AQMIX vs. MBXIX
AQMIX (AQR Managed Futures Strategy Fund - Class I) and MBXIX (Catalyst/Millburn Hedge Strategy Fund Class I) are both mutual funds - AQMIX is a Systematic Trend fund managed by AQR, while MBXIX is a Multistrategy fund managed by Catalyst Mutual Funds. Over the past 10 years, AQMIX returned 4.33%/yr vs 7.68%/yr for MBXIX. Their 0.24 correlation means their historical movements had little consistent relationship. AQMIX charges 1.25%/yr vs 2.04%/yr for MBXIX.
Performance
AQMIX vs. MBXIX - Performance Comparison
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Returns By Period
In the year-to-date period, AQMIX achieves a 10.24% return, which is significantly lower than MBXIX's 12.91% return. Over the past 10 years, AQMIX has underperformed MBXIX with an annualized return of 4.33%, while MBXIX has yielded a comparatively higher 7.68% annualized return.
AQMIX
- 1D
- -0.09%
- 1M
- 2.13%
- 6M
- 5.39%
- YTD
- 10.24%
- 1Y
- 23.61%
- 3Y*
- 11.95%
- 5Y*
- 13.71%
- 10Y*
- 4.33%
- ALL TIME*
- 3.97%
MBXIX
- 1D
- -0.28%
- 1M
- -2.01%
- 6M
- 8.54%
- YTD
- 12.91%
- 1Y
- 17.43%
- 3Y*
- 10.12%
- 5Y*
- 7.38%
- 10Y*
- 7.68%
- ALL TIME*
- 8.94%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $0.00 | $0.00 | $0.00 |
AQMIX vs. MBXIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
AQMIX AQR Managed Futures Strategy Fund - Class I | 10.24% | 14.62% | 8.13% | 2.08% | 35.47% | -1.04% | -0.43% | 1.92% | -8.88% | -0.97% |
MBXIX Catalyst/Millburn Hedge Strategy Fund Class I | 12.91% | 4.35% | 13.49% | -0.67% | 7.72% | 16.89% | -0.45% | 13.83% | -2.16% | 13.99% |
Correlation
The correlation between AQMIX and MBXIX is 0.34, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.34 |
Correlation (3Y) Balances recent behavior with more history. | 0.36 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.24 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.27 |
Correlation (All Time) Calculated using the full available price history since Dec 28, 2015 | 0.24 |
The correlation between AQMIX and MBXIX shifts across timeframes, from 0.24 (all time) to 0.36 (3 years), reflecting how their relationship changes across market environments.
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Return for Risk
AQMIX vs. MBXIX — Risk / Return Rank
AQMIX
MBXIX
AQMIX vs. MBXIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Managed Futures Strategy Fund - Class I (AQMIX) and Catalyst/Millburn Hedge Strategy Fund Class I (MBXIX). 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 | MBXIX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.09 | ||
| Sortino ratioReturn per unit of downside risk | -0.10 | ||
| Omega ratioGain probability vs. loss probability | 1.39 | 1.40 | -0.01 |
| Calmar ratioReturn relative to maximum drawdown | 4.20 | 3.88 | +0.32 |
| Martin ratioReturn relative to average drawdown | 14.43 | 14.92 | -0.50 |
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Drawdowns
AQMIX vs. MBXIX - Drawdown Comparison
The maximum AQMIX drawdown since its inception was -26.52%, smaller than the maximum MBXIX drawdown of -31.73%. Use the drawdown chart below to compare losses from any high point for AQMIX and MBXIX.
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Drawdown Indicators
| AQMIX | MBXIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -26.52% | -31.73% | +5.21% |
Max Drawdown (1Y)Largest decline over 1 year | -5.14% | -3.85% | -1.29% |
Max Drawdown (3Y)Largest decline over 3 years | -13.57% | -15.59% | +2.02% |
Max Drawdown (5Y)Largest decline over 5 years | -13.57% | -15.59% | +2.02% |
Max Drawdown (10Y)Largest decline over 10 years | -22.17% | -31.73% | +9.56% |
Current DrawdownCurrent decline from peak | -3.12% | -2.68% | -0.44% |
Average DrawdownAverage peak-to-trough decline | -9.93% | -3.95% | -5.98% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.49% | 1.04% | +0.45% |
Volatility
AQMIX vs. MBXIX - Volatility Comparison
AQR Managed Futures Strategy Fund - Class I (AQMIX) has a higher volatility of 3.39% compared to Catalyst/Millburn Hedge Strategy Fund Class I (MBXIX) at 1.59%. This indicates that AQMIX's price experiences larger fluctuations and is considered to be riskier than MBXIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| AQMIX | MBXIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.39% | 1.59% | +1.80% |
Volatility (6M)Calculated over the trailing 6-month period | 7.39% | 4.89% | +2.50% |
Volatility (1Y)Calculated over the trailing 1-year period | 9.57% | 6.90% | +2.67% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 11.60% | 11.40% | +0.20% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 10.26% | 13.36% | -3.10% |
AQMIX vs. MBXIX - Expense Ratio Comparison
AQMIX has a 1.25% expense ratio, which is lower than MBXIX's 2.04% expense ratio.
Dividends
AQMIX vs. MBXIX - Dividend Comparison
AQMIX's dividend yield for the trailing twelve months is around 2.05%, while MBXIX 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 - Class I | 2.05% | 2.26% | 3.83% | 8.39% | 12.76% | 6.94% | 5.31% | 3.13% | 0.00% | 0.00% | 0.02% | 6.51% |
MBXIX Catalyst/Millburn Hedge Strategy Fund Class I | 0.00% | 0.00% | 2.63% | 2.25% | 7.74% | 0.00% | 4.27% | 5.18% | 3.33% | 3.33% | 1.91% | 0.00% |
Frequently Asked Questions
AQMIX and MBXIX have a correlation of 0.34, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
AQMIX has higher volatility (3.39%) compared to MBXIX (1.59%). In terms of maximum drawdown, AQMIX dropped -26.52% vs MBXIX's -31.73%.
AQMIX currently has the higher Sharpe Ratio (2.26 vs 2.16), 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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