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Optical magnetic nanostructures, based on anodic aluminum oxide membranes and magnetic fluids, were fabricated and investigated in both transmission and magneto-optical properties. A strong enhancement in transmission property has been found compared with the traditional magnetic fluids. Excellent magneto-optical characteristic was obtained: a negative differential magnetic linear dichroism was observed, quite different from the traditional Langevin type of magnetic fluids. This phenomenon was interpreted by an antiferromagnetic coupling between two types of magnetic grains having different average diameters in the nanocomposites. Based on its outstanding magneto-optical effects, it may open potentials for future integral optical devices.