AQMIX vs. IEF
AQMIX (AQR Managed Futures Strategy Fund) and IEF (iShares 7-10 Year Treasury Bond ETF) are both funds - AQMIX is a Systematic Trend fund managed by AQR Funds, while IEF is a Government Bonds fund tracking the ICE U.S. Treasury 7-10 Year Bond Index. Over the past 10 years, AQMIX returned 5.03%/yr vs 0.60%/yr for IEF. At a correlation of -0.11, they often move in opposite directions. AQMIX charges 1.25%/yr vs 0.15%/yr for IEF.
Performance
AQMIX vs. IEF - Performance Comparison
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Returns By Period
In the year-to-date period, AQMIX achieves a 13.06% return, which is significantly higher than IEF's -1.06% return. Over the past 10 years, AQMIX has outperformed IEF with an annualized return of 5.03%, while IEF has yielded a comparatively lower 0.60% annualized return.
AQMIX
- 1D
- -0.64%
- 1M
- 1.98%
- YTD
- 13.06%
- 6M
- 14.93%
- 1Y
- 26.05%
- 3Y*
- 12.50%
- 5Y*
- 12.73%
- 10Y*
- 5.03%
IEF
- 1D
- -0.53%
- 1M
- -0.82%
- YTD
- -1.06%
- 6M
- -1.06%
- 1Y
- 4.02%
- 3Y*
- 2.32%
- 5Y*
- -1.22%
- 10Y*
- 0.60%
AQMIX vs. IEF - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
AQMIX AQR Managed Futures Strategy Fund | 13.06% | 14.62% | 8.13% | 2.08% | 35.47% | -1.04% | -0.43% | 1.92% | -8.88% | -0.97% |
IEF iShares 7-10 Year Treasury Bond ETF | -1.06% | 8.03% | -0.63% | 3.64% | -15.15% | -3.33% | 10.01% | 8.03% | 0.99% | 2.55% |
Correlation
The correlation between AQMIX and IEF is -0.22, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.22 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.27 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.45 |
Correlation (10Y) Calculated over the trailing 10-year period | -0.22 |
Correlation (All Time) Calculated using the full available price history since Jan 6, 2010 | -0.11 |
The correlation between AQMIX and IEF shifts across timeframes, from -0.45 (5 years) to -0.11 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
AQMIX vs. IEF — Risk / Return Rank
AQMIX
IEF
AQMIX vs. IEF - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Managed Futures Strategy Fund (AQMIX) and iShares 7-10 Year Treasury Bond ETF (IEF). 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 | IEF | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +2.22 | ||
| Sortino ratioReturn per unit of downside risk | +2.94 | ||
| Omega ratioGain probability vs. loss probability | 1.52 | 1.12 | +0.40 |
| Calmar ratioReturn relative to maximum drawdown | 8.37 | 0.79 | +7.59 |
| Martin ratioReturn relative to average drawdown | 26.61 | 2.30 | +24.31 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| AQMIX | IEF | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.90 | 0.68 | +2.22 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 1.10 | -0.16 | +1.26 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.49 | 0.09 | +0.40 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.42 | 0.50 | -0.07 |
Drawdowns
AQMIX vs. IEF - Drawdown Comparison
The maximum AQMIX drawdown since its inception was -26.52%, which is greater than IEF's maximum drawdown of -23.93%. Use the drawdown chart below to compare losses from any high point for AQMIX and IEF.
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Drawdown Indicators
| AQMIX | IEF | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -26.52% | -23.93% | -2.59% |
Max Drawdown (1Y)Largest decline over 1 year | -3.02% | -4.07% | +1.05% |
Max Drawdown (3Y)Largest decline over 3 years | -13.57% | -7.74% | -5.83% |
Max Drawdown (5Y)Largest decline over 5 years | -13.57% | -21.40% | +7.83% |
Max Drawdown (10Y)Largest decline over 10 years | -23.34% | -23.93% | +0.59% |
Current DrawdownCurrent decline from peak | -0.64% | -11.70% | +11.06% |
Average DrawdownAverage peak-to-trough decline | -10.00% | -5.35% | -4.65% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.97% | 1.39% | -0.42% |
Volatility
AQMIX vs. IEF - Volatility Comparison
AQR Managed Futures Strategy Fund (AQMIX) has a higher volatility of 2.72% compared to iShares 7-10 Year Treasury Bond ETF (IEF) at 1.53%. This indicates that AQMIX's price experiences larger fluctuations and is considered to be riskier than IEF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| AQMIX | IEF | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.72% | 1.53% | +1.19% |
Volatility (6M)Calculated over the trailing 6-month period | 6.66% | 3.38% | +3.28% |
Volatility (1Y)Calculated over the trailing 1-year period | 8.72% | 4.76% | +3.96% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 11.63% | 7.71% | +3.92% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 10.37% | 6.62% | +3.75% |
AQMIX vs. IEF - Expense Ratio Comparison
AQMIX has a 1.25% expense ratio, which is higher than IEF's 0.15% expense ratio.
Dividends
AQMIX vs. IEF - Dividend Comparison
AQMIX's dividend yield for the trailing twelve months is around 2.00%, less than IEF's 3.92% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
AQMIX AQR Managed Futures Strategy Fund | 2.00% | 2.26% | 3.83% | 8.39% | 12.76% | 6.94% | 5.31% | 3.13% | 0.00% | 0.00% | 0.02% | 6.51% |
IEF iShares 7-10 Year Treasury Bond ETF | 3.92% | 3.77% | 3.62% | 2.91% | 1.96% | 0.83% | 1.08% | 2.08% | 2.24% | 1.82% | 1.81% | 1.90% |
Frequently Asked Questions
AQMIX and IEF have a correlation of -0.22, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
AQMIX has higher volatility (2.72%) compared to IEF (1.53%). In terms of maximum drawdown, AQMIX dropped -26.52% vs IEF's -23.93%.
AQMIX currently has the higher Sharpe Ratio (2.90 vs 0.68), 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.
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