This is most common question in my talks about Cosmos DB from DBAs. Cosmos DB is a managed database, this does not mean that you cannot tune up your queries. But the way you tune up the queries is nothing like SQL Server.
First you need to be sure that you configured your Cosmos DB containers right. What do I mean with that? You should pick the right partition key before you start to tune up any of your queries. Tuning up your queries is not going to help you in long run if you selected a wrong partition key when you created Cosmos DB containers. Throughput value is another value you need to worry about, the good news about the throughput is, you can change it if you need to. You cannot change your partition key!
It’s a whole different world over there.