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AQR Macro Opportunities Fund Class N QGMNX
Historical return decomposition and an investable replication portfolio, using data through 2026-10-09.
Fund and replication metrics
| Measure | QGMNX | Replication |
|---|---|---|
| Annualized growth | 6.1% | 5.4% |
| Annualized volatility | 10.3% | 1.9% |
| Sharpe ratio | 0.62 | 2.77 |
| Maximum drawdown | 12.6% | 1.5% |
| Replication fit (R²) | 0.03 · Tracking error 10.2% | |
Replication portfolio
The published portfolio below is the investable basket used to model QGMNX’s historical return behavior.
| Ticker | Building block | Weight |
|---|---|---|
| USFR | FI · Floating Rate Notes | 93.0% |
| XLE | Sector · Energy | 7.0% |