AQMNX vs. BTC-USD
AQMNX (AQR Managed Futures Strategy Fund Class N) is Systematic Trend fund actively managed by AQR Funds, while BTC-USD (Bitcoin) is a cryptocurrency. Over the past 10 years, AQMNX returned 4.41%/yr vs 57.32%/yr for BTC-USD. At a 0.01 correlation, their price movements are largely independent.
Performance
AQMNX vs. BTC-USD - Performance Comparison
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Returns By Period
In the year-to-date period, AQMNX achieves a 10.86% return, which is significantly higher than BTC-USD's -27.32% return. Over the past 10 years, AQMNX has underperformed BTC-USD with an annualized return of 4.41%, while BTC-USD has yielded a comparatively higher 57.32% annualized return.
AQMNX
- 1D
- -0.47%
- 1M
- -2.32%
- YTD
- 10.86%
- 6M
- 12.81%
- 1Y
- 23.60%
- 3Y*
- 11.83%
- 5Y*
- 12.40%
- 10Y*
- 4.41%
BTC-USD
- 1D
- 0.05%
- 1M
- -19.79%
- YTD
- -27.32%
- 6M
- -29.56%
- 1Y
- -39.85%
- 3Y*
- 34.86%
- 5Y*
- 10.27%
- 10Y*
- 57.32%
AQMNX vs. BTC-USD - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
AQMNX AQR Managed Futures Strategy Fund Class N | 10.86% | 14.38% | 7.96% | 1.79% | 35.16% | -1.31% | -0.62% | 1.57% | -9.12% | -1.19% |
BTC-USD Bitcoin | -27.32% | -6.27% | 120.76% | 155.82% | -64.23% | 59.40% | 304.57% | 94.10% | -73.37% | 1,324.24% |
Correlation
The correlation between AQMNX and BTC-USD is 0.08, 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 | 0.08 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.06 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.00 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.02 |
Correlation (All Time) Calculated using the full available price history since Sep 27, 2012 | 0.01 |
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Return for Risk
AQMNX vs. BTC-USD — Risk / Return Rank
AQMNX
BTC-USD
AQMNX vs. BTC-USD - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Managed Futures Strategy Fund Class N (AQMNX) and Bitcoin (BTC-USD). 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.
| AQMNX | BTC-USD | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +3.72 | ||
| Sortino ratioReturn per unit of downside risk | +5.09 | ||
| Omega ratioGain probability vs. loss probability | 1.49 | 0.87 | +0.63 |
| Calmar ratioReturn relative to maximum drawdown | 7.71 | -0.78 | +8.48 |
| Martin ratioReturn relative to average drawdown | 25.36 | -1.36 | +26.72 |
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Drawdowns
AQMNX vs. BTC-USD - Drawdown Comparison
The maximum AQMNX drawdown since its inception was -27.50%, smaller than the maximum BTC-USD drawdown of -85.30%. Use the drawdown chart below to compare losses from any high point for AQMNX and BTC-USD.
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Drawdown Indicators
| AQMNX | BTC-USD | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -27.50% | -85.30% | +57.80% |
Max Drawdown (1Y)Largest decline over 1 year | -3.15% | -51.21% | +48.06% |
Max Drawdown (3Y)Largest decline over 3 years | -13.70% | -51.21% | +37.51% |
Max Drawdown (5Y)Largest decline over 5 years | -13.70% | -76.67% | +62.97% |
Max Drawdown (10Y)Largest decline over 10 years | -24.13% | -83.80% | +59.67% |
Current DrawdownCurrent decline from peak | -2.32% | -49.01% | +46.69% |
Average DrawdownAverage peak-to-trough decline | -10.38% | -42.35% | +31.97% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.95% | 35.02% | -34.07% |
Volatility
AQMNX vs. BTC-USD - Volatility Comparison
The current volatility for AQR Managed Futures Strategy Fund Class N (AQMNX) is 2.44%, while Bitcoin (BTC-USD) has a volatility of 12.11%. This indicates that AQMNX experiences smaller price fluctuations and is considered to be less risky than BTC-USD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| AQMNX | BTC-USD | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.44% | 12.11% | -9.67% |
Volatility (6M)Calculated over the trailing 6-month period | 6.75% | 34.59% | -27.84% |
Volatility (1Y)Calculated over the trailing 1-year period | 8.70% | 35.62% | -26.92% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 11.55% | 44.71% | -33.16% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 10.33% | 56.62% | -46.29% |
Frequently Asked Questions
AQMNX and BTC-USD have a correlation of 0.08, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
BTC-USD has higher volatility (12.11%) compared to AQMNX (2.44%). In terms of maximum drawdown, AQMNX dropped -27.50% vs BTC-USD's -85.30%.
AQMNX currently has the higher Sharpe Ratio (2.79 vs -0.93), 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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