ADAIX vs. QGMIX
ADAIX (AQR Diversified Arbitrage Fund Class I) and QGMIX (AQR Macro Opportunities Fund) are both mutual funds - ADAIX is a Multistrategy fund actively managed by AQR Funds, while QGMIX is a Macro Trading fund managed by AQR Funds. Over the past 10 years, ADAIX returned 6.89%/yr vs 4.08%/yr for QGMIX. At a 0.02 correlation, their price movements are largely independent. 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 3.04% return, which is significantly higher than QGMIX's 0.72% return. Over the past 10 years, ADAIX has outperformed QGMIX with an annualized return of 6.89%, while QGMIX has yielded a comparatively lower 4.08% annualized return.
ADAIX
- 1D
- 0.00%
- 1M
- 0.00%
- YTD
- 3.04%
- 6M
- 3.04%
- 1Y
- 6.23%
- 3Y*
- 5.98%
- 5Y*
- 2.91%
- 10Y*
- 6.89%
QGMIX
- 1D
- 0.10%
- 1M
- -0.91%
- YTD
- 0.72%
- 6M
- 1.82%
- 1Y
- 1.35%
- 3Y*
- 2.13%
- 5Y*
- 4.68%
- 10Y*
- 4.08%
ADAIX vs. QGMIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
ADAIX AQR Diversified Arbitrage Fund Class I | 3.04% | 8.03% | 3.19% | 4.51% | -3.30% | 6.27% | 25.24% | 8.53% | 2.19% | 5.93% |
QGMIX AQR Macro Opportunities Fund | 0.72% | 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 0.02, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.02 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.04 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.06 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.04 |
Correlation (All Time) Calculated using the full available price history since Jan 2, 2015 | 0.02 |
The correlation between ADAIX and QGMIX shifts across timeframes, from -0.06 (5 years) to 0.04 (3 years), 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 | +4.46 | ||
| Sortino ratioReturn per unit of downside risk | +7.41 | ||
| Omega ratioGain probability vs. loss probability | 2.13 | 1.02 | +1.11 |
| Calmar ratioReturn relative to maximum drawdown | 13.87 | 0.13 | +13.74 |
| Martin ratioReturn relative to average drawdown | 41.91 | 0.26 | +41.66 |
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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 | -0.46% | -4.11% | +3.65% |
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 | -0.08% | -3.97% | +3.89% |
Average DrawdownAverage peak-to-trough decline | -2.82% | -3.94% | +1.12% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.15% | 2.08% | -1.93% |
Volatility
ADAIX vs. QGMIX - Volatility Comparison
The current volatility for AQR Diversified Arbitrage Fund Class I (ADAIX) is 0.33%, while AQR Macro Opportunities Fund (QGMIX) has a volatility of 1.51%. 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 | 0.33% | 1.51% | -1.18% |
Volatility (6M)Calculated over the trailing 6-month period | 1.05% | 4.18% | -3.13% |
Volatility (1Y)Calculated over the trailing 1-year period | 1.41% | 5.94% | -4.53% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 2.61% | 9.91% | -7.30% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 4.32% | 8.37% | -4.05% |
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 1.43% 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 | 1.43% | 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 0.02, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
QGMIX has higher volatility (1.51%) compared to ADAIX (0.33%). In terms of maximum drawdown, ADAIX dropped -14.75% vs QGMIX's -13.48%.
ADAIX currently has the higher Sharpe Ratio (4.55 vs 0.09), 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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