AQMIX vs. EVOIX
Compare and contrast key facts about AQR Managed Futures Strategy Fund (AQMIX) and Altegris Futures Evolution Strategy Fund (EVOIX).
AQMIX is managed by AQR Funds. It was launched on Jan 5, 2010. EVOIX is managed by Altegris. It was launched on Oct 30, 2011.
Performance
AQMIX vs. EVOIX - Performance Comparison
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AQMIX vs. EVOIX - 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% |
EVOIX Altegris Futures Evolution Strategy Fund | 4.82% | 4.69% | 3.86% | 5.03% | 12.84% | 12.20% | -12.94% | 4.22% | -7.58% | 9.09% |
Returns By Period
In the year-to-date period, AQMIX achieves a 9.72% return, which is significantly higher than EVOIX's 4.82% return. Over the past 10 years, AQMIX has outperformed EVOIX with an annualized return of 4.43%, while EVOIX has yielded a comparatively lower 2.81% 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%
EVOIX
- 1D
- -0.46%
- 1M
- -0.61%
- YTD
- 4.82%
- 6M
- 10.44%
- 1Y
- 13.47%
- 3Y*
- 7.11%
- 5Y*
- 7.60%
- 10Y*
- 2.81%
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AQMIX vs. EVOIX - Expense Ratio Comparison
AQMIX has a 1.25% expense ratio, which is lower than EVOIX's 1.34% expense ratio.
Return for Risk
AQMIX vs. EVOIX — Risk / Return Rank
AQMIX
EVOIX
AQMIX vs. EVOIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Managed Futures Strategy Fund (AQMIX) and Altegris Futures Evolution Strategy Fund (EVOIX). 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 | EVOIX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 2.16 | 1.29 | +0.86 |
Sortino ratioReturn per unit of downside risk | 2.71 | 1.76 | +0.94 |
Omega ratioGain probability vs. loss probability | 1.40 | 1.24 | +0.17 |
Calmar ratioReturn relative to maximum drawdown | 3.92 | 1.67 | +2.25 |
Martin ratioReturn relative to average drawdown | 11.52 | 3.47 | +8.06 |
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 | EVOIX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.16 | 1.29 | +0.86 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 1.10 | 0.79 | +0.31 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.43 | 0.27 | +0.16 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.41 | 0.39 | +0.01 |
Correlation
The correlation between AQMIX and EVOIX is 0.69, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Dividends
AQMIX vs. EVOIX - Dividend Comparison
AQMIX's dividend yield for the trailing twelve months is around 2.06%, less than EVOIX's 10.11% 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% |
EVOIX Altegris Futures Evolution Strategy Fund | 10.11% | 11.11% | 10.09% | 1.71% | 34.87% | 9.73% | 2.23% | 1.63% | 5.52% | 1.57% | 7.27% | 9.05% |
Drawdowns
AQMIX vs. EVOIX - Drawdown Comparison
The maximum AQMIX drawdown since its inception was -26.52%, smaller than the maximum EVOIX drawdown of -29.57%. Use the drawdown chart below to compare losses from any high point for AQMIX and EVOIX.
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Drawdown Indicators
| AQMIX | EVOIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -26.52% | -29.57% | +3.05% |
Max Drawdown (1Y)Largest decline over 1 year | -5.45% | -7.61% | +2.16% |
Max Drawdown (5Y)Largest decline over 5 years | -13.57% | -18.80% | +5.23% |
Max Drawdown (10Y)Largest decline over 10 years | -23.34% | -29.57% | +6.23% |
Current DrawdownCurrent decline from peak | -0.94% | -1.21% | +0.27% |
Average DrawdownAverage peak-to-trough decline | -10.10% | -8.25% | -1.85% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.85% | 3.73% | -1.88% |
Volatility
AQMIX vs. EVOIX - Volatility Comparison
AQR Managed Futures Strategy Fund (AQMIX) and Altegris Futures Evolution Strategy Fund (EVOIX) have volatilities of 2.58% and 2.50%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| AQMIX | EVOIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.58% | 2.50% | +0.08% |
Volatility (6M)Calculated over the trailing 6-month period | 6.71% | 7.97% | -1.26% |
Volatility (1Y)Calculated over the trailing 1-year period | 9.62% | 10.04% | -0.42% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 11.55% | 9.68% | +1.87% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 10.36% | 10.46% | -0.10% |