AQMNX vs. BCSVX
AQMNX (AQR Managed Futures Strategy Fund Class N) and BCSVX (Brown Capital Management International Small Company Fund) are both mutual funds - AQMNX is a Systematic Trend fund actively managed by AQR Funds, while BCSVX is a Foreign Small & Mid Cap Equities fund managed by Brown Capital Management. Over the past 10 years, AQMNX returned 4.71%/yr vs 7.11%/yr for BCSVX. At a correlation of -0.09, they often move in opposite directions. AQMNX charges 2.97%/yr vs 1.31%/yr for BCSVX.
Performance
AQMNX vs. BCSVX - Performance Comparison
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Returns By Period
In the year-to-date period, AQMNX achieves a 12.24% return, which is significantly higher than BCSVX's -12.20% return. Over the past 10 years, AQMNX has underperformed BCSVX with an annualized return of 4.71%, while BCSVX has yielded a comparatively higher 7.11% annualized return.
AQMNX
- 1D
- -0.56%
- 1M
- 1.24%
- YTD
- 12.24%
- 6M
- 14.33%
- 1Y
- 24.98%
- 3Y*
- 12.16%
- 5Y*
- 12.32%
- 10Y*
- 4.71%
BCSVX
- 1D
- -1.98%
- 1M
- -0.81%
- YTD
- -12.20%
- 6M
- -13.19%
- 1Y
- -21.09%
- 3Y*
- 0.19%
- 5Y*
- -3.92%
- 10Y*
- 7.11%
AQMNX vs. BCSVX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
AQMNX AQR Managed Futures Strategy Fund Class N | 12.24% | 14.38% | 7.96% | 1.79% | 35.16% | -1.31% | -0.62% | 1.57% | -9.12% | -1.19% |
BCSVX Brown Capital Management International Small Company Fund | -12.20% | -2.30% | 8.17% | 20.04% | -31.56% | 12.69% | 44.75% | 26.41% | -3.39% | 36.56% |
Correlation
The correlation between AQMNX and BCSVX is -0.09, 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 | -0.09 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.05 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.20 |
Correlation (10Y) Calculated over the trailing 10-year period | -0.08 |
Correlation (All Time) Calculated using the full available price history since Jan 5, 2016 | -0.09 |
The correlation between AQMNX and BCSVX shifts across timeframes, from -0.20 (5 years) to -0.05 (3 years), reflecting how their relationship changes across market environments.
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Return for Risk
AQMNX vs. BCSVX — Risk / Return Rank
AQMNX
BCSVX
AQMNX vs. BCSVX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Managed Futures Strategy Fund Class N (AQMNX) and Brown Capital Management International Small Company Fund (BCSVX). 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 | BCSVX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +4.07 | ||
| Sortino ratioReturn per unit of downside risk | +5.56 | ||
| Omega ratioGain probability vs. loss probability | 1.50 | 0.81 | +0.70 |
| Calmar ratioReturn relative to maximum drawdown | 7.83 | -0.65 | +8.48 |
| Martin ratioReturn relative to average drawdown | 26.39 | -1.23 | +27.62 |
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 | BCSVX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.84 | -1.24 | +4.07 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 1.07 | -0.21 | +1.28 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.46 | 0.42 | +0.04 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.38 | 0.44 | -0.05 |
Drawdowns
AQMNX vs. BCSVX - Drawdown Comparison
The maximum AQMNX drawdown since its inception was -27.50%, smaller than the maximum BCSVX drawdown of -43.93%. Use the drawdown chart below to compare losses from any high point for AQMNX and BCSVX.
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Drawdown Indicators
| AQMNX | BCSVX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -27.50% | -43.93% | +16.43% |
Max Drawdown (1Y)Largest decline over 1 year | -3.15% | -32.35% | +29.20% |
Max Drawdown (3Y)Largest decline over 3 years | -13.70% | -32.35% | +18.65% |
Max Drawdown (5Y)Largest decline over 5 years | -13.70% | -43.93% | +30.23% |
Max Drawdown (10Y)Largest decline over 10 years | -24.13% | -43.93% | +19.80% |
Current DrawdownCurrent decline from peak | -1.12% | -26.86% | +25.74% |
Average DrawdownAverage peak-to-trough decline | -10.39% | -12.13% | +1.74% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.99% | 17.02% | -16.03% |
Volatility
AQMNX vs. BCSVX - Volatility Comparison
The current volatility for AQR Managed Futures Strategy Fund Class N (AQMNX) is 2.61%, while Brown Capital Management International Small Company Fund (BCSVX) has a volatility of 5.37%. This indicates that AQMNX experiences smaller price fluctuations and is considered to be less risky than BCSVX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| AQMNX | BCSVX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.61% | 5.37% | -2.76% |
Volatility (6M)Calculated over the trailing 6-month period | 6.70% | 13.96% | -7.26% |
Volatility (1Y)Calculated over the trailing 1-year period | 8.69% | 17.02% | -8.33% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 11.55% | 18.68% | -7.13% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 10.33% | 17.14% | -6.81% |
AQMNX vs. BCSVX - Expense Ratio Comparison
AQMNX has a 2.97% expense ratio, which is higher than BCSVX's 1.31% expense ratio.
Dividends
AQMNX vs. BCSVX - Dividend Comparison
AQMNX's dividend yield for the trailing twelve months is around 1.83%, more than BCSVX's 0.43% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
AQMNX AQR Managed Futures Strategy Fund Class N | 1.83% | 2.05% | 3.61% | 8.15% | 12.59% | 6.59% | 4.17% | 2.92% | 0.00% | 0.00% | 0.02% | 6.30% |
BCSVX Brown Capital Management International Small Company Fund | 0.43% | 0.00% | 0.00% | 0.00% | 0.00% | 5.07% | 0.74% | 0.30% | 0.31% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
AQMNX and BCSVX have a correlation of -0.09, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
BCSVX has higher volatility (5.37%) compared to AQMNX (2.61%). In terms of maximum drawdown, AQMNX dropped -27.50% vs BCSVX's -43.93%.
AQMNX currently has the higher Sharpe Ratio (2.84 vs -1.24), 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.
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