AQMIX vs. STIP
AQMIX (AQR Managed Futures Strategy Fund) and STIP (iShares 0-5 Year TIPS Bond ETF) are both funds - AQMIX is a Systematic Trend fund managed by AQR Funds, while STIP is a Inflation-Protected Bonds fund tracking the Bloomberg US Treasury Inflation-Protected Securities (TIPS) 0-5 Years Index (Series-L). Over the past 10 years, AQMIX returned 4.69%/yr vs 3.14%/yr for STIP. At a correlation of -0.08, they often move in opposite directions. AQMIX charges 1.25%/yr vs 0.06%/yr for STIP.
Performance
AQMIX vs. STIP - Performance Comparison
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Returns By Period
In the year-to-date period, AQMIX achieves a 11.18% return, which is significantly higher than STIP's 1.87% return. Over the past 10 years, AQMIX has outperformed STIP with an annualized return of 4.69%, while STIP has yielded a comparatively lower 3.14% annualized return.
AQMIX
- 1D
- -0.37%
- 1M
- -2.12%
- YTD
- 11.18%
- 6M
- 13.01%
- 1Y
- 24.52%
- 3Y*
- 12.13%
- 5Y*
- 12.71%
- 10Y*
- 4.69%
STIP
- 1D
- -0.02%
- 1M
- -0.09%
- YTD
- 1.87%
- 6M
- 1.97%
- 1Y
- 4.54%
- 3Y*
- 5.26%
- 5Y*
- 3.38%
- 10Y*
- 3.14%
AQMIX vs. STIP - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
AQMIX AQR Managed Futures Strategy Fund | 11.18% | 14.62% | 8.13% | 2.08% | 35.47% | -1.04% | -0.43% | 1.92% | -8.88% | -0.97% |
STIP iShares 0-5 Year TIPS Bond ETF | 1.87% | 6.03% | 4.77% | 4.63% | -3.02% | 5.68% | 5.18% | 4.89% | 0.54% | 0.74% |
Correlation
The correlation between AQMIX and STIP is -0.01, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.01 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.13 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.23 |
Correlation (10Y) Calculated over the trailing 10-year period | -0.10 |
Correlation (All Time) Calculated using the full available price history since Dec 3, 2010 | -0.08 |
The correlation between AQMIX and STIP shifts across timeframes, from -0.23 (5 years) to -0.01 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
AQMIX vs. STIP — Risk / Return Rank
AQMIX
STIP
AQMIX vs. STIP - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Managed Futures Strategy Fund (AQMIX) and iShares 0-5 Year TIPS Bond ETF (STIP). 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 | STIP | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.34 | ||
| Sortino ratioReturn per unit of downside risk | -1.61 | ||
| Omega ratioGain probability vs. loss probability | 1.50 | 1.68 | -0.18 |
| Calmar ratioReturn relative to maximum drawdown | 8.20 | 6.63 | +1.56 |
| Martin ratioReturn relative to average drawdown | 26.10 | 25.91 | +0.20 |
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Drawdowns
AQMIX vs. STIP - Drawdown Comparison
The maximum AQMIX drawdown since its inception was -26.52%, which is greater than STIP's maximum drawdown of -5.50%. Use the drawdown chart below to compare losses from any high point for AQMIX and STIP.
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Drawdown Indicators
| AQMIX | STIP | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -26.52% | -5.50% | -21.02% |
Max Drawdown (1Y)Largest decline over 1 year | -3.02% | -0.69% | -2.33% |
Max Drawdown (3Y)Largest decline over 3 years | -13.57% | -0.95% | -12.62% |
Max Drawdown (5Y)Largest decline over 5 years | -13.57% | -5.50% | -8.07% |
Max Drawdown (10Y)Largest decline over 10 years | -23.34% | -5.50% | -17.84% |
Current DrawdownCurrent decline from peak | -2.30% | -0.20% | -2.10% |
Average DrawdownAverage peak-to-trough decline | -9.99% | -0.99% | -9.00% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.94% | 0.18% | +0.76% |
Volatility
AQMIX vs. STIP - Volatility Comparison
AQR Managed Futures Strategy Fund (AQMIX) has a higher volatility of 2.41% compared to iShares 0-5 Year TIPS Bond ETF (STIP) at 0.41%. This indicates that AQMIX's price experiences larger fluctuations and is considered to be riskier than STIP based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| AQMIX | STIP | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.41% | 0.41% | +2.00% |
Volatility (6M)Calculated over the trailing 6-month period | 6.72% | 1.01% | +5.71% |
Volatility (1Y)Calculated over the trailing 1-year period | 8.74% | 1.45% | +7.29% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 11.62% | 2.74% | +8.88% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 10.37% | 2.45% | +7.92% |
AQMIX vs. STIP - Expense Ratio Comparison
AQMIX has a 1.25% expense ratio, which is higher than STIP's 0.06% expense ratio.
Dividends
AQMIX vs. STIP - Dividend Comparison
AQMIX's dividend yield for the trailing twelve months is around 2.03%, less than STIP's 4.31% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
AQMIX AQR Managed Futures Strategy Fund | 2.03% | 2.26% | 3.83% | 8.39% | 12.76% | 6.94% | 5.31% | 3.13% | 0.00% | 0.00% | 0.02% | 6.51% |
STIP iShares 0-5 Year TIPS Bond ETF | 4.31% | 4.11% | 2.62% | 2.84% | 6.04% | 4.15% | 1.40% | 2.06% | 2.44% | 1.59% | 0.89% | 0.00% |
Frequently Asked Questions
AQMIX and STIP have a correlation of -0.01, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
AQMIX has higher volatility (2.41%) compared to STIP (0.41%). In terms of maximum drawdown, AQMIX dropped -26.52% vs STIP's -5.50%.
STIP currently has the higher Sharpe Ratio (3.17 vs 2.83), 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.
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