AQGRX vs. AQMIX

Last updated Jun 5, 2026

AQGRX (AQR Global Equity Fund Class R6) and AQMIX (AQR Managed Futures Strategy Fund) are both mutual funds - AQGRX is a Global Equities fund tracking the MSCI World Net Total Return USD Index, while AQMIX is a Systematic Trend fund managed by AQR Funds. Over the past 10 years, AQGRX returned 13.63%/yr vs 5.08%/yr for AQMIX. At a 0.01 correlation, their price movements are largely independent. AQGRX charges 0.72%/yr vs 1.25%/yr for AQMIX.

Performance

AQGRX vs. AQMIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AQR Global Equity Fund Class R6 (AQGRX) and AQR Managed Futures Strategy Fund (AQMIX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, AQGRX achieves a 12.98% return, which is significantly lower than AQMIX's 13.79% return. Over the past 10 years, AQGRX has outperformed AQMIX with an annualized return of 13.63%, while AQMIX has yielded a comparatively lower 5.08% annualized return.

AQGRX

• 1D: -0.85%
• 1M: 5.53%
• YTD: 12.98%
• 6M: 14.49%
• 1Y: 33.14%
• 3Y*: 28.27%
• 5Y*: 15.42%
• 10Y*: 13.63%

AQMIX

• 1D: 0.74%
• 1M: 1.78%
• YTD: 13.79%
• 6M: 15.67%
• 1Y: 25.86%
• 3Y*: 12.79%
• 5Y*: 12.87%
• 10Y*: 5.08%

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

AQGRX vs. AQMIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
AQGRX AQR Global Equity Fund Class R6	12.98%	31.87%	24.60%	23.14%	-14.13%	18.43%	9.47%	23.85%	-14.46%	25.57%
AQMIX AQR Managed Futures Strategy Fund	13.79%	14.62%	8.13%	2.08%	35.47%	-1.04%	-0.43%	1.92%	-8.88%	-0.97%

Correlation

The correlation between AQGRX and AQMIX is 0.24, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.24
Correlation (3Y) Calculated over the trailing 3-year period	0.12
Correlation (5Y) Calculated over the trailing 5-year period	-0.01
Correlation (10Y) Calculated over the trailing 10-year period	0.06
Correlation (All Time) Calculated using the full available price history since Jan 5, 2015	0.01

Over the past year, AQGRX and AQMIX have become more correlated (0.24) than their long-term average of 0.01, meaning their price movements have been converging.

Return for Risk

AQGRX vs. AQMIX — Risk / Return Rank

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

AQGRX

AQGRX Risk / Return Rank: 75
AQGRX Sharpe Ratio Rank: 76
AQGRX Sortino Ratio Rank: 72
AQGRX Omega Ratio Rank: 65
AQGRX Calmar Ratio Rank: 78
AQGRX Martin Ratio Rank: 85

AQMIX

AQMIX Risk / Return Rank: 90
AQMIX Sharpe Ratio Rank: 90
AQMIX Sortino Ratio Rank: 85
AQMIX Omega Ratio Rank: 81
AQMIX Calmar Ratio Rank: 98
AQMIX Martin Ratio Rank: 97

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.

AQGRX vs. AQMIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for AQR Global Equity Fund Class R6 (AQGRX) 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.

	AQGRX	AQMIX	Difference
Sharpe ratio: Return per unit of total volatility	2.49	3.00	-0.52
Sortino ratio: Return per unit of downside risk	3.47	4.09	-0.62
Omega ratio: Gain probability vs. loss probability	1.44	1.54	-0.10
Calmar ratio: Return relative to maximum drawdown	3.39	8.64	-5.26
Martin ratio: Return relative to average drawdown	15.45	26.76	-11.31
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

AQGRX vs. AQMIX - Sharpe Ratio Comparison

The current AQGRX Sharpe Ratio is 2.49, which is comparable to the AQMIX Sharpe Ratio of 3.00. The chart below compares the historical Sharpe Ratios of AQGRX and AQMIX, 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

	AQGRX	AQMIX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.49	3.00	-0.52
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.85	1.11	-0.26
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.77	0.49	+0.28
Sharpe Ratio (All Time) Calculated using the full available price history	0.66	0.43	+0.24

Drawdowns

AQGRX vs. AQMIX - Drawdown Comparison

The maximum AQGRX drawdown since its inception was -34.25%, which is greater than AQMIX's maximum drawdown of -26.52%. Use the drawdown chart below to compare losses from any high point for AQGRX and AQMIX.

Drawdown Indicators

	AQGRX	AQMIX	Difference
Max Drawdown Largest peak-to-trough decline	-34.25%	-26.52%	-7.73%
Max Drawdown (1Y) Largest decline over 1 year	-9.79%	-3.02%	-6.77%
Max Drawdown (3Y) Largest decline over 3 years	-18.51%	-13.57%	-4.94%
Max Drawdown (5Y) Largest decline over 5 years	-29.59%	-13.57%	-16.02%
Max Drawdown (10Y) Largest decline over 10 years	-34.25%	-23.34%	-10.91%
Current Drawdown Current decline from peak	-0.85%	0.00%	-0.85%
Average Drawdown Average peak-to-trough decline	-6.88%	-10.00%	+3.12%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.14%	0.97%	+1.17%

Volatility

AQGRX vs. AQMIX - Volatility Comparison

AQR Global Equity Fund Class R6 (AQGRX) has a higher volatility of 3.46% compared to AQR Managed Futures Strategy Fund (AQMIX) at 2.63%. This indicates that AQGRX'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.

Volatility by Period

	AQGRX	AQMIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.46%	2.63%	+0.83%
Volatility (6M) Calculated over the trailing 6-month period	10.25%	6.62%	+3.63%
Volatility (1Y) Calculated over the trailing 1-year period	13.35%	8.69%	+4.66%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	18.24%	11.63%	+6.61%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.83%	10.37%	+7.46%

AQGRX vs. AQMIX - Expense Ratio Comparison

AQGRX has a 0.72% expense ratio, which is lower than AQMIX's 1.25% expense ratio.

Dividends

AQGRX vs. AQMIX - Dividend Comparison

AQGRX's dividend yield for the trailing twelve months is around 11.61%, more than AQMIX's 1.99% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
AQGRX AQR Global Equity Fund Class R6	11.61%	13.12%	13.59%	6.03%	4.51%	12.19%	1.34%	2.41%	4.88%	5.03%	10.54%	0.09%
AQMIX AQR Managed Futures Strategy Fund	1.99%	2.26%	3.83%	8.39%	12.76%	6.94%	5.31%	3.13%	0.00%	0.00%	0.02%	6.51%

Frequently Asked Questions

Can I hold both AQGRX and AQMIX in my portfolio?

AQGRX and AQMIX have a correlation of 0.24, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, AQGRX or AQMIX?

AQGRX has higher volatility (3.46%) compared to AQMIX (2.63%). In terms of maximum drawdown, AQGRX dropped -34.25% vs AQMIX's -26.52%.

Which has better risk-adjusted returns?

AQMIX currently has the higher Sharpe Ratio (3.00 vs 2.49), 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.