AQMIX vs. ABYIX
Compare and contrast key facts about AQR Managed Futures Strategy Fund (AQMIX) and Abbey Capital Futures Strategy Fund Class I (ABYIX).
AQMIX is managed by AQR Funds. It was launched on Jan 5, 2010. ABYIX is managed by Abbey Capital. It was launched on Jul 1, 2014.
Performance
AQMIX vs. ABYIX - Performance Comparison
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AQMIX vs. ABYIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
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% |
ABYIX Abbey Capital Futures Strategy Fund Class I | 4.53% | 1.62% | 1.11% | -3.29% | 17.06% | 3.39% | 7.92% | 8.84% | -6.15% | -0.09% |
Returns By Period
In the year-to-date period, AQMIX achieves a 9.72% return, which is significantly higher than ABYIX's 4.53% return. Over the past 10 years, AQMIX has outperformed ABYIX with an annualized return of 4.43%, while ABYIX has yielded a comparatively lower 2.83% annualized return.
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%
ABYIX
- 1D
- -0.09%
- 1M
- -1.03%
- YTD
- 4.53%
- 6M
- 7.29%
- 1Y
- 8.69%
- 3Y*
- 2.39%
- 5Y*
- 3.70%
- 10Y*
- 2.83%
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AQMIX vs. ABYIX - Expense Ratio Comparison
AQMIX has a 1.25% expense ratio, which is lower than ABYIX's 1.79% expense ratio.
Return for Risk
AQMIX vs. ABYIX — Risk / Return Rank
AQMIX
ABYIX
AQMIX vs. ABYIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Managed Futures Strategy Fund (AQMIX) and Abbey Capital Futures Strategy Fund Class I (ABYIX). 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.
| AQMIX | ABYIX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 2.16 | 1.09 | +1.07 |
Sortino ratioReturn per unit of downside risk | 2.71 | 1.54 | +1.17 |
Omega ratioGain probability vs. loss probability | 1.40 | 1.20 | +0.20 |
Calmar ratioReturn relative to maximum drawdown | 3.92 | 1.72 | +2.19 |
Martin ratioReturn relative to average drawdown | 11.52 | 3.52 | +8.00 |
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
| AQMIX | ABYIX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.16 | 1.09 | +1.07 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 1.10 | 0.46 | +0.63 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.43 | 0.35 | +0.07 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.41 | 0.53 | -0.12 |
Correlation
The correlation between AQMIX and ABYIX is 0.75, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Dividends
AQMIX vs. ABYIX - Dividend Comparison
AQMIX's dividend yield for the trailing twelve months is around 2.06%, more than ABYIX's 1.27% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
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% |
ABYIX Abbey Capital Futures Strategy Fund Class I | 1.27% | 1.33% | 2.10% | 2.03% | 15.24% | 3.68% | 1.54% | 8.70% | 0.14% | 0.00% | 0.00% | 0.24% |
Drawdowns
AQMIX vs. ABYIX - Drawdown Comparison
The maximum AQMIX drawdown since its inception was -26.52%, which is greater than ABYIX's maximum drawdown of -17.13%. Use the drawdown chart below to compare losses from any high point for AQMIX and ABYIX.
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Drawdown Indicators
| AQMIX | ABYIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -26.52% | -17.13% | -9.39% |
Max Drawdown (1Y)Largest decline over 1 year | -5.45% | -4.36% | -1.09% |
Max Drawdown (5Y)Largest decline over 5 years | -13.57% | -14.66% | +1.09% |
Max Drawdown (10Y)Largest decline over 10 years | -23.34% | -14.74% | -8.60% |
Current DrawdownCurrent decline from peak | -0.94% | -3.10% | +2.16% |
Average DrawdownAverage peak-to-trough decline | -10.10% | -6.74% | -3.36% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.85% | 2.27% | -0.42% |
Volatility
AQMIX vs. ABYIX - Volatility Comparison
AQR Managed Futures Strategy Fund (AQMIX) has a higher volatility of 2.58% compared to Abbey Capital Futures Strategy Fund Class I (ABYIX) at 1.94%. This indicates that AQMIX's price experiences larger fluctuations and is considered to be riskier than ABYIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| AQMIX | ABYIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.58% | 1.94% | +0.64% |
Volatility (6M)Calculated over the trailing 6-month period | 6.71% | 6.43% | +0.28% |
Volatility (1Y)Calculated over the trailing 1-year period | 9.62% | 7.64% | +1.98% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 11.55% | 8.01% | +3.54% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 10.36% | 8.00% | +2.36% |