AQMIX vs. QDSIX

Last updated Jun 24, 2026

AQMIX (AQR Managed Futures Strategy Fund) and QDSIX (AQR Diversifying Strategies Fund) are both mutual funds - AQMIX is a Systematic Trend fund managed by AQR Funds, while QDSIX is a Multistrategy fund managed by AQR Funds. Over the past 5 years, AQMIX returned 13.30%/yr vs 11.53%/yr for QDSIX. A 0.53 correlation means they provide meaningful diversification when combined. AQMIX charges 1.25%/yr vs 0.20%/yr for QDSIX.

Performance

AQMIX vs. QDSIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AQR Managed Futures Strategy Fund (AQMIX) and AQR Diversifying Strategies Fund (QDSIX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, AQMIX achieves a 11.91% return, which is significantly higher than QDSIX's 5.50% return.

AQMIX

• 1D: 1.13%
• 1M: -0.37%
• YTD: 11.91%
• 6M: 12.39%
• 1Y: 25.63%
• 3Y*: 11.91%
• 5Y*: 13.30%
• 10Y*: 4.55%

QDSIX

• 1D: 0.41%
• 1M: 0.41%
• YTD: 5.50%
• 6M: 5.72%
• 1Y: 13.96%
• 3Y*: 12.64%
• 5Y*: 11.53%
• 10Y*: —

*Multi-year figures are annualized to reflect compound growth (CAGR)

AQMIX vs. QDSIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
AQMIX AQR Managed Futures Strategy Fund	11.91%	14.62%	8.13%	2.08%	35.47%	-1.04%	1.15%
QDSIX AQR Diversifying Strategies Fund	5.50%	16.36%	9.71%	8.88%	14.69%	10.64%	5.50%

Correlation

The correlation between AQMIX and QDSIX is 0.65, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.65
Correlation (3Y) Calculated over the trailing 3-year period	0.56
Correlation (5Y) Calculated over the trailing 5-year period	0.52
Correlation (All Time) Calculated using the full available price history since Jun 10, 2020	0.53

The correlation between AQMIX and QDSIX shifts across timeframes, from 0.52 (5 years) to 0.65 (1 year), reflecting how their relationship changes across market environments.

Return for Risk

AQMIX vs. QDSIX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

AQMIX

AQMIX Risk / Return Rank: 92
AQMIX Sharpe Ratio Rank: 93
AQMIX Sortino Ratio Rank: 89
AQMIX Omega Ratio Rank: 84
AQMIX Calmar Ratio Rank: 98
AQMIX Martin Ratio Rank: 97

QDSIX

QDSIX Risk / Return Rank: 91
QDSIX Sharpe Ratio Rank: 90
QDSIX Sortino Ratio Rank: 90
QDSIX Omega Ratio Rank: 84
QDSIX Calmar Ratio Rank: 98
QDSIX Martin Ratio Rank: 95

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

AQMIX vs. QDSIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for AQR Managed Futures Strategy Fund (AQMIX) and AQR Diversifying Strategies Fund (QDSIX). 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	QDSIX	Difference
Sharpe ratio: Return per unit of total volatility	2.93	2.75	+0.17
Sortino ratio: Return per unit of downside risk	4.00	4.07	-0.07
Omega ratio: Gain probability vs. loss probability	1.52	1.52	0.00
Calmar ratio: Return relative to maximum drawdown	8.58	7.21	+1.37
Martin ratio: Return relative to average drawdown	25.60	19.76	+5.84

AQMIX vs. QDSIX - Sharpe Ratio Comparison

The current AQMIX Sharpe Ratio is 2.93, which is comparable to the QDSIX Sharpe Ratio of 2.75. The chart below compares the historical Sharpe Ratios of AQMIX and QDSIX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

AQMIX vs. QDSIX - Drawdown Comparison

The maximum AQMIX drawdown since its inception was -26.52%, which is greater than QDSIX's maximum drawdown of -7.06%. Use the drawdown chart below to compare losses from any high point for AQMIX and QDSIX.

Drawdown Indicators

	AQMIX	QDSIX	Difference
Max Drawdown Largest peak-to-trough decline	-26.52%	-7.06%	-19.46%
Max Drawdown (1Y) Largest decline over 1 year	-3.03%	-1.96%	-1.07%
Max Drawdown (3Y) Largest decline over 3 years	-13.57%	-6.90%	-6.67%
Max Drawdown (5Y) Largest decline over 5 years	-13.57%	-7.06%	-6.51%
Max Drawdown (10Y) Largest decline over 10 years	-23.34%	—	—
Current Drawdown Current decline from peak	-1.65%	-0.94%	-0.71%
Average Drawdown Average peak-to-trough decline	-9.98%	-1.44%	-8.54%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.01%	0.71%	+0.30%

Volatility

AQMIX vs. QDSIX - Volatility Comparison

AQR Managed Futures Strategy Fund (AQMIX) has a higher volatility of 2.83% compared to AQR Diversifying Strategies Fund (QDSIX) at 1.80%. This indicates that AQMIX's price experiences larger fluctuations and is considered to be riskier than QDSIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	AQMIX	QDSIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.83%	1.80%	+1.03%
Volatility (6M) Calculated over the trailing 6-month period	6.82%	3.66%	+3.16%
Volatility (1Y) Calculated over the trailing 1-year period	8.90%	5.14%	+3.76%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	11.60%	7.62%	+3.98%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	10.36%	7.31%	+3.05%

AQMIX vs. QDSIX - Expense Ratio Comparison

AQMIX has a 1.25% expense ratio, which is higher than QDSIX's 0.20% expense ratio.

Dividends

AQMIX vs. QDSIX - Dividend Comparison

AQMIX's dividend yield for the trailing twelve months is around 2.02%, less than QDSIX's 2.12% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
AQMIX AQR Managed Futures Strategy Fund	2.02%	2.26%	3.83%	8.39%	12.76%	6.94%	5.31%	3.13%	0.00%	0.00%	0.02%	6.51%
QDSIX AQR Diversifying Strategies Fund	2.12%	2.23%	0.00%	11.35%	8.22%	6.07%	1.93%	0.00%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both AQMIX and QDSIX in my portfolio?

AQMIX and QDSIX have a correlation of 0.65, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, AQMIX or QDSIX?

AQMIX has higher volatility (2.83%) compared to QDSIX (1.80%). In terms of maximum drawdown, AQMIX dropped -26.52% vs QDSIX's -7.06%.

Which has better risk-adjusted returns?

AQMIX currently has the higher Sharpe Ratio (2.93 vs 2.75), 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.