ADAIX vs. QGMIX
Compare and contrast key facts about AQR Diversified Arbitrage Fund Class I (ADAIX) and AQR Macro Opportunities Fund (QGMIX).
ADAIX is an actively managed fund by AQR Funds. It was launched on Jan 15, 2009. QGMIX is managed by AQR Funds. It was launched on Apr 7, 2014.
Performance
ADAIX vs. QGMIX - Performance Comparison
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ADAIX vs. QGMIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
ADAIX AQR Diversified Arbitrage Fund Class I | 0.78% | 8.03% | 3.19% | 4.51% | -3.30% | 6.27% | 25.24% | 8.53% | 2.19% | 5.93% |
QGMIX AQR Macro Opportunities Fund | 2.15% | 4.00% | -0.95% | 0.01% | 29.30% | -4.54% | 1.60% | 4.90% | 7.80% | -3.38% |
Returns By Period
In the year-to-date period, ADAIX achieves a 0.78% return, which is significantly lower than QGMIX's 2.15% return. Over the past 10 years, ADAIX has outperformed QGMIX with an annualized return of 6.75%, while QGMIX has yielded a comparatively lower 3.68% annualized return.
ADAIX
- 1D
- -0.15%
- 1M
- 0.08%
- YTD
- 0.78%
- 6M
- 2.60%
- 1Y
- 6.24%
- 3Y*
- 5.17%
- 5Y*
- 2.72%
- 10Y*
- 6.75%
QGMIX
- 1D
- 0.00%
- 1M
- -1.19%
- YTD
- 2.15%
- 6M
- 0.75%
- 1Y
- -0.54%
- 3Y*
- 2.54%
- 5Y*
- 4.62%
- 10Y*
- 3.68%
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ADAIX vs. QGMIX - Expense Ratio Comparison
ADAIX has a 1.38% expense ratio, which is higher than QGMIX's 1.20% expense ratio.
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.
| ADAIX | QGMIX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 4.19 | -0.13 | +4.32 |
Sortino ratioReturn per unit of downside risk | 6.86 | -0.12 | +6.97 |
Omega ratioGain probability vs. loss probability | 2.06 | 0.98 | +1.08 |
Calmar ratioReturn relative to maximum drawdown | 9.83 | -0.05 | +9.88 |
Martin ratioReturn relative to average drawdown | 37.48 | -0.13 | +37.61 |
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
| ADAIX | QGMIX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 4.19 | -0.13 | +4.32 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 1.02 | 0.47 | +0.55 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 1.56 | 0.44 | +1.12 |
Sharpe Ratio (All Time)Calculated using the full available price history | 1.19 | 0.42 | +0.77 |
Correlation
The correlation between ADAIX and QGMIX is 0.03, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Dividends
ADAIX vs. QGMIX - Dividend Comparison
ADAIX's dividend yield for the trailing twelve months is around 2.10%, more than QGMIX's 1.41% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ADAIX AQR Diversified Arbitrage Fund Class I | 2.10% | 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 | 1.41% | 1.44% | 1.92% | 10.07% | 7.48% | 1.49% | 0.96% | 0.05% | 3.92% | 0.04% | 6.05% | 5.30% |
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 | -0.64% | -8.68% | +8.04% |
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 | -0.31% | -2.61% | +2.30% |
Average DrawdownAverage peak-to-trough decline | -2.85% | -3.95% | +1.10% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.17% | 3.47% | -3.30% |
Volatility
ADAIX vs. QGMIX - Volatility Comparison
The current volatility for AQR Diversified Arbitrage Fund Class I (ADAIX) is 0.38%, while AQR Macro Opportunities Fund (QGMIX) has a volatility of 2.18%. 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 | 0.38% | 2.18% | -1.80% |
Volatility (6M)Calculated over the trailing 6-month period | 1.11% | 4.29% | -3.18% |
Volatility (1Y)Calculated over the trailing 1-year period | 1.54% | 7.83% | -6.29% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 2.69% | 9.98% | -7.29% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 4.33% | 8.37% | -4.04% |