ADAIX vs. QGMIX
ADAIX (AQR Diversified Arbitrage Fund Class I) and QGMIX (AQR Macro Opportunities Fund) are both Multistrategy funds from AQR. Over the past 10 years, ADAIX returned 6.65%/yr vs 3.62%/yr for QGMIX. Their 0.03 correlation means their historical movements had little consistent relationship. ADAIX charges 1.38%/yr vs 1.20%/yr for QGMIX.
Performance
ADAIX vs. QGMIX - Performance Comparison
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Returns By Period
In the year-to-date period, ADAIX achieves a 3.12% return, which is significantly higher than QGMIX's -0.61% return. Over the past 10 years, ADAIX has outperformed QGMIX with an annualized return of 6.65%, while QGMIX has yielded a comparatively lower 3.62% annualized return.
ADAIX
- 1D
- 0.08%
- 1M
- -0.30%
- 6M
- 2.32%
- YTD
- 3.12%
- 1Y
- 5.81%
- 3Y*
- 5.56%
- 5Y*
- 3.11%
- 10Y*
- 6.65%
- ALL TIME*
- 4.37%
QGMIX
- 1D
- -0.21%
- 1M
- 0.21%
- 6M
- -4.05%
- YTD
- -0.61%
- 1Y
- 0.52%
- 3Y*
- 1.87%
- 5Y*
- 4.93%
- 10Y*
- 3.62%
- ALL TIME*
- 3.08%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $0.00 | $0.00 | $0.00 |
ADAIX vs. QGMIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
ADAIX AQR Diversified Arbitrage Fund Class I | 3.12% | 8.03% | 3.19% | 4.51% | -3.30% | 6.27% | 25.24% | 8.53% | 2.19% | 5.93% |
QGMIX AQR Macro Opportunities Fund | -0.61% | 4.00% | -0.95% | 0.01% | 29.30% | -4.54% | 1.60% | 4.90% | 7.80% | -3.38% |
Correlation
The correlation between ADAIX and QGMIX is 0.05, meaning there was essentially no consistent relationship between their historical price movements. Each responded to its own set of market drivers.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.05 |
Correlation (3Y) Balances recent behavior with more history. | 0.03 |
Correlation (5Y) Shows whether the relationship held over a longer period. | -0.06 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.04 |
Correlation (All Time) Calculated using the full available price history since Jan 2, 2015 | 0.03 |
The correlation between ADAIX and QGMIX shifts across timeframes, from -0.06 (5 years) to 0.05 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
ADAIX vs. QGMIX — Risk / Return Rank
ADAIX
QGMIX
ADAIX vs. QGMIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Diversified Arbitrage Fund Class I (ADAIX) and AQR Macro Opportunities Fund (QGMIX). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| ADAIX | QGMIX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +4.24 | ||
| Sortino ratioReturn per unit of downside risk | +6.96 | ||
| Omega ratioGain probability vs. loss probability | 1.96 | 0.97 | +0.99 |
| Calmar ratioReturn relative to maximum drawdown | 9.83 | -0.25 | +10.08 |
| Martin ratioReturn relative to average drawdown | 36.56 | -0.54 | +37.10 |
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Drawdowns
ADAIX vs. QGMIX - Drawdown Comparison
The maximum ADAIX drawdown since its inception was -14.75%, which is greater than QGMIX's maximum drawdown of -13.48%. Use the drawdown chart below to compare losses from any high point for ADAIX and QGMIX.
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Drawdown Indicators
| ADAIX | QGMIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -14.75% | -13.48% | -1.27% |
Max Drawdown (1Y)Largest decline over 1 year | -0.60% | -5.47% | +4.87% |
Max Drawdown (3Y)Largest decline over 3 years | -1.78% | -13.48% | +11.70% |
Max Drawdown (5Y)Largest decline over 5 years | -7.40% | -13.48% | +6.08% |
Max Drawdown (10Y)Largest decline over 10 years | -14.75% | -13.48% | -1.27% |
Current DrawdownCurrent decline from peak | -0.53% | -5.24% | +4.71% |
Average DrawdownAverage peak-to-trough decline | -2.80% | -3.95% | +1.15% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.16% | 2.60% | -2.44% |
Volatility
ADAIX vs. QGMIX - Volatility Comparison
The current volatility for AQR Diversified Arbitrage Fund Class I (ADAIX) is 0.60%, while AQR Macro Opportunities Fund (QGMIX) has a volatility of 1.90%. This indicates that ADAIX experiences smaller price fluctuations and is considered to be less risky than QGMIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ADAIX | QGMIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.60% | 1.90% | -1.30% |
Volatility (6M)Calculated over the trailing 6-month period | 1.15% | 4.17% | -3.02% |
Volatility (1Y)Calculated over the trailing 1-year period | 1.48% | 5.94% | -4.46% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 2.60% | 9.83% | -7.23% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 4.31% | 8.38% | -4.07% |
ADAIX vs. QGMIX - Expense Ratio Comparison
ADAIX has a 1.38% expense ratio, which is higher than QGMIX's 1.20% expense ratio.
Dividends
ADAIX vs. QGMIX - Dividend Comparison
ADAIX's dividend yield for the trailing twelve months is around 2.06%, more than QGMIX's 1.45% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ADAIX AQR Diversified Arbitrage Fund Class I | 2.06% | 2.12% | 1.23% | 2.74% | 0.10% | 0.65% | 1.60% | 2.11% | 6.53% | 7.17% | 7.18% | 4.93% |
QGMIX AQR Macro Opportunities Fund | 1.45% | 1.44% | 1.92% | 10.07% | 7.48% | 1.49% | 0.96% | 0.05% | 3.92% | 0.04% | 6.05% | 5.30% |
Frequently Asked Questions
ADAIX and QGMIX have a correlation of 0.05, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
QGMIX has higher volatility (1.90%) compared to ADAIX (0.60%). In terms of maximum drawdown, ADAIX dropped -14.75% vs QGMIX's -13.48%.
ADAIX currently has the higher Sharpe Ratio (4.00 vs -0.24), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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