AQMNX vs. ABYAX
Compare and contrast key facts about AQR Managed Futures Strategy Fund Class N (AQMNX) and Abbey Capital Futures Strategy Fund Class A (ABYAX).
AQMNX is an actively managed fund by AQR Funds. It was launched on Jan 6, 2010. ABYAX is managed by Abbey Capital. It was launched on Aug 29, 2014.
Performance
AQMNX vs. ABYAX - Performance Comparison
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AQMNX vs. ABYAX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
AQMNX AQR Managed Futures Strategy Fund Class N | 9.49% | 14.38% | 7.96% | 1.79% | 35.16% | -1.31% | -0.62% | 1.57% | -9.12% | -1.19% |
ABYAX Abbey Capital Futures Strategy Fund Class A | 4.46% | 1.47% | 0.77% | -3.55% | 16.76% | 3.19% | 7.59% | 8.65% | -6.49% | -0.26% |
Returns By Period
In the year-to-date period, AQMNX achieves a 9.49% return, which is significantly higher than ABYAX's 4.46% return. Over the past 10 years, AQMNX has outperformed ABYAX with an annualized return of 4.16%, while ABYAX has yielded a comparatively lower 2.58% annualized return.
AQMNX
- 1D
- -0.48%
- 1M
- 0.97%
- YTD
- 9.49%
- 6M
- 12.72%
- 1Y
- 19.86%
- 3Y*
- 13.01%
- 5Y*
- 12.29%
- 10Y*
- 4.16%
ABYAX
- 1D
- 0.00%
- 1M
- -0.95%
- YTD
- 4.46%
- 6M
- 7.27%
- 1Y
- 8.47%
- 3Y*
- 2.13%
- 5Y*
- 3.44%
- 10Y*
- 2.58%
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AQMNX vs. ABYAX - Expense Ratio Comparison
AQMNX has a 2.97% expense ratio, which is higher than ABYAX's 2.04% expense ratio.
Return for Risk
AQMNX vs. ABYAX — Risk / Return Rank
AQMNX
ABYAX
AQMNX vs. ABYAX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Managed Futures Strategy Fund Class N (AQMNX) and Abbey Capital Futures Strategy Fund Class A (ABYAX). 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.
| AQMNX | ABYAX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 2.16 | 1.08 | +1.08 |
Sortino ratioReturn per unit of downside risk | 2.70 | 1.53 | +1.18 |
Omega ratioGain probability vs. loss probability | 1.40 | 1.20 | +0.20 |
Calmar ratioReturn relative to maximum drawdown | 3.96 | 1.70 | +2.26 |
Martin ratioReturn relative to average drawdown | 11.46 | 3.42 | +8.04 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| AQMNX | ABYAX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.16 | 1.08 | +1.08 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 1.08 | 0.43 | +0.64 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.40 | 0.32 | +0.08 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.37 | 0.45 | -0.08 |
Correlation
The correlation between AQMNX and ABYAX is 0.75, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Dividends
AQMNX vs. ABYAX - Dividend Comparison
AQMNX's dividend yield for the trailing twelve months is around 1.87%, more than ABYAX's 1.22% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
AQMNX AQR Managed Futures Strategy Fund Class N | 1.87% | 2.05% | 3.61% | 8.15% | 12.59% | 6.59% | 4.17% | 2.92% | 0.00% | 0.00% | 0.02% | 6.30% |
ABYAX Abbey Capital Futures Strategy Fund Class A | 1.22% | 1.27% | 1.68% | 0.99% | 15.33% | 3.57% | 1.36% | 8.50% | 0.00% | 0.00% | 0.00% | 0.06% |
Drawdowns
AQMNX vs. ABYAX - Drawdown Comparison
The maximum AQMNX drawdown since its inception was -27.50%, which is greater than ABYAX's maximum drawdown of -17.96%. Use the drawdown chart below to compare losses from any high point for AQMNX and ABYAX.
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Drawdown Indicators
| AQMNX | ABYAX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -27.50% | -17.96% | -9.54% |
Max Drawdown (1Y)Largest decline over 1 year | -5.29% | -4.30% | -0.99% |
Max Drawdown (5Y)Largest decline over 5 years | -13.70% | -15.23% | +1.53% |
Max Drawdown (10Y)Largest decline over 10 years | -24.13% | -15.23% | -8.90% |
Current DrawdownCurrent decline from peak | -0.95% | -3.92% | +2.97% |
Average DrawdownAverage peak-to-trough decline | -10.50% | -7.30% | -3.20% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.83% | 2.27% | -0.44% |
Volatility
AQMNX vs. ABYAX - Volatility Comparison
AQR Managed Futures Strategy Fund Class N (AQMNX) has a higher volatility of 2.59% compared to Abbey Capital Futures Strategy Fund Class A (ABYAX) at 1.81%. This indicates that AQMNX's price experiences larger fluctuations and is considered to be riskier than ABYAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| AQMNX | ABYAX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.59% | 1.81% | +0.78% |
Volatility (6M)Calculated over the trailing 6-month period | 6.68% | 6.40% | +0.28% |
Volatility (1Y)Calculated over the trailing 1-year period | 9.48% | 7.62% | +1.86% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 11.48% | 7.98% | +3.50% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 10.32% | 7.98% | +2.34% |