Key Takeaways
- • AQR Capital appointed John Huss, macro team co-head and long-time partner, as a named portfolio manager on its €714 million AQR Managed Futures Strategy effective August 1, 2025.
- • The AQR Managed Futures Strategy Fund (AQMIX) manages $3.284 billion in assets under management and trades approximately several hundred futures instruments across equities, fixed income, currencies, and commodities with a trend-following methodology.
- • The fund delivered a realized Sharpe ratio of 0.26 since inception and a realized beta of -0.13 to the S&P 500, positioning it as a market-neutral alternative investment vehicle designed to generate positive absolute returns in both up and down markets.
- • The fund's asset allocation spans commodities (28.91%), equities (28.39%), currencies (21.54%), and fixed income (21.16%), with 847 long holdings and 934 short holdings as of the most recent reporting period.
Summary
AQR Capital Management has elevated John Huss to named portfolio manager status on its Managed Futures Strategy effective August 1, 2025. Huss, who has served as co-head of AQR's macro team and has been a long-time partner at the firm, brings substantial experience to the role overseeing the €714 million strategy, which represents one of the firm's flagship alternative investment offerings.
The AQR Managed Futures Strategy Fund operates with a comprehensive trend-following methodology that combines price trend and economic trend signals to identify trading opportunities across global markets. The fund maintains a diversified portfolio spanning approximately several hundred futures-related instruments, taking both long positions in markets exhibiting positive trends and short positions in markets showing negative momentum. This dual approach allows the strategy to pursue positive absolute returns regardless of broader market direction, with long holdings totaling 847 positions and short holdings reaching 934 as of the latest reporting period.
As of June 30, 2026, the fund manages $3.284 billion in assets and maintains a well-diversified allocation across major asset classes: commodities represent 28.91% of the portfolio, equities 28.39%, currencies 21.54%, and fixed income 21.16%. The strategy's risk profile reflects its market-neutral positioning, with a realized beta of -0.13 to the S&P 500 since inception and annualized volatility of 9.96%. Performance metrics demonstrate a Sharpe ratio of 0.26 since inception in January 2010, with one-year returns of 21.33% and five-year annualized returns of 12.78% as of the most recent measurement period.
The fund operates with a net expense ratio of 1.25%, positioning it as an accessible managed futures vehicle for institutional investors seeking non-correlated returns and downside protection through systematic trend-following exposure across global liquid futures markets.
The AQR Managed Futures Strategy Fund operates with a comprehensive trend-following methodology that combines price trend and economic trend signals to identify trading opportunities across global markets. The fund maintains a diversified portfolio spanning approximately several hundred futures-related instruments, taking both long positions in markets exhibiting positive trends and short positions in markets showing negative momentum. This dual approach allows the strategy to pursue positive absolute returns regardless of broader market direction, with long holdings totaling 847 positions and short holdings reaching 934 as of the latest reporting period.
As of June 30, 2026, the fund manages $3.284 billion in assets and maintains a well-diversified allocation across major asset classes: commodities represent 28.91% of the portfolio, equities 28.39%, currencies 21.54%, and fixed income 21.16%. The strategy's risk profile reflects its market-neutral positioning, with a realized beta of -0.13 to the S&P 500 since inception and annualized volatility of 9.96%. Performance metrics demonstrate a Sharpe ratio of 0.26 since inception in January 2010, with one-year returns of 21.33% and five-year annualized returns of 12.78% as of the most recent measurement period.
The fund operates with a net expense ratio of 1.25%, positioning it as an accessible managed futures vehicle for institutional investors seeking non-correlated returns and downside protection through systematic trend-following exposure across global liquid futures markets.
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