AQR Managed Futures Strategy Fund - Seasonality

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AQR Managed Futures Strategy Fund - Seasonality

Seasonality Charts

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Correlation

2018

88.73%

Year	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec
Probability %	60%	70%	70%	60%	56%	60%	50%	70%	56%	56%	78%	78%
Average return %	+0.83%	+1.87%	+1.41%	+1.07%	-0.08%	-0.50%	-0.88%	+1.56%	+1.49%	+0.26%	-2.12%	-3.17%
2026	+4.60%	+3.50%	+1.35%	+1.14%	0.00%	-1.60%	+1.24%	+2.17%	+5.18%	--	--	--
2025	+0.23%	+3.04%	+1.02%	-1.80%	+0.34%	+0.34%	+0.68%	+1.35%	+5.56%	+1.37%	-0.21%	-0.31%
2024	-0.85%	+7.87%	+3.99%	+2.41%	-1.71%	-1.74%	-5.32%	-1.52%	+2.62%	-3.13%	+2.51%	-0.35%
2023	-2.76%	+4.25%	-5.89%	+2.17%	+4.48%	-0.11%	-2.26%	+3.00%	+4.15%	+1.40%	-3.93%	-9.39%
2022	+6.47%	+2.46%	+8.46%	+7.10%	+0.11%	+3.91%	-3.66%	+5.10%	+5.57%	-0.20%	-5.48%	-9.74%
2021	+0.13%	+2.80%	+0.12%	+0.25%	+1.11%	-2.93%	-3.02%	-1.04%	+2.75%	+3.95%	-5.39%	-5.96%
2020	-1.81%	-0.25%	+5.41%	-0.23%	-0.47%	-2.11%	+0.84%	-1.55%	-1.81%	+1.97%	-3.50%	-1.88%
2019	-2.38%	-0.24%	+3.42%	+2.24%	-1.50%	+0.82%	+3.26%	+3.60%	-4.35%	-3.52%	-0.82%	-1.31%
2018	+3.90%	-5.84%	-1.00%	-0.67%	-2.59%	+0.69%	-0.69%	+3.82%	-0.33%	-2.57%	-3.67%	+0.12%
2017	+0.75%	+1.06%	-2.74%	-1.95%	-0.55%	-2.22%	+0.11%	+0.68%	-0.79%	+3.07%	+1.43%	+0.33%

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