AQMIX vs. QYLD

Last updated Jun 9, 2026

AQMIX (AQR Managed Futures Strategy Fund) and QYLD (Global X NASDAQ 100 Covered Call ETF) are both funds - AQMIX is a Systematic Trend fund managed by AQR Funds, while QYLD is a Nasdaq-100 fund tracking the CBOE NASDAQ-100 Buy Write V2. Over the past 10 years, AQMIX returned 4.98%/yr vs 9.77%/yr for QYLD. At a 0.04 correlation, their price movements are largely independent. AQMIX charges 1.25%/yr vs 0.60%/yr for QYLD.

Performance

AQMIX vs. QYLD - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AQR Managed Futures Strategy Fund (AQMIX) and Global X NASDAQ 100 Covered Call ETF (QYLD). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, AQMIX achieves a 12.43% return, which is significantly higher than QYLD's 7.05% return. Over the past 10 years, AQMIX has underperformed QYLD with an annualized return of 4.98%, while QYLD has yielded a comparatively higher 9.77% annualized return.

AQMIX

• 1D: -0.55%
• 1M: 1.22%
• YTD: 12.43%
• 6M: 14.53%
• 1Y: 25.35%
• 3Y*: 12.47%
• 5Y*: 12.60%
• 10Y*: 4.98%

QYLD

• 1D: 1.07%
• 1M: 0.23%
• YTD: 7.05%
• 6M: 8.87%
• 1Y: 22.45%
• 3Y*: 13.42%
• 5Y*: 8.24%
• 10Y*: 9.77%

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

AQMIX vs. QYLD - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
AQMIX AQR Managed Futures Strategy Fund	12.43%	14.62%	8.13%	2.08%	35.47%	-1.04%	-0.43%	1.92%	-8.88%	-0.97%
QYLD Global X NASDAQ 100 Covered Call ETF	7.05%	9.28%	19.35%	22.77%	-19.08%	10.41%	8.72%	22.69%	-3.07%	18.79%

Correlation

The correlation between AQMIX and QYLD is 0.20, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.20
Correlation (3Y) Calculated over the trailing 3-year period	0.12
Correlation (5Y) Calculated over the trailing 5-year period	-0.03
Correlation (10Y) Calculated over the trailing 10-year period	0.03
Correlation (All Time) Calculated using the full available price history since Dec 12, 2013	0.04

The correlation between AQMIX and QYLD shifts across timeframes, from -0.03 (5 years) to 0.20 (1 year), reflecting how their relationship changes across market environments.

Return for Risk

AQMIX vs. QYLD — Risk / Return Rank

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

AQMIX

AQMIX Risk / Return Rank: 89
AQMIX Sharpe Ratio Rank: 89
AQMIX Sortino Ratio Rank: 84
AQMIX Omega Ratio Rank: 79
AQMIX Calmar Ratio Rank: 98
AQMIX Martin Ratio Rank: 97

QYLD

QYLD Risk / Return Rank: 89
QYLD Sharpe Ratio Rank: 86
QYLD Sortino Ratio Rank: 86
QYLD Omega Ratio Rank: 92
QYLD Calmar Ratio Rank: 87
QYLD Martin Ratio Rank: 95

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

AQMIX vs. QYLD - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for AQR Managed Futures Strategy Fund (AQMIX) and Global X NASDAQ 100 Covered Call ETF (QYLD). 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	QYLD	Difference
Sharpe ratio: Return per unit of total volatility	2.85	2.56	+0.29
Sortino ratio: Return per unit of downside risk	3.88	3.53	+0.35
Omega ratio: Gain probability vs. loss probability	1.50	1.57	-0.07
Calmar ratio: Return relative to maximum drawdown	8.24	4.54	+3.70
Martin ratio: Return relative to average drawdown	26.92	26.31	+0.61
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

AQMIX vs. QYLD - Sharpe Ratio Comparison

The current AQMIX Sharpe Ratio is 2.85, which is comparable to the QYLD Sharpe Ratio of 2.56. The chart below compares the historical Sharpe Ratios of AQMIX and QYLD, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	AQMIX	QYLD	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.85	2.56	+0.29
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	1.09	0.56	+0.53
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.48	0.63	-0.15
Sharpe Ratio (All Time) Calculated using the full available price history	0.42	0.59	-0.17

Drawdowns

AQMIX vs. QYLD - Drawdown Comparison

The maximum AQMIX drawdown since its inception was -26.52%, which is greater than QYLD's maximum drawdown of -24.75%. Use the drawdown chart below to compare losses from any high point for AQMIX and QYLD.

Drawdown Indicators

	AQMIX	QYLD	Difference
Max Drawdown Largest peak-to-trough decline	-26.52%	-24.75%	-1.77%
Max Drawdown (1Y) Largest decline over 1 year	-3.02%	-4.97%	+1.95%
Max Drawdown (3Y) Largest decline over 3 years	-13.57%	-19.06%	+5.49%
Max Drawdown (5Y) Largest decline over 5 years	-13.57%	-24.61%	+11.04%
Max Drawdown (10Y) Largest decline over 10 years	-23.34%	-24.75%	+1.41%
Current Drawdown Current decline from peak	-1.19%	-0.83%	-0.36%
Average Drawdown Average peak-to-trough decline	-10.00%	-3.83%	-6.17%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.98%	0.86%	+0.12%

Volatility

AQMIX vs. QYLD - Volatility Comparison

The current volatility for AQR Managed Futures Strategy Fund (AQMIX) is 2.64%, while Global X NASDAQ 100 Covered Call ETF (QYLD) has a volatility of 2.86%. This indicates that AQMIX experiences smaller price fluctuations and is considered to be less risky than QYLD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	AQMIX	QYLD	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.64%	2.86%	-0.22%
Volatility (6M) Calculated over the trailing 6-month period	6.67%	7.44%	-0.77%
Volatility (1Y) Calculated over the trailing 1-year period	8.75%	8.84%	-0.09%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	11.63%	14.73%	-3.10%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	10.37%	15.51%	-5.14%

AQMIX vs. QYLD - Expense Ratio Comparison

AQMIX has a 1.25% expense ratio, which is higher than QYLD's 0.60% expense ratio.

Dividends

AQMIX vs. QYLD - Dividend Comparison

AQMIX's dividend yield for the trailing twelve months is around 2.01%, less than QYLD's 11.55% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
AQMIX AQR Managed Futures Strategy Fund	2.01%	2.26%	3.83%	8.39%	12.76%	6.94%	5.31%	3.13%	0.00%	0.00%	0.02%	6.51%
QYLD Global X NASDAQ 100 Covered Call ETF	11.55%	11.55%	12.50%	11.78%	13.75%	12.85%	11.16%	9.84%	12.44%	7.69%	9.15%	9.42%

Frequently Asked Questions

Can I hold both AQMIX and QYLD in my portfolio?

AQMIX and QYLD have a correlation of 0.20, 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 QYLD?

QYLD has higher volatility (2.86%) compared to AQMIX (2.64%). In terms of maximum drawdown, AQMIX dropped -26.52% vs QYLD's -24.75%.

Which has better risk-adjusted returns?

AQMIX currently has the higher Sharpe Ratio (2.85 vs 2.56), 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.