AQMIX vs. INDA
AQMIX (AQR Managed Futures Strategy Fund) and INDA (iShares MSCI India ETF) are both funds - AQMIX is a Systematic Trend fund managed by AQR Funds, while INDA is a Asia Pacific Equities fund tracking the MSCI India Index. Over the past 10 years, AQMIX returned 4.69%/yr vs 7.09%/yr for INDA. At a 0.02 correlation, their price movements are largely independent. AQMIX charges 1.25%/yr vs 0.69%/yr for INDA.
Performance
AQMIX vs. INDA - Performance Comparison
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Returns By Period
In the year-to-date period, AQMIX achieves a 11.18% return, which is significantly higher than INDA's -10.58% return. Over the past 10 years, AQMIX has underperformed INDA with an annualized return of 4.69%, while INDA has yielded a comparatively higher 7.09% annualized return.
AQMIX
- 1D
- -0.37%
- 1M
- -1.94%
- YTD
- 11.18%
- 6M
- 13.01%
- 1Y
- 24.52%
- 3Y*
- 12.13%
- 5Y*
- 12.71%
- 10Y*
- 4.69%
INDA
- 1D
- 1.13%
- 1M
- -0.06%
- YTD
- -10.58%
- 6M
- -9.05%
- 1Y
- -10.57%
- 3Y*
- 4.51%
- 5Y*
- 2.79%
- 10Y*
- 7.09%
AQMIX vs. INDA - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
AQMIX AQR Managed Futures Strategy Fund | 11.18% | 14.62% | 8.13% | 2.08% | 35.47% | -1.04% | -0.43% | 1.92% | -8.88% | -0.97% |
INDA iShares MSCI India ETF | -10.58% | 2.68% | 8.63% | 17.16% | -8.94% | 21.36% | 14.83% | 6.49% | -6.67% | 36.08% |
Correlation
The correlation between AQMIX and INDA is -0.12, 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 | -0.12 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.01 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.08 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.02 |
Correlation (All Time) Calculated using the full available price history since Feb 3, 2012 | 0.02 |
The correlation between AQMIX and INDA shifts across timeframes, from -0.12 (1 year) to 0.02 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
AQMIX vs. INDA — Risk / Return Rank
AQMIX
INDA
AQMIX vs. INDA - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Managed Futures Strategy Fund (AQMIX) and iShares MSCI India ETF (INDA). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| AQMIX | INDA | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +3.63 | ||
| Sortino ratioReturn per unit of downside risk | +4.96 | ||
| Omega ratioGain probability vs. loss probability | 1.50 | 0.88 | +0.63 |
| Calmar ratioReturn relative to maximum drawdown | 8.20 | -0.63 | +8.83 |
| Martin ratioReturn relative to average drawdown | 26.10 | -1.46 | +27.56 |
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Drawdowns
AQMIX vs. INDA - Drawdown Comparison
The maximum AQMIX drawdown since its inception was -26.52%, smaller than the maximum INDA drawdown of -45.07%. Use the drawdown chart below to compare losses from any high point for AQMIX and INDA.
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Drawdown Indicators
| AQMIX | INDA | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -26.52% | -45.07% | +18.55% |
Max Drawdown (1Y)Largest decline over 1 year | -3.02% | -18.69% | +15.67% |
Max Drawdown (3Y)Largest decline over 3 years | -13.57% | -22.72% | +9.15% |
Max Drawdown (5Y)Largest decline over 5 years | -13.57% | -22.72% | +9.15% |
Max Drawdown (10Y)Largest decline over 10 years | -23.34% | -45.07% | +21.73% |
Current DrawdownCurrent decline from peak | -2.30% | -17.77% | +15.47% |
Average DrawdownAverage peak-to-trough decline | -9.99% | -9.59% | -0.40% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.94% | 8.09% | -7.15% |
Volatility
AQMIX vs. INDA - Volatility Comparison
The current volatility for AQR Managed Futures Strategy Fund (AQMIX) is 2.41%, while iShares MSCI India ETF (INDA) has a volatility of 4.16%. This indicates that AQMIX experiences smaller price fluctuations and is considered to be less risky than INDA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| AQMIX | INDA | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.41% | 4.16% | -1.75% |
Volatility (6M)Calculated over the trailing 6-month period | 6.72% | 12.77% | -6.05% |
Volatility (1Y)Calculated over the trailing 1-year period | 8.74% | 14.79% | -6.05% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 11.62% | 15.40% | -3.78% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 10.37% | 21.11% | -10.74% |
AQMIX vs. INDA - Expense Ratio Comparison
AQMIX has a 1.25% expense ratio, which is higher than INDA's 0.69% expense ratio.
Dividends
AQMIX vs. INDA - Dividend Comparison
AQMIX's dividend yield for the trailing twelve months is around 2.03%, while INDA has not paid dividends to shareholders.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
AQMIX AQR Managed Futures Strategy Fund | 2.03% | 2.26% | 3.83% | 8.39% | 12.76% | 6.94% | 5.31% | 3.13% | 0.00% | 0.00% | 0.02% | 6.51% |
INDA iShares MSCI India ETF | 0.00% | 0.00% | 0.76% | 0.16% | 0.00% | 6.44% | 0.27% | 0.99% | 0.94% | 1.09% | 0.90% | 1.19% |
Frequently Asked Questions
AQMIX and INDA have a correlation of -0.12, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
INDA has higher volatility (4.16%) compared to AQMIX (2.41%). In terms of maximum drawdown, AQMIX dropped -26.52% vs INDA's -45.07%.
AQMIX currently has the higher Sharpe Ratio (2.83 vs -0.80), 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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