AQMIX vs. QMHIX
Compare and contrast key facts about AQR Managed Futures Strategy Fund (AQMIX) and AQR Managed Futures Strategy HV Fund (QMHIX).
AQMIX is managed by AQR Funds. It was launched on Jan 5, 2010. QMHIX is managed by AQR Funds. It was launched on Jul 15, 2013.
Performance
AQMIX vs. QMHIX - Performance Comparison
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AQMIX vs. QMHIX - 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% |
QMHIX AQR Managed Futures Strategy HV Fund | 13.91% | 19.97% | 10.78% | -0.17% | 50.14% | -2.08% | -0.73% | 1.82% | -14.44% | -1.72% |
Returns By Period
In the year-to-date period, AQMIX achieves a 9.72% return, which is significantly lower than QMHIX's 13.91% return. Over the past 10 years, AQMIX has underperformed QMHIX with an annualized return of 4.43%, while QMHIX has yielded a comparatively higher 4.95% 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%
QMHIX
- 1D
- -0.62%
- 1M
- 1.81%
- YTD
- 13.91%
- 6M
- 18.18%
- 1Y
- 26.26%
- 3Y*
- 17.80%
- 5Y*
- 16.32%
- 10Y*
- 4.95%
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AQMIX vs. QMHIX - Expense Ratio Comparison
AQMIX has a 1.25% expense ratio, which is lower than QMHIX's 1.65% expense ratio.
Return for Risk
AQMIX vs. QMHIX — Risk / Return Rank
AQMIX
QMHIX
AQMIX vs. QMHIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Managed Futures Strategy Fund (AQMIX) and AQR Managed Futures Strategy HV Fund (QMHIX). 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 | QMHIX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 2.16 | 1.91 | +0.24 |
Sortino ratioReturn per unit of downside risk | 2.71 | 2.35 | +0.36 |
Omega ratioGain probability vs. loss probability | 1.40 | 1.35 | +0.06 |
Calmar ratioReturn relative to maximum drawdown | 3.92 | 3.33 | +0.58 |
Martin ratioReturn relative to average drawdown | 11.52 | 8.90 | +2.63 |
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 | QMHIX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.16 | 1.91 | +0.24 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 1.10 | 0.95 | +0.14 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.43 | 0.32 | +0.11 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.41 | 0.37 | +0.04 |
Correlation
The correlation between AQMIX and QMHIX is 0.99, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Dividends
AQMIX vs. QMHIX - Dividend Comparison
AQMIX's dividend yield for the trailing twelve months is around 2.06%, more than QMHIX's 1.80% 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% |
QMHIX AQR Managed Futures Strategy HV Fund | 1.80% | 2.05% | 2.31% | 7.66% | 9.34% | 10.96% | 9.52% | 4.18% | 0.00% | 0.00% | 0.01% | 7.57% |
Drawdowns
AQMIX vs. QMHIX - Drawdown Comparison
The maximum AQMIX drawdown since its inception was -26.52%, smaller than the maximum QMHIX drawdown of -39.37%. Use the drawdown chart below to compare losses from any high point for AQMIX and QMHIX.
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Drawdown Indicators
| AQMIX | QMHIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -26.52% | -39.37% | +12.85% |
Max Drawdown (1Y)Largest decline over 1 year | -5.45% | -8.34% | +2.89% |
Max Drawdown (5Y)Largest decline over 5 years | -13.57% | -19.06% | +5.49% |
Max Drawdown (10Y)Largest decline over 10 years | -23.34% | -34.54% | +11.20% |
Current DrawdownCurrent decline from peak | -0.94% | -1.23% | +0.29% |
Average DrawdownAverage peak-to-trough decline | -10.10% | -18.05% | +7.95% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.85% | 3.13% | -1.28% |
Volatility
AQMIX vs. QMHIX - Volatility Comparison
The current volatility for AQR Managed Futures Strategy Fund (AQMIX) is 2.58%, while AQR Managed Futures Strategy HV Fund (QMHIX) has a volatility of 4.04%. This indicates that AQMIX experiences smaller price fluctuations and is considered to be less risky than QMHIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| AQMIX | QMHIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.58% | 4.04% | -1.46% |
Volatility (6M)Calculated over the trailing 6-month period | 6.71% | 10.01% | -3.30% |
Volatility (1Y)Calculated over the trailing 1-year period | 9.62% | 14.15% | -4.53% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 11.55% | 17.26% | -5.71% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 10.36% | 15.50% | -5.14% |