AQGNX vs. AQMIX
Compare and contrast key facts about AQR Global Equity Fund Class N (AQGNX) and AQR Managed Futures Strategy Fund (AQMIX).
AQGNX is a passively managed fund by AQR Funds that tracks the performance of the MSCI World Net Total Return USD Index. It was launched on Dec 31, 2009. AQMIX is managed by AQR Funds. It was launched on Jan 5, 2010.
Performance
AQGNX vs. AQMIX - Performance Comparison
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AQGNX vs. AQMIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
AQGNX AQR Global Equity Fund Class N | -3.59% | 31.37% | 24.14% | 22.74% | -14.45% | 18.04% | 8.96% | 22.24% | -14.69% | 25.02% |
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, AQGNX achieves a -3.59% return, which is significantly lower than AQMIX's 9.72% return. Over the past 10 years, AQGNX has outperformed AQMIX with an annualized return of 11.55%, while AQMIX has yielded a comparatively lower 4.43% annualized return.
AQGNX
- 1D
- 3.31%
- 1M
- -5.40%
- YTD
- -3.59%
- 6M
- -0.62%
- 1Y
- 20.60%
- 3Y*
- 22.14%
- 5Y*
- 12.38%
- 10Y*
- 11.55%
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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AQGNX vs. AQMIX - Expense Ratio Comparison
AQGNX has a 1.07% expense ratio, which is lower than AQMIX's 1.25% expense ratio.
Return for Risk
AQGNX vs. AQMIX — Risk / Return Rank
AQGNX
AQMIX
AQGNX vs. AQMIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Global Equity Fund Class N (AQGNX) 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.
| AQGNX | AQMIX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.08 | 2.16 | -1.08 |
Sortino ratioReturn per unit of downside risk | 1.56 | 2.71 | -1.15 |
Omega ratioGain probability vs. loss probability | 1.25 | 1.40 | -0.15 |
Calmar ratioReturn relative to maximum drawdown | 1.39 | 3.92 | -2.53 |
Martin ratioReturn relative to average drawdown | 6.92 | 11.52 | -4.61 |
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
| AQGNX | AQMIX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.08 | 2.16 | -1.08 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.69 | 1.10 | -0.41 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.65 | 0.43 | +0.22 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.52 | 0.41 | +0.11 |
Correlation
The correlation between AQGNX and AQMIX is 0.10, 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
AQGNX vs. AQMIX - Dividend Comparison
AQGNX's dividend yield for the trailing twelve months is around 13.77%, more than AQMIX's 2.06% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
AQGNX AQR Global Equity Fund Class N | 13.77% | 13.27% | 13.26% | 5.82% | 4.30% | 12.07% | 1.08% | 1.26% | 4.74% | 4.75% | 10.16% | 0.00% |
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
AQGNX vs. AQMIX - Drawdown Comparison
The maximum AQGNX drawdown since its inception was -35.76%, which is greater than AQMIX's maximum drawdown of -26.52%. Use the drawdown chart below to compare losses from any high point for AQGNX and AQMIX.
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Drawdown Indicators
| AQGNX | AQMIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -35.76% | -26.52% | -9.24% |
Max Drawdown (1Y)Largest decline over 1 year | -15.24% | -5.45% | -9.79% |
Max Drawdown (5Y)Largest decline over 5 years | -29.72% | -13.57% | -16.15% |
Max Drawdown (10Y)Largest decline over 10 years | -35.76% | -23.34% | -12.42% |
Current DrawdownCurrent decline from peak | -6.92% | -0.94% | -5.98% |
Average DrawdownAverage peak-to-trough decline | -7.36% | -10.10% | +2.74% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.06% | 1.85% | +1.21% |
Volatility
AQGNX vs. AQMIX - Volatility Comparison
AQR Global Equity Fund Class N (AQGNX) has a higher volatility of 6.26% compared to AQR Managed Futures Strategy Fund (AQMIX) at 2.58%. This indicates that AQGNX's price experiences larger fluctuations and is considered to be riskier 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
| AQGNX | AQMIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 6.26% | 2.58% | +3.68% |
Volatility (6M)Calculated over the trailing 6-month period | 10.40% | 6.71% | +3.69% |
Volatility (1Y)Calculated over the trailing 1-year period | 19.95% | 9.62% | +10.33% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 18.12% | 11.55% | +6.57% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.86% | 10.36% | +7.50% |