AQMIX vs. QMNIX
Compare and contrast key facts about AQR Managed Futures Strategy Fund (AQMIX) and AQR Equity Market Neutral Fund Class I (QMNIX).
AQMIX is managed by AQR Funds. It was launched on Jan 5, 2010. QMNIX is an actively managed fund by AQR Funds. It was launched on Oct 7, 2014.
Performance
AQMIX vs. QMNIX - Performance Comparison
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AQMIX vs. QMNIX - 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% |
QMNIX AQR Equity Market Neutral Fund Class I | -3.44% | 26.54% | 25.85% | 16.61% | 27.26% | 17.64% | -19.62% | -11.30% | -11.73% | 5.85% |
Returns By Period
In the year-to-date period, AQMIX achieves a 9.72% return, which is significantly higher than QMNIX's -3.44% return. Over the past 10 years, AQMIX has underperformed QMNIX with an annualized return of 4.43%, while QMNIX has yielded a comparatively higher 6.34% 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%
QMNIX
- 1D
- -0.08%
- 1M
- 0.50%
- YTD
- -3.44%
- 6M
- 2.09%
- 1Y
- 11.09%
- 3Y*
- 21.03%
- 5Y*
- 18.66%
- 10Y*
- 6.34%
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AQMIX vs. QMNIX - Expense Ratio Comparison
AQMIX has a 1.25% expense ratio, which is lower than QMNIX's 5.48% expense ratio.
Return for Risk
AQMIX vs. QMNIX — Risk / Return Rank
AQMIX
QMNIX
AQMIX vs. QMNIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Managed Futures Strategy Fund (AQMIX) and AQR Equity Market Neutral Fund Class I (QMNIX). 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 | QMNIX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 2.16 | 1.81 | +0.34 |
Sortino ratioReturn per unit of downside risk | 2.71 | 2.46 | +0.24 |
Omega ratioGain probability vs. loss probability | 1.40 | 1.35 | +0.05 |
Calmar ratioReturn relative to maximum drawdown | 3.92 | 2.14 | +1.78 |
Martin ratioReturn relative to average drawdown | 11.52 | 5.39 | +6.13 |
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 | QMNIX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.16 | 1.81 | +0.34 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 1.10 | 1.98 | -0.88 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.43 | 0.77 | -0.35 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.41 | 0.91 | -0.50 |
Correlation
The correlation between AQMIX and QMNIX is 0.25, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Dividends
AQMIX vs. QMNIX - Dividend Comparison
AQMIX's dividend yield for the trailing twelve months is around 2.06%, more than QMNIX's 1.46% 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% |
QMNIX AQR Equity Market Neutral Fund Class I | 1.46% | 1.41% | 6.10% | 21.48% | 5.95% | 1.39% | 17.42% | 3.83% | 0.48% | 3.48% | 1.51% | 2.57% |
Drawdowns
AQMIX vs. QMNIX - Drawdown Comparison
The maximum AQMIX drawdown since its inception was -26.52%, smaller than the maximum QMNIX drawdown of -38.80%. Use the drawdown chart below to compare losses from any high point for AQMIX and QMNIX.
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Drawdown Indicators
| AQMIX | QMNIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -26.52% | -38.80% | +12.28% |
Max Drawdown (1Y)Largest decline over 1 year | -5.45% | -5.43% | -0.02% |
Max Drawdown (5Y)Largest decline over 5 years | -13.57% | -14.05% | +0.48% |
Max Drawdown (10Y)Largest decline over 10 years | -23.34% | -38.80% | +15.46% |
Current DrawdownCurrent decline from peak | -0.94% | -3.75% | +2.81% |
Average DrawdownAverage peak-to-trough decline | -10.10% | -10.39% | +0.29% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.85% | 2.15% | -0.30% |
Volatility
AQMIX vs. QMNIX - Volatility Comparison
AQR Managed Futures Strategy Fund (AQMIX) has a higher volatility of 2.58% compared to AQR Equity Market Neutral Fund Class I (QMNIX) at 1.31%. This indicates that AQMIX's price experiences larger fluctuations and is considered to be riskier than QMNIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| AQMIX | QMNIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.58% | 1.31% | +1.27% |
Volatility (6M)Calculated over the trailing 6-month period | 6.71% | 4.13% | +2.58% |
Volatility (1Y)Calculated over the trailing 1-year period | 9.62% | 6.31% | +3.31% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 11.55% | 9.49% | +2.06% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 10.36% | 8.22% | +2.14% |