AQMIX vs. VOLSX
Compare and contrast key facts about AQR Managed Futures Strategy Fund (AQMIX) and ABR 75/25 Volatility Fund (VOLSX).
AQMIX is managed by AQR Funds. It was launched on Jan 5, 2010. VOLSX is managed by ABR. It was launched on Aug 2, 2020.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: AQMIX or VOLSX.
Key characteristics
| AQMIX | VOLSX | |
|---|---|---|
| YTD Return | 4.65% | 17.51% |
| 1Y Return | -0.20% | 28.62% |
| 3Y Return (Ann) | 12.46% | -4.43% |
| Sharpe Ratio | 0.06 | 2.44 |
| Sortino Ratio | 0.14 | 3.26 |
| Omega Ratio | 1.02 | 1.46 |
| Calmar Ratio | 0.04 | 0.94 |
| Martin Ratio | 0.09 | 17.41 |
| Ulcer Index | 6.13% | 1.75% |
| Daily Std Dev | 10.01% | 12.42% |
| Max Drawdown | -27.99% | -44.76% |
| Current Drawdown | -8.55% | -12.79% |
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
In the year-to-date period, AQMIX achieves a 4.65% return, which is significantly lower than VOLSX's 17.51% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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AQMIX vs. VOLSX - Expense Ratio Comparison
AQMIX has a 1.25% expense ratio, which is lower than VOLSX's 1.75% expense ratio.
Risk-Adjusted Performance
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.
Dividends
AQMIX vs. VOLSX - Dividend Comparison
AQMIX's dividend yield for the trailing twelve months is around 8.04%, more than VOLSX's 0.24% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|
AQMIX AQR Managed Futures Strategy Fund | 8.04% | 8.41% | 12.76% | 6.94% | 5.31% | 3.13% | 0.00% | 0.00% | 0.02% | 4.49% | 4.50% |
VOLSX ABR 75/25 Volatility Fund | 0.24% | 0.28% | 0.00% | 0.00% | 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 -27.99%, smaller than the maximum VOLSX drawdown of -44.76%. Use the drawdown chart below to compare losses from any high point for AQMIX and VOLSX. For additional features, visit the drawdowns tool.
Volatility
AQMIX vs. VOLSX - Volatility Comparison
The current volatility for AQR Managed Futures Strategy Fund (AQMIX) is 2.13%, while ABR 75/25 Volatility Fund (VOLSX) has a volatility of 6.51%. 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.