AQMIX vs. QMNNX
Compare and contrast key facts about AQR Managed Futures Strategy Fund (AQMIX) and AQR Equity Market Neutral Fund N (QMNNX).
AQMIX is managed by AQR Funds. It was launched on Jan 5, 2010. QMNNX is managed by AQR Funds. It was launched on Oct 7, 2014.
Performance
AQMIX vs. QMNNX - Performance Comparison
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AQMIX vs. QMNNX - 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% |
QMNNX AQR Equity Market Neutral Fund N | -3.52% | 26.19% | 25.43% | 16.30% | 27.07% | 17.38% | -19.79% | -11.55% | -11.94% | 5.56% |
Returns By Period
In the year-to-date period, AQMIX achieves a 9.72% return, which is significantly higher than QMNNX's -3.52% return. Over the past 10 years, AQMIX has underperformed QMNNX with an annualized return of 4.43%, while QMNNX has yielded a comparatively higher 6.07% 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%
QMNNX
- 1D
- -0.17%
- 1M
- 0.43%
- YTD
- -3.52%
- 6M
- 1.87%
- 1Y
- 10.76%
- 3Y*
- 20.68%
- 5Y*
- 18.37%
- 10Y*
- 6.07%
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AQMIX vs. QMNNX - Expense Ratio Comparison
AQMIX has a 1.25% expense ratio, which is lower than QMNNX's 5.28% expense ratio.
Return for Risk
AQMIX vs. QMNNX — Risk / Return Rank
AQMIX
QMNNX
AQMIX vs. QMNNX - 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 N (QMNNX). 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 | QMNNX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 2.16 | 1.77 | +0.39 |
Sortino ratioReturn per unit of downside risk | 2.71 | 2.40 | +0.31 |
Omega ratioGain probability vs. loss probability | 1.40 | 1.33 | +0.07 |
Calmar ratioReturn relative to maximum drawdown | 3.92 | 2.06 | +1.86 |
Martin ratioReturn relative to average drawdown | 11.52 | 5.15 | +6.38 |
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 | QMNNX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.16 | 1.77 | +0.39 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 1.10 | 1.94 | -0.84 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.43 | 0.74 | -0.31 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.41 | 0.87 | -0.47 |
Correlation
The correlation between AQMIX and QMNNX is 0.26, 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. QMNNX - Dividend Comparison
AQMIX's dividend yield for the trailing twelve months is around 2.06%, more than QMNNX's 1.30% 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% |
QMNNX AQR Equity Market Neutral Fund N | 1.30% | 1.26% | 6.06% | 21.67% | 5.77% | 1.41% | 17.64% | 3.86% | 0.49% | 3.37% | 1.19% | 2.51% |
Drawdowns
AQMIX vs. QMNNX - Drawdown Comparison
The maximum AQMIX drawdown since its inception was -26.52%, smaller than the maximum QMNNX drawdown of -39.22%. Use the drawdown chart below to compare losses from any high point for AQMIX and QMNNX.
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Drawdown Indicators
| AQMIX | QMNNX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -26.52% | -39.22% | +12.70% |
Max Drawdown (1Y)Largest decline over 1 year | -5.45% | -5.47% | +0.02% |
Max Drawdown (5Y)Largest decline over 5 years | -13.57% | -14.23% | +0.66% |
Max Drawdown (10Y)Largest decline over 10 years | -23.34% | -39.22% | +15.88% |
Current DrawdownCurrent decline from peak | -0.94% | -3.92% | +2.98% |
Average DrawdownAverage peak-to-trough decline | -10.10% | -10.67% | +0.57% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.85% | 2.19% | -0.34% |
Volatility
AQMIX vs. QMNNX - Volatility Comparison
AQR Managed Futures Strategy Fund (AQMIX) has a higher volatility of 2.58% compared to AQR Equity Market Neutral Fund N (QMNNX) at 1.36%. This indicates that AQMIX's price experiences larger fluctuations and is considered to be riskier than QMNNX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| AQMIX | QMNNX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.58% | 1.36% | +1.22% |
Volatility (6M)Calculated over the trailing 6-month period | 6.71% | 4.07% | +2.64% |
Volatility (1Y)Calculated over the trailing 1-year period | 9.62% | 6.29% | +3.33% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 11.55% | 9.53% | +2.02% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 10.36% | 8.23% | +2.13% |