AQMIX vs. QSPIX
Compare and contrast key facts about AQR Managed Futures Strategy Fund (AQMIX) and AQR Style Premia Alternative Fund (QSPIX).
AQMIX is managed by AQR Funds. It was launched on Jan 5, 2010. QSPIX is managed by AQR Funds. It was launched on Oct 29, 2013.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: AQMIX or QSPIX.
Key characteristics
| AQMIX | QSPIX | |
|---|---|---|
| YTD Return | 2.57% | 17.25% |
| 1Y Return | -0.14% | 13.61% |
| 3Y Return (Ann) | 12.13% | 25.06% |
| 5Y Return (Ann) | 7.25% | 10.39% |
| 10Y Return (Ann) | 2.73% | 5.48% |
| Sharpe Ratio | -0.15 | 1.13 |
| Sortino Ratio | -0.13 | 1.63 |
| Omega Ratio | 0.98 | 1.20 |
| Calmar Ratio | -0.11 | 1.48 |
| Martin Ratio | -0.26 | 3.73 |
| Ulcer Index | 5.99% | 3.69% |
| Daily Std Dev | 10.02% | 12.19% |
| Max Drawdown | -26.55% | -41.37% |
| Current Drawdown | -10.36% | -5.54% |
Correlation
The correlation between AQMIX and QSPIX is 0.29, 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.
Performance
AQMIX vs. QSPIX - Performance Comparison
In the year-to-date period, AQMIX achieves a 2.57% return, which is significantly lower than QSPIX's 17.25% return. Over the past 10 years, AQMIX has underperformed QSPIX with an annualized return of 2.73%, while QSPIX has yielded a comparatively higher 5.48% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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AQMIX vs. QSPIX - Expense Ratio Comparison
AQMIX has a 1.25% expense ratio, which is lower than QSPIX's 1.49% expense ratio.
Risk-Adjusted Performance
AQMIX vs. QSPIX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Managed Futures Strategy Fund (AQMIX) and AQR Style Premia Alternative Fund (QSPIX). 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.
Dividends
AQMIX vs. QSPIX - Dividend Comparison
AQMIX's dividend yield for the trailing twelve months is around 8.20%, less than QSPIX's 20.19% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
AQMIX AQR Managed Futures Strategy Fund | 8.20% | 8.41% | 12.76% | 6.94% | 5.31% | 3.13% | 0.00% | 0.00% | 0.02% | 6.51% | 9.10% | 1.01% |
QSPIX AQR Style Premia Alternative Fund | 20.19% | 23.67% | 22.68% | 12.78% | 0.00% | 1.62% | 0.97% | 7.08% | 1.74% | 5.83% | 14.75% | 2.25% |
Drawdowns
AQMIX vs. QSPIX - Drawdown Comparison
The maximum AQMIX drawdown since its inception was -26.55%, smaller than the maximum QSPIX drawdown of -41.37%. Use the drawdown chart below to compare losses from any high point for AQMIX and QSPIX. For additional features, visit the drawdowns tool.
Volatility
AQMIX vs. QSPIX - Volatility Comparison
The current volatility for AQR Managed Futures Strategy Fund (AQMIX) is 2.04%, while AQR Style Premia Alternative Fund (QSPIX) has a volatility of 2.98%. This indicates that AQMIX experiences smaller price fluctuations and is considered to be less risky than QSPIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.