AQMIX vs. ARCIX
Compare and contrast key facts about AQR Managed Futures Strategy Fund (AQMIX) and AQR Risk-Balanced Commodities Strategy Fund (ARCIX).
AQMIX is managed by AQR Funds. It was launched on Jan 5, 2010. ARCIX is managed by AQR Funds. It was launched on Jul 8, 2012.
Performance
AQMIX vs. ARCIX - Performance Comparison
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AQMIX vs. ARCIX - 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% |
ARCIX AQR Risk-Balanced Commodities Strategy Fund | 17.04% | 20.99% | 7.43% | -0.22% | 21.39% | 39.74% | 8.15% | 18.15% | -17.56% | 10.41% |
Returns By Period
In the year-to-date period, AQMIX achieves a 10.24% return, which is significantly lower than ARCIX's 17.04% return. Over the past 10 years, AQMIX has underperformed ARCIX with an annualized return of 4.48%, while ARCIX has yielded a comparatively higher 12.98% 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%
ARCIX
- 1D
- 0.56%
- 1M
- 6.06%
- YTD
- 17.04%
- 6M
- 26.39%
- 1Y
- 30.67%
- 3Y*
- 14.38%
- 5Y*
- 18.72%
- 10Y*
- 12.98%
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AQMIX vs. ARCIX - Expense Ratio Comparison
AQMIX has a 1.25% expense ratio, which is higher than ARCIX's 1.00% expense ratio.
Return for Risk
AQMIX vs. ARCIX — Risk / Return Rank
AQMIX
ARCIX
AQMIX vs. ARCIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Managed Futures Strategy Fund (AQMIX) and AQR Risk-Balanced Commodities Strategy Fund (ARCIX). 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 | ARCIX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 2.26 | 1.98 | +0.29 |
Sortino ratioReturn per unit of downside risk | 2.83 | 2.48 | +0.35 |
Omega ratioGain probability vs. loss probability | 1.42 | 1.37 | +0.06 |
Calmar ratioReturn relative to maximum drawdown | 3.87 | 3.08 | +0.80 |
Martin ratioReturn relative to average drawdown | 11.40 | 9.79 | +1.61 |
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
| AQMIX | ARCIX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.26 | 1.98 | +0.29 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 1.10 | 0.98 | +0.12 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.43 | 0.75 | -0.31 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.41 | 0.31 | +0.10 |
Correlation
The correlation between AQMIX and ARCIX is -0.01. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.
Dividends
AQMIX vs. ARCIX - Dividend Comparison
AQMIX's dividend yield for the trailing twelve months is around 2.05%, less than ARCIX's 11.48% 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% |
ARCIX AQR Risk-Balanced Commodities Strategy Fund | 11.48% | 13.44% | 2.11% | 7.56% | 9.51% | 18.23% | 0.09% | 5.19% | 0.67% | 0.01% | 4.82% | 0.00% |
Drawdowns
AQMIX vs. ARCIX - Drawdown Comparison
The maximum AQMIX drawdown since its inception was -26.52%, smaller than the maximum ARCIX drawdown of -54.25%. Use the drawdown chart below to compare losses from any high point for AQMIX and ARCIX.
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Drawdown Indicators
| AQMIX | ARCIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -26.52% | -54.25% | +27.73% |
Max Drawdown (1Y)Largest decline over 1 year | -5.45% | -10.19% | +4.74% |
Max Drawdown (5Y)Largest decline over 5 years | -13.57% | -20.29% | +6.72% |
Max Drawdown (10Y)Largest decline over 10 years | -23.34% | -32.45% | +9.11% |
Current DrawdownCurrent decline from peak | -0.47% | -1.09% | +0.62% |
Average DrawdownAverage peak-to-trough decline | -10.10% | -25.68% | +15.58% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.85% | 3.21% | -1.36% |
Volatility
AQMIX vs. ARCIX - Volatility Comparison
The current volatility for AQR Managed Futures Strategy Fund (AQMIX) is 2.54%, while AQR Risk-Balanced Commodities Strategy Fund (ARCIX) has a volatility of 5.41%. This indicates that AQMIX experiences smaller price fluctuations and is considered to be less risky than ARCIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| AQMIX | ARCIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.54% | 5.41% | -2.87% |
Volatility (6M)Calculated over the trailing 6-month period | 6.69% | 12.64% | -5.95% |
Volatility (1Y)Calculated over the trailing 1-year period | 9.62% | 15.98% | -6.36% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 11.55% | 19.17% | -7.62% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 10.36% | 17.46% | -7.10% |