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AQMIX vs. QSPIX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

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.


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Performance

AQMIX vs. QSPIX - Performance Comparison

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

20.00%40.00%60.00%80.00%100.00%120.00%SeptemberOctoberNovemberDecember2025February
40.46%
109.64%
AQMIX
QSPIX

Key characteristics

Sharpe Ratio

AQMIX:

0.39

QSPIX:

1.58

Sortino Ratio

AQMIX:

0.58

QSPIX:

2.14

Omega Ratio

AQMIX:

1.07

QSPIX:

1.29

Calmar Ratio

AQMIX:

0.29

QSPIX:

1.92

Martin Ratio

AQMIX:

0.60

QSPIX:

4.68

Ulcer Index

AQMIX:

6.54%

QSPIX:

3.82%

Daily Std Dev

AQMIX:

10.10%

QSPIX:

11.31%

Max Drawdown

AQMIX:

-27.99%

QSPIX:

-41.37%

Current Drawdown

AQMIX:

-2.16%

QSPIX:

-0.24%

Returns By Period

In the year-to-date period, AQMIX achieves a 3.28% return, which is significantly lower than QSPIX's 8.28% return. Over the past 10 years, AQMIX has underperformed QSPIX with an annualized return of 2.14%, while QSPIX has yielded a comparatively higher 6.85% annualized return.


AQMIX

YTD

3.28%

1M

3.64%

6M

8.89%

1Y

4.42%

5Y*

9.24%

10Y*

2.14%

QSPIX

YTD

8.28%

1M

5.02%

6M

10.18%

1Y

17.55%

5Y*

14.57%

10Y*

6.85%

*Annualized

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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.


Expense ratio chart for QSPIX: current value at 1.49% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.49%
Expense ratio chart for AQMIX: current value at 1.25% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.25%

Risk-Adjusted Performance

AQMIX vs. QSPIX — Risk-Adjusted Performance Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

AQMIX
The Risk-Adjusted Performance Rank of AQMIX is 2525
Overall Rank
The Sharpe Ratio Rank of AQMIX is 2727
Sharpe Ratio Rank
The Sortino Ratio Rank of AQMIX is 2626
Sortino Ratio Rank
The Omega Ratio Rank of AQMIX is 2525
Omega Ratio Rank
The Calmar Ratio Rank of AQMIX is 3030
Calmar Ratio Rank
The Martin Ratio Rank of AQMIX is 1919
Martin Ratio Rank

QSPIX
The Risk-Adjusted Performance Rank of QSPIX is 8181
Overall Rank
The Sharpe Ratio Rank of QSPIX is 8383
Sharpe Ratio Rank
The Sortino Ratio Rank of QSPIX is 8282
Sortino Ratio Rank
The Omega Ratio Rank of QSPIX is 8282
Omega Ratio Rank
The Calmar Ratio Rank of QSPIX is 8787
Calmar Ratio Rank
The Martin Ratio Rank of QSPIX is 6969
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

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.


The chart of Sharpe ratio for AQMIX, currently valued at 0.39, compared to the broader market-1.000.001.002.003.004.000.391.58
The chart of Sortino ratio for AQMIX, currently valued at 0.58, compared to the broader market0.002.004.006.008.0010.000.582.14
The chart of Omega ratio for AQMIX, currently valued at 1.07, compared to the broader market1.002.003.001.071.29
The chart of Calmar ratio for AQMIX, currently valued at 0.29, compared to the broader market0.005.0010.0015.000.291.92
The chart of Martin ratio for AQMIX, currently valued at 0.60, compared to the broader market0.0020.0040.0060.0080.000.604.68
AQMIX
QSPIX

The current AQMIX Sharpe Ratio is 0.39, which is lower than the QSPIX Sharpe Ratio of 1.58. The chart below compares the historical Sharpe Ratios of AQMIX and QSPIX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.000.501.001.50SeptemberOctoberNovemberDecember2025February
0.39
1.58
AQMIX
QSPIX

Dividends

AQMIX vs. QSPIX - Dividend Comparison

AQMIX's dividend yield for the trailing twelve months is around 3.71%, less than QSPIX's 6.42% yield.


TTM20242023202220212020201920182017201620152014
AQMIX
AQR Managed Futures Strategy Fund
3.71%3.83%8.41%12.76%6.94%5.31%3.13%0.00%0.00%0.02%4.49%4.50%
QSPIX
AQR Style Premia Alternative Fund
6.42%6.95%23.67%22.69%12.79%0.00%1.62%0.96%7.08%1.74%5.83%12.86%

Drawdowns

AQMIX vs. QSPIX - Drawdown Comparison

The maximum AQMIX drawdown since its inception was -27.99%, 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.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%SeptemberOctoberNovemberDecember2025February
-2.16%
-0.24%
AQMIX
QSPIX

Volatility

AQMIX vs. QSPIX - Volatility Comparison

AQR Managed Futures Strategy Fund (AQMIX) has a higher volatility of 3.07% compared to AQR Style Premia Alternative Fund (QSPIX) at 2.32%. This indicates that AQMIX's price experiences larger fluctuations and is considered to be riskier than QSPIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%SeptemberOctoberNovemberDecember2025February
3.07%
2.32%
AQMIX
QSPIX