AQMIX vs. QRPNX

Last updated Aug 1, 2026

AQMIX (AQR Managed Futures Strategy Fund - Class I) and QRPNX (AQR Alternative Risk Premia Fund Class N) are both mutual funds - AQMIX is a Systematic Trend fund managed by AQR, while QRPNX is a Multistrategy fund actively managed by AQR. Over the past 5 years, AQMIX returned 13.71%/yr vs 19.58%/yr for QRPNX. Their 0.46 correlation means their historical movements had little consistent relationship. AQMIX charges 1.25%/yr vs 5.29%/yr for QRPNX.

Performance

AQMIX vs. QRPNX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AQR Managed Futures Strategy Fund - Class I (AQMIX) and AQR Alternative Risk Premia Fund Class N (QRPNX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, AQMIX achieves a 10.24% return, which is significantly lower than QRPNX's 21.85% 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%

QRPNX

• 1D: 0.18%
• 1M: 5.66%
• 6M: 16.71%
• YTD: 21.85%
• 1Y: 36.92%
• 3Y*: 22.50%
• 5Y*: 19.58%
• 10Y*: —
• ALL TIME*: 8.64%

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

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
AQMIX AQR Managed Futures Strategy Fund - Class I	$0.00	$0.00	$0.00
QRPNX AQR Alternative Risk Premia Fund Class N	$0.00	$0.00	$0.00

AQMIX vs. QRPNX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018
AQMIX AQR Managed Futures Strategy Fund - Class I	10.24%	14.62%	8.13%	2.08%	35.47%	-1.04%	-0.43%	1.92%	-6.24%
QRPNX AQR Alternative Risk Premia Fund Class N	21.85%	23.09%	18.64%	6.94%	24.83%	14.04%	-21.20%	-3.25%	-4.58%

Correlation

The correlation between AQMIX and QRPNX is 0.61, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.61
Correlation (3Y) Balances recent behavior with more history.	0.53
Correlation (5Y) Shows whether the relationship held over a longer period.	0.53
Correlation (All Time) Calculated using the full available price history since May 21, 2018	0.46

The correlation between AQMIX and QRPNX shifts across timeframes, from 0.46 (all time) to 0.61 (1 year), reflecting how their relationship changes across market environments.

Return for Risk

AQMIX vs. QRPNX — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

AQMIX

AQMIX Risk / Return Rank: 90
AQMIX Sharpe Ratio Rank: 90
AQMIX Sortino Ratio Rank: 86
AQMIX Omega Ratio Rank: 83
AQMIX Calmar Ratio Rank: 95
AQMIX Martin Ratio Rank: 94

QRPNX

QRPNX Risk / Return Rank: 98
QRPNX Sharpe Ratio Rank: 99
QRPNX Sortino Ratio Rank: 98
QRPNX Omega Ratio Rank: 97
QRPNX Calmar Ratio Rank: 99
QRPNX Martin Ratio Rank: 98

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

AQMIX vs. QRPNX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for AQR Managed Futures Strategy Fund - Class I (AQMIX) and AQR Alternative Risk Premia Fund Class N (QRPNX). 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	QRPNX	Difference
Sharpe ratio: Return per unit of total volatility	2.26	3.75	-1.49
Sortino ratio: Return per unit of downside risk	3.08	5.41	-2.33
Omega ratio: Gain probability vs. loss probability	1.39	1.67	-0.28
Calmar ratio: Return relative to maximum drawdown	4.20	9.77	-5.57
Martin ratio: Return relative to average drawdown	14.43	26.32	-11.90

AQMIX vs. QRPNX - Sharpe Ratio Comparison

The current AQMIX Sharpe Ratio is 2.26, which is lower than the QRPNX Sharpe Ratio of 3.75. The chart below compares the historical Sharpe Ratios of AQMIX and QRPNX, 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. QRPNX - Drawdown Comparison

The maximum AQMIX drawdown since its inception was -26.52%, smaller than the maximum QRPNX drawdown of -28.78%. Use the drawdown chart below to compare losses from any high point for AQMIX and QRPNX.

Drawdown Indicators

	AQMIX	QRPNX	Difference
Max Drawdown Largest peak-to-trough decline	-26.52%	-28.78%	+2.26%
Max Drawdown (1Y) Largest decline over 1 year	-5.14%	-3.62%	-1.52%
Max Drawdown (3Y) Largest decline over 3 years	-13.57%	-11.22%	-2.35%
Max Drawdown (5Y) Largest decline over 5 years	-13.57%	-11.22%	-2.35%
Max Drawdown (10Y) Largest decline over 10 years	-22.17%	—	—
Current Drawdown Current decline from peak	-3.12%	0.00%	-3.12%
Average Drawdown Average peak-to-trough decline	-9.93%	-7.72%	-2.21%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.49%	1.34%	+0.15%

Volatility

AQMIX vs. QRPNX - Volatility Comparison

AQR Managed Futures Strategy Fund - Class I (AQMIX) has a higher volatility of 3.39% compared to AQR Alternative Risk Premia Fund Class N (QRPNX) at 2.45%. This indicates that AQMIX's price experiences larger fluctuations and is considered to be riskier than QRPNX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	AQMIX	QRPNX	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.39%	2.45%	+0.94%
Volatility (6M) Calculated over the trailing 6-month period	7.39%	6.86%	+0.53%
Volatility (1Y) Calculated over the trailing 1-year period	9.57%	9.43%	+0.14%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	11.60%	11.82%	-0.22%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	10.26%	10.31%	-0.05%

AQMIX vs. QRPNX - Expense Ratio Comparison

AQMIX has a 1.25% expense ratio, which is lower than QRPNX's 5.29% expense ratio.

Dividends

AQMIX vs. QRPNX - Dividend Comparison

AQMIX's dividend yield for the trailing twelve months is around 2.05%, more than QRPNX's 0.93% yield.

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%
QRPNX AQR Alternative Risk Premia Fund Class N	0.93%	1.14%	2.04%	4.33%	0.00%	3.84%	1.98%	0.57%	0.07%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both AQMIX and QRPNX in my portfolio?

AQMIX and QRPNX have a correlation of 0.61, 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 QRPNX?

AQMIX has higher volatility (3.39%) compared to QRPNX (2.45%). In terms of maximum drawdown, AQMIX dropped -26.52% vs QRPNX's -28.78%.

Which has better risk-adjusted returns?

QRPNX currently has the higher Sharpe Ratio (3.75 vs 2.26), 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.