AQGIX vs. AQRIX

Last updated Jun 5, 2026

AQGIX (AQR Global Equity Fund) and AQRIX (AQR Multi-Asset Fund) are both mutual funds - AQGIX is a Global Equities fund managed by AQR Funds, while AQRIX is a Tactical Allocation fund managed by AQR Funds. Over the past 10 years, AQGIX returned 13.41%/yr vs 8.51%/yr for AQRIX. A 0.69 correlation means they provide meaningful diversification when combined. Both charge a 0.80% expense ratio.

Performance

AQGIX vs. AQRIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AQR Global Equity Fund (AQGIX) and AQR Multi-Asset Fund (AQRIX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, AQGIX achieves a 12.94% return, which is significantly higher than AQRIX's 10.05% return. Over the past 10 years, AQGIX has outperformed AQRIX with an annualized return of 13.41%, while AQRIX has yielded a comparatively lower 8.51% annualized return.

AQGIX

• 1D: -0.86%
• 1M: 5.43%
• YTD: 12.94%
• 6M: 14.39%
• 1Y: 32.98%
• 3Y*: 28.11%
• 5Y*: 15.31%
• 10Y*: 13.41%

AQRIX

• 1D: -0.68%
• 1M: 2.26%
• YTD: 10.05%
• 6M: 10.54%
• 1Y: 22.22%
• 3Y*: 16.04%
• 5Y*: 8.45%
• 10Y*: 8.51%

*Multi-year figures are annualized to reflect compound growth (CAGR)

AQGIX vs. AQRIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
AQGIX AQR Global Equity Fund	12.94%	31.64%	24.56%	22.92%	-14.14%	18.32%	9.33%	22.55%	-14.50%	25.44%
AQRIX AQR Multi-Asset Fund	10.05%	18.71%	10.45%	11.59%	-10.54%	14.35%	2.68%	21.03%	-6.95%	16.34%

Correlation

The correlation between AQGIX and AQRIX is 0.79, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.79
Correlation (3Y) Calculated over the trailing 3-year period	0.79
Correlation (5Y) Calculated over the trailing 5-year period	0.74
Correlation (10Y) Calculated over the trailing 10-year period	0.72
Correlation (All Time) Calculated using the full available price history since Oct 1, 2010	0.69

The correlation between AQGIX and AQRIX has been stable across timeframes, ranging from 0.69 to 0.79 - a consistent structural relationship.

Return for Risk

AQGIX vs. AQRIX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

AQGIX

AQGIX Risk / Return Rank: 72
AQGIX Sharpe Ratio Rank: 72
AQGIX Sortino Ratio Rank: 68
AQGIX Omega Ratio Rank: 62
AQGIX Calmar Ratio Rank: 74
AQGIX Martin Ratio Rank: 83

AQRIX

AQRIX Risk / Return Rank: 63
AQRIX Sharpe Ratio Rank: 66
AQRIX Sortino Ratio Rank: 61
AQRIX Omega Ratio Rank: 59
AQRIX Calmar Ratio Rank: 64
AQRIX Martin Ratio Rank: 67

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

AQGIX vs. AQRIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for AQR Global Equity Fund (AQGIX) and AQR Multi-Asset Fund (AQRIX). 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.

	AQGIX	AQRIX	Difference
Sharpe ratio: Return per unit of total volatility	2.48	2.38	+0.10
Sortino ratio: Return per unit of downside risk	3.46	3.28	+0.17
Omega ratio: Gain probability vs. loss probability	1.44	1.43	+0.01
Calmar ratio: Return relative to maximum drawdown	3.34	3.06	+0.28
Martin ratio: Return relative to average drawdown	15.34	13.03	+2.31
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

AQGIX vs. AQRIX - Sharpe Ratio Comparison

The current AQGIX Sharpe Ratio is 2.48, which is comparable to the AQRIX Sharpe Ratio of 2.38. The chart below compares the historical Sharpe Ratios of AQGIX and AQRIX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	AQGIX	AQRIX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.48	2.38	+0.10
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.84	0.80	+0.05
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.75	0.87	-0.12
Sharpe Ratio (All Time) Calculated using the full available price history	0.63	0.80	-0.17

Drawdowns

AQGIX vs. AQRIX - Drawdown Comparison

The maximum AQGIX drawdown since its inception was -35.47%, which is greater than AQRIX's maximum drawdown of -19.37%. Use the drawdown chart below to compare losses from any high point for AQGIX and AQRIX.

Drawdown Indicators

	AQGIX	AQRIX	Difference
Max Drawdown Largest peak-to-trough decline	-35.47%	-19.37%	-16.10%
Max Drawdown (1Y) Largest decline over 1 year	-9.88%	-7.48%	-2.40%
Max Drawdown (3Y) Largest decline over 3 years	-18.50%	-11.05%	-7.45%
Max Drawdown (5Y) Largest decline over 5 years	-29.62%	-19.37%	-10.25%
Max Drawdown (10Y) Largest decline over 10 years	-35.47%	-19.37%	-16.10%
Current Drawdown Current decline from peak	-0.86%	-0.68%	-0.18%
Average Drawdown Average peak-to-trough decline	-6.55%	-4.82%	-1.73%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.15%	1.75%	+0.40%

Volatility

AQGIX vs. AQRIX - Volatility Comparison

AQR Global Equity Fund (AQGIX) has a higher volatility of 3.46% compared to AQR Multi-Asset Fund (AQRIX) at 2.82%. This indicates that AQGIX's price experiences larger fluctuations and is considered to be riskier than AQRIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	AQGIX	AQRIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.46%	2.82%	+0.64%
Volatility (6M) Calculated over the trailing 6-month period	10.26%	7.62%	+2.64%
Volatility (1Y) Calculated over the trailing 1-year period	13.34%	9.62%	+3.72%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	18.24%	10.68%	+7.56%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.96%	9.79%	+8.17%

AQGIX vs. AQRIX - Expense Ratio Comparison

Both AQGIX and AQRIX have an expense ratio of 0.80%.

Dividends

AQGIX vs. AQRIX - Dividend Comparison

AQGIX's dividend yield for the trailing twelve months is around 11.67%, more than AQRIX's 3.50% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
AQGIX AQR Global Equity Fund	11.67%	13.18%	13.59%	5.97%	4.39%	12.17%	1.16%	1.41%	4.72%	5.05%	10.34%	0.09%
AQRIX AQR Multi-Asset Fund	3.50%	3.85%	1.72%	2.40%	6.82%	6.39%	1.09%	6.65%	7.36%	10.49%	7.08%	2.51%

Frequently Asked Questions

Can I hold both AQGIX and AQRIX in my portfolio?

AQGIX and AQRIX have a correlation of 0.79, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, AQGIX or AQRIX?

AQGIX has higher volatility (3.46%) compared to AQRIX (2.82%). In terms of maximum drawdown, AQGIX dropped -35.47% vs AQRIX's -19.37%.

Which has better risk-adjusted returns?

AQGIX currently has the higher Sharpe Ratio (2.48 vs 2.38), 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.