AQMIX vs. VBTIX

Last updated Jun 9, 2026

AQMIX (AQR Managed Futures Strategy Fund) and VBTIX (Vanguard Total Bond Market Index Fund Institutional Shares) are both mutual funds - AQMIX is a Systematic Trend fund managed by AQR Funds, while VBTIX is a Total Bond Market fund managed by Vanguard. Over the past 10 years, AQMIX returned 4.98%/yr vs 1.53%/yr for VBTIX. At a correlation of -0.13, they often move in opposite directions. AQMIX charges 1.25%/yr vs 0.04%/yr for VBTIX.

Performance

AQMIX vs. VBTIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AQR Managed Futures Strategy Fund (AQMIX) and Vanguard Total Bond Market Index Fund Institutional Shares (VBTIX). 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 VBTIX's -0.09% return. Over the past 10 years, AQMIX has outperformed VBTIX with an annualized return of 4.98%, while VBTIX has yielded a comparatively lower 1.53% 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%

VBTIX

• 1D: -0.41%
• 1M: -0.49%
• YTD: -0.09%
• 6M: 0.35%
• 1Y: 4.92%
• 3Y*: 3.84%
• 5Y*: 0.05%
• 10Y*: 1.53%

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

AQMIX vs. VBTIX - 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%
VBTIX Vanguard Total Bond Market Index Fund Institutional Shares	-0.09%	7.18%	1.27%	5.75%	-13.15%	-1.95%	7.75%	8.74%	-0.24%	3.56%

Correlation

The correlation between AQMIX and VBTIX is -0.23, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	-0.23
Correlation (3Y) Calculated over the trailing 3-year period	-0.27
Correlation (5Y) Calculated over the trailing 5-year period	-0.45
Correlation (10Y) Calculated over the trailing 10-year period	-0.24
Correlation (All Time) Calculated using the full available price history since Jan 6, 2010	-0.13

The correlation between AQMIX and VBTIX shifts across timeframes, from -0.45 (5 years) to -0.13 (all time), reflecting how their relationship changes across market environments.

Return for Risk

AQMIX vs. VBTIX — 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

VBTIX

VBTIX Risk / Return Rank: 18
VBTIX Sharpe Ratio Rank: 17
VBTIX Sortino Ratio Rank: 17
VBTIX Omega Ratio Rank: 16
VBTIX Calmar Ratio Rank: 20
VBTIX Martin Ratio Rank: 18

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. VBTIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for AQR Managed Futures Strategy Fund (AQMIX) and Vanguard Total Bond Market Index Fund Institutional Shares (VBTIX). 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	VBTIX	Difference
Sharpe ratio: Return per unit of total volatility	2.85	1.12	+1.73
Sortino ratio: Return per unit of downside risk	3.88	1.67	+2.22
Omega ratio: Gain probability vs. loss probability	1.50	1.20	+0.31
Calmar ratio: Return relative to maximum drawdown	8.24	1.52	+6.72
Martin ratio: Return relative to average drawdown	26.92	4.51	+22.41
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. VBTIX - Sharpe Ratio Comparison

The current AQMIX Sharpe Ratio is 2.85, which is higher than the VBTIX Sharpe Ratio of 1.12. The chart below compares the historical Sharpe Ratios of AQMIX and VBTIX, 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	VBTIX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.85	1.12	+1.73
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	1.09	0.01	+1.08
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.48	0.31	+0.17
Sharpe Ratio (All Time) Calculated using the full available price history	0.42	0.94	-0.52

Drawdowns

AQMIX vs. VBTIX - Drawdown Comparison

The maximum AQMIX drawdown since its inception was -26.52%, which is greater than VBTIX's maximum drawdown of -18.90%. Use the drawdown chart below to compare losses from any high point for AQMIX and VBTIX.

Drawdown Indicators

	AQMIX	VBTIX	Difference
Max Drawdown Largest peak-to-trough decline	-26.52%	-18.90%	-7.62%
Max Drawdown (1Y) Largest decline over 1 year	-3.02%	-2.89%	-0.13%
Max Drawdown (3Y) Largest decline over 3 years	-13.57%	-5.99%	-7.58%
Max Drawdown (5Y) Largest decline over 5 years	-13.57%	-18.13%	+4.56%
Max Drawdown (10Y) Largest decline over 10 years	-23.34%	-18.90%	-4.44%
Current Drawdown Current decline from peak	-1.19%	-2.76%	+1.57%
Average Drawdown Average peak-to-trough decline	-10.00%	-2.32%	-7.68%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.98%	0.97%	+0.01%

Volatility

AQMIX vs. VBTIX - Volatility Comparison

AQR Managed Futures Strategy Fund (AQMIX) has a higher volatility of 2.64% compared to Vanguard Total Bond Market Index Fund Institutional Shares (VBTIX) at 1.31%. This indicates that AQMIX's price experiences larger fluctuations and is considered to be riskier than VBTIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	AQMIX	VBTIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.64%	1.31%	+1.33%
Volatility (6M) Calculated over the trailing 6-month period	6.67%	2.81%	+3.86%
Volatility (1Y) Calculated over the trailing 1-year period	8.75%	3.94%	+4.81%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	11.63%	6.02%	+5.61%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	10.37%	4.98%	+5.39%

AQMIX vs. VBTIX - Expense Ratio Comparison

AQMIX has a 1.25% expense ratio, which is higher than VBTIX's 0.04% expense ratio.

Dividends

AQMIX vs. VBTIX - Dividend Comparison

AQMIX's dividend yield for the trailing twelve months is around 2.01%, less than VBTIX's 4.01% 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%
VBTIX Vanguard Total Bond Market Index Fund Institutional Shares	4.01%	3.88%	3.69%	3.12%	2.61%	1.81%	2.41%	2.75%	2.58%	2.56%	2.54%	2.84%

Frequently Asked Questions

Can I hold both AQMIX and VBTIX in my portfolio?

AQMIX and VBTIX have a correlation of -0.23, 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 VBTIX?

AQMIX has higher volatility (2.64%) compared to VBTIX (1.31%). In terms of maximum drawdown, AQMIX dropped -26.52% vs VBTIX's -18.90%.

Which has better risk-adjusted returns?

AQMIX currently has the higher Sharpe Ratio (2.85 vs 1.12), 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.