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

Correlation

The correlation between AQMIX and VOLSX is -0.07. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.


Performance

AQMIX vs. VOLSX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AQR Managed Futures Strategy Fund (AQMIX) and ABR 75/25 Volatility Fund (VOLSX). The values are adjusted to include any dividend payments, if applicable.

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Key characteristics

Sharpe Ratio

AQMIX:

-0.00

VOLSX:

-0.49

Sortino Ratio

AQMIX:

0.09

VOLSX:

-0.60

Omega Ratio

AQMIX:

1.01

VOLSX:

0.91

Calmar Ratio

AQMIX:

0.01

VOLSX:

-0.41

Martin Ratio

AQMIX:

0.03

VOLSX:

-1.16

Ulcer Index

AQMIX:

5.78%

VOLSX:

8.58%

Daily Std Dev

AQMIX:

10.88%

VOLSX:

18.45%

Max Drawdown

AQMIX:

-26.54%

VOLSX:

-35.10%

Current Drawdown

AQMIX:

-2.60%

VOLSX:

-20.50%

Returns By Period

In the year-to-date period, AQMIX achieves a 2.81% return, which is significantly higher than VOLSX's -17.02% return.


AQMIX

YTD

2.81%

1M

0.80%

6M

4.43%

1Y

-0.26%

3Y*

6.89%

5Y*

7.77%

10Y*

2.15%

VOLSX

YTD

-17.02%

1M

4.45%

6M

-18.29%

1Y

-9.63%

3Y*

5.09%

5Y*

N/A

10Y*

N/A

*Annualized

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AQR Managed Futures Strategy Fund

ABR 75/25 Volatility Fund

AQMIX vs. VOLSX - Expense Ratio Comparison

AQMIX has a 1.25% expense ratio, which is lower than VOLSX's 1.75% expense ratio.


Go deeper with the Portfolio Analysis tool — backtest performance, assess risk, compare to benchmarks, and more

Risk-Adjusted Performance

AQMIX vs. VOLSX — 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 1818
Overall Rank
The Sharpe Ratio Rank of AQMIX is 1515
Sharpe Ratio Rank
The Sortino Ratio Rank of AQMIX is 1818
Sortino Ratio Rank
The Omega Ratio Rank of AQMIX is 1818
Omega Ratio Rank
The Calmar Ratio Rank of AQMIX is 2020
Calmar Ratio Rank
The Martin Ratio Rank of AQMIX is 2020
Martin Ratio Rank

VOLSX
The Risk-Adjusted Performance Rank of VOLSX is 22
Overall Rank
The Sharpe Ratio Rank of VOLSX is 22
Sharpe Ratio Rank
The Sortino Ratio Rank of VOLSX is 22
Sortino Ratio Rank
The Omega Ratio Rank of VOLSX is 22
Omega Ratio Rank
The Calmar Ratio Rank of VOLSX is 22
Calmar Ratio Rank
The Martin Ratio Rank of VOLSX is 22
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. VOLSX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for AQR Managed Futures Strategy Fund (AQMIX) and ABR 75/25 Volatility Fund (VOLSX). 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 current AQMIX Sharpe Ratio is -0.00, which is higher than the VOLSX Sharpe Ratio of -0.49. The chart below compares the historical Sharpe Ratios of AQMIX and VOLSX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


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Go to the full Sharpe Ratio tool to analyze any stock or portfolio. Customize time frames, set your own risk-free rate, and more

Dividends

AQMIX vs. VOLSX - Dividend Comparison

AQMIX's dividend yield for the trailing twelve months is around 3.72%, more than VOLSX's 2.70% yield.


TTM20242023202220212020201920182017201620152014
AQMIX
AQR Managed Futures Strategy Fund
3.72%3.83%8.41%12.76%6.94%5.31%3.13%0.00%0.00%0.02%6.51%9.11%
VOLSX
ABR 75/25 Volatility Fund
2.70%2.24%0.29%0.00%18.63%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

AQMIX vs. VOLSX - Drawdown Comparison

The maximum AQMIX drawdown since its inception was -26.54%, smaller than the maximum VOLSX drawdown of -35.10%. Use the drawdown chart below to compare losses from any high point for AQMIX and VOLSX.


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Go to the full Drawdowns tool for more analysis options, including inflation-adjusted drawdowns, and more

Volatility

AQMIX vs. VOLSX - Volatility Comparison

The current volatility for AQR Managed Futures Strategy Fund (AQMIX) is 3.40%, while ABR 75/25 Volatility Fund (VOLSX) has a volatility of 7.50%. This indicates that AQMIX experiences smaller price fluctuations and is considered to be less risky than VOLSX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


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