Key Takeaways
- • AQR's Managed Futures Strategy HV Fund (QMHIX) delivered 26.83% returns over the trailing 12-month period as of March 31, 2026, outperforming the MSCI ACWI NR USD benchmark by 682 basis points.
- • The fund ranks second in its category over the one-year period and first in both the three-month and six-month trailing periods, demonstrating consistent relative strength across multiple time horizons.
- • Multi-year performance shows 17.80% annualized returns over three years and 16.26% over five years, with a decade return of 5.06%, reflecting the strategy's long-term risk-adjusted performance characteristics.
- • On a one-month basis (as of March 31, 2026), QMHIX gained 2.28% while outperforming its 13-fund category peer group by 412 basis points, positioning it in the sixth percentile of category rankings.
- • The strategy's outperformance versus the broad equity benchmark (MSCI ACWI) has widened significantly over longer periods, with the six-month excess return at 1,857 basis points, suggesting managed futures positioning captured market dislocations effectively during this window.
Summary
AQR's Managed Futures Strategy HV Fund delivered strong absolute and relative performance through the first quarter of 2026, returning 26.83% over the trailing 12-month period ended March 31. The fund significantly outperformed the MSCI All Country World Index (NR USD) benchmark by 682 basis points, while also exceeding its 13-fund peer category by 1,481 basis points, demonstrating the managed futures strategy's effectiveness during this period.
The fund's performance consistency across multiple time horizons underscores the durability of its approach. Over three years, QMHIX delivered 17.80% annualized returns, and over five years, 16.26% annualized, both substantially above category averages. The decade-long return of 5.06% provides perspective on the strategy's long-term value proposition, particularly relevant for institutional investors evaluating multi-cycle performance. Recent period rankings show particular strength: the fund ranked first in its category over both three-month and six-month periods, with outperformance of 770 and 841 basis points respectively versus category peers.
The near-term performance also reflects tactical positioning strength. The one-month return of 2.28% as of March 31, 2026 positioned the fund sixth in its category while delivering 946 basis points of outperformance against the MSCI ACWI NR USD. The significant excess returns across varying time horizons—from one month through one year—indicate the managed futures strategy's ability to generate alpha through systematic trend-following and volatility-responsive positioning across global markets and asset classes. For institutional investors and hedge fund allocators, the combination of absolute return generation and consistent category outperformance suggests the strategy provided meaningful diversification benefits and downside protection during this market environment.
The fund's performance consistency across multiple time horizons underscores the durability of its approach. Over three years, QMHIX delivered 17.80% annualized returns, and over five years, 16.26% annualized, both substantially above category averages. The decade-long return of 5.06% provides perspective on the strategy's long-term value proposition, particularly relevant for institutional investors evaluating multi-cycle performance. Recent period rankings show particular strength: the fund ranked first in its category over both three-month and six-month periods, with outperformance of 770 and 841 basis points respectively versus category peers.
The near-term performance also reflects tactical positioning strength. The one-month return of 2.28% as of March 31, 2026 positioned the fund sixth in its category while delivering 946 basis points of outperformance against the MSCI ACWI NR USD. The significant excess returns across varying time horizons—from one month through one year—indicate the managed futures strategy's ability to generate alpha through systematic trend-following and volatility-responsive positioning across global markets and asset classes. For institutional investors and hedge fund allocators, the combination of absolute return generation and consistent category outperformance suggests the strategy provided meaningful diversification benefits and downside protection during this market environment.
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