.2 | 0.26 | 0.01 | 0.0 | 0.2 |
Yield(%) | N/A | 0.0 | 8.1 | 9.5 | 6.9 | 4.7 | N/A | 8.0 | 15.1 | 6.3 | 5.0 | 3.1 | 0.0 | 0.0 | 0.0 | 6.2 | 9.2 | 1.1 | 0.8 | 0.7 | 3.1 |
Dividend Growth(%) | N/A | -100.0 | -37.8 | 238.2 | 82.8 | N/A | N/A | -37.8 | 122.0 | 19.0 | 61.5 | N/A | N/A | N/A | -100.0 | -32.0 | 781.8 | 37.5 | 14.3 | -77.4 | N/A |
*: NOT annualized;YTD: Year to Date
**Inception: starting from 01/06/2010
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