AQMIX vs. AMFAX
Compare and contrast key facts about AQR Managed Futures Strategy Fund (AQMIX) and AlphaSimplex Managed Futures Strategy Fund Class A (AMFAX).
AQMIX is managed by AQR Funds. It was launched on Jan 5, 2010. AMFAX is managed by BlackRock. It was launched on Jul 30, 2010.
Performance
AQMIX vs. AMFAX - Performance Comparison
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AQMIX vs. AMFAX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
AQMIX AQR Managed Futures Strategy Fund | 10.24% | 14.62% | 8.13% | 2.08% | 35.47% | -1.04% | -0.43% | 1.92% | -8.88% | -0.97% |
AMFAX AlphaSimplex Managed Futures Strategy Fund Class A | 6.43% | -9.75% | -3.56% | -10.59% | 35.38% | 3.28% | 13.29% | 8.03% | -12.87% | 6.54% |
Returns By Period
In the year-to-date period, AQMIX achieves a 10.24% return, which is significantly higher than AMFAX's 6.43% return. Over the past 10 years, AQMIX has outperformed AMFAX with an annualized return of 4.48%, while AMFAX has yielded a comparatively lower 1.54% annualized return.
AQMIX
- 1D
- -0.47%
- 1M
- 1.83%
- YTD
- 10.24%
- 6M
- 13.71%
- 1Y
- 21.11%
- 3Y*
- 13.50%
- 5Y*
- 12.65%
- 10Y*
- 4.48%
AMFAX
- 1D
- 0.00%
- 1M
- -1.70%
- YTD
- 6.43%
- 6M
- 10.88%
- 1Y
- 3.13%
- 3Y*
- -3.17%
- 5Y*
- 2.03%
- 10Y*
- 1.54%
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AQMIX vs. AMFAX - Expense Ratio Comparison
AQMIX has a 1.25% expense ratio, which is lower than AMFAX's 1.72% expense ratio.
Return for Risk
AQMIX vs. AMFAX — Risk / Return Rank
AQMIX
AMFAX
AQMIX vs. AMFAX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Managed Futures Strategy Fund (AQMIX) and AlphaSimplex Managed Futures Strategy Fund Class A (AMFAX). 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 | AMFAX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 2.26 | 0.15 | +2.11 |
Sortino ratioReturn per unit of downside risk | 2.83 | 0.27 | +2.56 |
Omega ratioGain probability vs. loss probability | 1.42 | 1.04 | +0.38 |
Calmar ratioReturn relative to maximum drawdown | 3.87 | 0.08 | +3.80 |
Martin ratioReturn relative to average drawdown | 11.40 | 0.13 | +11.27 |
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 | AMFAX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.26 | 0.15 | +2.11 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 1.10 | 0.15 | +0.95 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.43 | 0.12 | +0.31 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.41 | 0.28 | +0.13 |
Correlation
The correlation between AQMIX and AMFAX is 0.73, 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. AMFAX - Dividend Comparison
AQMIX's dividend yield for the trailing twelve months is around 2.05%, more than AMFAX's 1.73% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
AQMIX AQR Managed Futures Strategy Fund | 2.05% | 2.26% | 3.83% | 8.39% | 12.76% | 6.94% | 5.31% | 3.13% | 0.00% | 0.00% | 0.02% | 6.51% |
AMFAX AlphaSimplex Managed Futures Strategy Fund Class A | 1.73% | 1.84% | 1.28% | 0.30% | 32.70% | 5.74% | 3.14% | 4.71% | 1.31% | 0.00% | 0.00% | 4.92% |
Drawdowns
AQMIX vs. AMFAX - Drawdown Comparison
The maximum AQMIX drawdown since its inception was -26.52%, smaller than the maximum AMFAX drawdown of -36.84%. Use the drawdown chart below to compare losses from any high point for AQMIX and AMFAX.
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Drawdown Indicators
| AQMIX | AMFAX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -26.52% | -36.84% | +10.32% |
Max Drawdown (1Y)Largest decline over 1 year | -5.45% | -13.54% | +8.09% |
Max Drawdown (5Y)Largest decline over 5 years | -13.57% | -36.84% | +23.27% |
Max Drawdown (10Y)Largest decline over 10 years | -23.34% | -36.84% | +13.50% |
Current DrawdownCurrent decline from peak | -0.47% | -25.04% | +24.57% |
Average DrawdownAverage peak-to-trough decline | -10.10% | -13.54% | +3.44% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.85% | 8.79% | -6.94% |
Volatility
AQMIX vs. AMFAX - Volatility Comparison
The current volatility for AQR Managed Futures Strategy Fund (AQMIX) is 2.54%, while AlphaSimplex Managed Futures Strategy Fund Class A (AMFAX) has a volatility of 3.94%. This indicates that AQMIX experiences smaller price fluctuations and is considered to be less risky than AMFAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| AQMIX | AMFAX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.54% | 3.94% | -1.40% |
Volatility (6M)Calculated over the trailing 6-month period | 6.69% | 10.02% | -3.33% |
Volatility (1Y)Calculated over the trailing 1-year period | 9.62% | 13.06% | -3.44% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 11.55% | 13.68% | -2.13% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 10.36% | 12.67% | -2.31% |