AQMIX vs. VTIP

Last updated Jun 13, 2026

AQMIX (AQR Managed Futures Strategy Fund) and VTIP (Vanguard Short-Term Inflation-Protected Securities ETF) are both funds - AQMIX is a Systematic Trend fund managed by AQR Funds, while VTIP is a Inflation-Protected Bonds fund tracking the Bloomberg U.S. Treasury Inflation-Protected Securities (TIPS) 0-5 Year Index. Over the past 10 years, AQMIX returned 4.69%/yr vs 3.09%/yr for VTIP. At a correlation of -0.10, they often move in opposite directions. AQMIX charges 1.25%/yr vs 0.03%/yr for VTIP.

Performance

AQMIX vs. VTIP - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AQR Managed Futures Strategy Fund (AQMIX) and Vanguard Short-Term Inflation-Protected Securities ETF (VTIP). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, AQMIX achieves a 11.18% return, which is significantly higher than VTIP's 1.85% return. Over the past 10 years, AQMIX has outperformed VTIP with an annualized return of 4.69%, while VTIP has yielded a comparatively lower 3.09% annualized return.

AQMIX

• 1D: -0.37%
• 1M: -2.21%
• YTD: 11.18%
• 6M: 13.01%
• 1Y: 24.10%
• 3Y*: 12.13%
• 5Y*: 12.71%
• 10Y*: 4.69%

VTIP

• 1D: -0.04%
• 1M: -0.22%
• YTD: 1.85%
• 6M: 1.95%
• 1Y: 4.57%
• 3Y*: 5.25%
• 5Y*: 3.37%
• 10Y*: 3.09%

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

AQMIX vs. VTIP - 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%
VTIP Vanguard Short-Term Inflation-Protected Securities ETF	1.85%	6.07%	4.74%	4.62%	-2.94%	5.36%	4.95%	4.86%	0.56%	0.82%

Correlation

The correlation between AQMIX and VTIP 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	-0.14
Correlation (5Y) Calculated over the trailing 5-year period	-0.24
Correlation (10Y) Calculated over the trailing 10-year period	-0.10
Correlation (All Time) Calculated using the full available price history since Oct 16, 2012	-0.10

The correlation between AQMIX and VTIP shifts across timeframes, from -0.24 (5 years) to -0.01 (1 year), reflecting how their relationship changes across market environments.

Return for Risk

AQMIX vs. VTIP — Risk / Return Rank

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

AQMIX

AQMIX Risk / Return Rank: 93
AQMIX Sharpe Ratio Rank: 94
AQMIX Sortino Ratio Rank: 89
AQMIX Omega Ratio Rank: 86
AQMIX Calmar Ratio Rank: 98
AQMIX Martin Ratio Rank: 98

VTIP

VTIP Risk / Return Rank: 95
VTIP Sharpe Ratio Rank: 94
VTIP Sortino Ratio Rank: 96
VTIP Omega Ratio Rank: 95
VTIP Calmar Ratio Rank: 95
VTIP 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. VTIP - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for AQR Managed Futures Strategy Fund (AQMIX) and Vanguard Short-Term Inflation-Protected Securities ETF (VTIP). 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	VTIP	Difference
Sharpe ratio: Return per unit of total volatility	2.83	3.07	-0.24
Sortino ratio: Return per unit of downside risk	3.86	5.24	-1.38
Omega ratio: Gain probability vs. loss probability	1.50	1.65	-0.15
Calmar ratio: Return relative to maximum drawdown	8.20	6.57	+1.63
Martin ratio: Return relative to average drawdown	26.10	25.36	+0.74

AQMIX vs. VTIP - Sharpe Ratio Comparison

The current AQMIX Sharpe Ratio is 2.83, which is comparable to the VTIP Sharpe Ratio of 3.07. The chart below compares the historical Sharpe Ratios of AQMIX and VTIP, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

AQMIX vs. VTIP - Drawdown Comparison

The maximum AQMIX drawdown since its inception was -26.52%, which is greater than VTIP's maximum drawdown of -6.27%. Use the drawdown chart below to compare losses from any high point for AQMIX and VTIP.

Drawdown Indicators

	AQMIX	VTIP	Difference
Max Drawdown Largest peak-to-trough decline	-26.52%	-6.27%	-20.25%
Max Drawdown (1Y) Largest decline over 1 year	-3.02%	-0.70%	-2.32%
Max Drawdown (3Y) Largest decline over 3 years	-13.57%	-0.98%	-12.59%
Max Drawdown (5Y) Largest decline over 5 years	-13.57%	-5.50%	-8.07%
Max Drawdown (10Y) Largest decline over 10 years	-23.34%	-6.27%	-17.07%
Current Drawdown Current decline from peak	-2.30%	-0.22%	-2.08%
Average Drawdown Average peak-to-trough decline	-9.99%	-1.04%	-8.95%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.94%	0.18%	+0.76%

Volatility

AQMIX vs. VTIP - Volatility Comparison

AQR Managed Futures Strategy Fund (AQMIX) has a higher volatility of 2.41% compared to Vanguard Short-Term Inflation-Protected Securities ETF (VTIP) at 0.40%. This indicates that AQMIX's price experiences larger fluctuations and is considered to be riskier than VTIP based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	AQMIX	VTIP	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.41%	0.40%	+2.01%
Volatility (6M) Calculated over the trailing 6-month period	6.72%	1.04%	+5.68%
Volatility (1Y) Calculated over the trailing 1-year period	8.74%	1.50%	+7.24%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	11.62%	2.77%	+8.85%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	10.37%	2.74%	+7.63%

AQMIX vs. VTIP - Expense Ratio Comparison

AQMIX has a 1.25% expense ratio, which is higher than VTIP's 0.03% expense ratio.

Dividends

AQMIX vs. VTIP - Dividend Comparison

AQMIX's dividend yield for the trailing twelve months is around 2.03%, less than VTIP's 3.59% 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%
VTIP Vanguard Short-Term Inflation-Protected Securities ETF	3.59%	3.81%	2.70%	2.86%	6.84%	4.68%	1.20%	1.95%	2.45%	1.52%	0.76%	0.00%

Frequently Asked Questions

Can I hold both AQMIX and VTIP in my portfolio?

AQMIX and VTIP 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.

Which is riskier, AQMIX or VTIP?

AQMIX has higher volatility (2.41%) compared to VTIP (0.40%). In terms of maximum drawdown, AQMIX dropped -26.52% vs VTIP's -6.27%.

Which has better risk-adjusted returns?

VTIP currently has the higher Sharpe Ratio (3.07 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.