ABYIX vs. AQMIX
Compare and contrast key facts about Abbey Capital Futures Strategy Fund Class I (ABYIX) and AQR Managed Futures Strategy Fund (AQMIX).
ABYIX is managed by Abbey Capital. It was launched on Jul 1, 2014. AQMIX is managed by AQR Funds. It was launched on Jan 5, 2010.
Performance
ABYIX vs. AQMIX - Performance Comparison
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ABYIX vs. AQMIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
ABYIX Abbey Capital Futures Strategy Fund Class I | 4.53% | 1.62% | 1.11% | -3.29% | 17.06% | 3.39% | 7.92% | 8.84% | -6.15% | -0.09% |
AQMIX AQR Managed Futures Strategy Fund | 9.72% | 14.62% | 8.13% | 2.08% | 35.47% | -1.04% | -0.43% | 1.92% | -8.88% | -0.97% |
Returns By Period
In the year-to-date period, ABYIX achieves a 4.53% return, which is significantly lower than AQMIX's 9.72% return. Over the past 10 years, ABYIX has underperformed AQMIX with an annualized return of 2.83%, while AQMIX has yielded a comparatively higher 4.43% annualized return.
ABYIX
- 1D
- -0.09%
- 1M
- -1.03%
- YTD
- 4.53%
- 6M
- 7.29%
- 1Y
- 8.69%
- 3Y*
- 2.39%
- 5Y*
- 3.70%
- 10Y*
- 2.83%
AQMIX
- 1D
- -0.47%
- 1M
- 0.96%
- YTD
- 9.72%
- 6M
- 12.93%
- 1Y
- 20.27%
- 3Y*
- 13.32%
- 5Y*
- 12.58%
- 10Y*
- 4.43%
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ABYIX vs. AQMIX - Expense Ratio Comparison
ABYIX has a 1.79% expense ratio, which is higher than AQMIX's 1.25% expense ratio.
Return for Risk
ABYIX vs. AQMIX — Risk / Return Rank
ABYIX
AQMIX
ABYIX vs. AQMIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Abbey Capital Futures Strategy Fund Class I (ABYIX) and AQR Managed Futures Strategy Fund (AQMIX). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
| ABYIX | AQMIX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.09 | 2.16 | -1.07 |
Sortino ratioReturn per unit of downside risk | 1.54 | 2.71 | -1.17 |
Omega ratioGain probability vs. loss probability | 1.20 | 1.40 | -0.20 |
Calmar ratioReturn relative to maximum drawdown | 1.72 | 3.92 | -2.19 |
Martin ratioReturn relative to average drawdown | 3.52 | 11.52 | -8.00 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| ABYIX | AQMIX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.09 | 2.16 | -1.07 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.46 | 1.10 | -0.63 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.35 | 0.43 | -0.07 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.53 | 0.41 | +0.12 |
Correlation
The correlation between ABYIX and AQMIX is 0.75, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Dividends
ABYIX vs. AQMIX - Dividend Comparison
ABYIX's dividend yield for the trailing twelve months is around 1.27%, less than AQMIX's 2.06% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ABYIX Abbey Capital Futures Strategy Fund Class I | 1.27% | 1.33% | 2.10% | 2.03% | 15.24% | 3.68% | 1.54% | 8.70% | 0.14% | 0.00% | 0.00% | 0.24% |
AQMIX AQR Managed Futures Strategy Fund | 2.06% | 2.26% | 3.83% | 8.39% | 12.76% | 6.94% | 5.31% | 3.13% | 0.00% | 0.00% | 0.02% | 6.51% |
Drawdowns
ABYIX vs. AQMIX - Drawdown Comparison
The maximum ABYIX drawdown since its inception was -17.13%, smaller than the maximum AQMIX drawdown of -26.52%. Use the drawdown chart below to compare losses from any high point for ABYIX and AQMIX.
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Drawdown Indicators
| ABYIX | AQMIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -17.13% | -26.52% | +9.39% |
Max Drawdown (1Y)Largest decline over 1 year | -4.36% | -5.45% | +1.09% |
Max Drawdown (5Y)Largest decline over 5 years | -14.66% | -13.57% | -1.09% |
Max Drawdown (10Y)Largest decline over 10 years | -14.74% | -23.34% | +8.60% |
Current DrawdownCurrent decline from peak | -3.10% | -0.94% | -2.16% |
Average DrawdownAverage peak-to-trough decline | -6.74% | -10.10% | +3.36% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.27% | 1.85% | +0.42% |
Volatility
ABYIX vs. AQMIX - Volatility Comparison
The current volatility for Abbey Capital Futures Strategy Fund Class I (ABYIX) is 1.94%, while AQR Managed Futures Strategy Fund (AQMIX) has a volatility of 2.58%. This indicates that ABYIX experiences smaller price fluctuations and is considered to be less risky than AQMIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ABYIX | AQMIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.94% | 2.58% | -0.64% |
Volatility (6M)Calculated over the trailing 6-month period | 6.43% | 6.71% | -0.28% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.64% | 9.62% | -1.98% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 8.01% | 11.55% | -3.54% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 8.00% | 10.36% | -2.36% |