AQMNX vs. EPI

Last updated Jul 21, 2026

AQMNX (AQR Managed Futures Strategy Fund Class N) and EPI (WisdomTree India Earnings Fund) are both funds - AQMNX is a Systematic Trend fund actively managed by AQR Funds, while EPI is a India Equities fund tracking the WisdomTree India Earnings Index. AQMNX is actively managed, while EPI is passively managed. Over the past 10 years, AQMNX returned 4.24%/yr vs 8.57%/yr for EPI. At a 0.04 correlation, their price movements are largely independent. AQMNX charges 2.97%/yr vs 0.84%/yr for EPI.

Performance

AQMNX vs. EPI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AQR Managed Futures Strategy Fund Class N (AQMNX) and WisdomTree India Earnings Fund (EPI). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, AQMNX achieves a 9.60% return, which is significantly higher than EPI's -8.90% return. Over the past 10 years, AQMNX has underperformed EPI with an annualized return of 4.24%, while EPI has yielded a comparatively higher 8.57% annualized return.

AQMNX

• 1D: 0.00%
• 1M: -0.76%
• 6M: 7.56%
• YTD: 9.60%
• 1Y: 21.77%
• 3Y*: 11.36%
• 5Y*: 13.32%
• 10Y*: 4.24%
• ALL TIME*: 3.60%

EPI

• 1D: -0.35%
• 1M: -1.98%
• 6M: -7.05%
• YTD: -8.90%
• 1Y: -9.35%
• 3Y*: 5.70%
• 5Y*: 5.95%
• 10Y*: 8.57%
• ALL TIME*: 3.81%

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

AQMNX vs. EPI - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
AQMNX AQR Managed Futures Strategy Fund Class N	9.60%	14.38%	7.96%	1.79%	35.16%	-1.31%	-0.62%	1.57%	-9.12%	-1.19%
EPI WisdomTree India Earnings Fund	-8.90%	2.25%	10.70%	26.03%	-4.74%	26.41%	18.55%	1.53%	-9.88%	39.14%

Correlation

The correlation between AQMNX and EPI is -0.10, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	-0.10
Correlation (3Y) Calculated over the trailing 3-year period	-0.01
Correlation (5Y) Calculated over the trailing 5-year period	-0.09
Correlation (10Y) Calculated over the trailing 10-year period	0.01
Correlation (All Time) Calculated using the full available price history since Jan 5, 2010	0.04

The correlation between AQMNX and EPI shifts across timeframes, from -0.10 (1 year) to 0.04 (all time), reflecting how their relationship changes across market environments.

Return for Risk

AQMNX vs. EPI — Risk / Return Rank

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

AQMNX

AQMNX Risk / Return Rank: 88
AQMNX Sharpe Ratio Rank: 88
AQMNX Sortino Ratio Rank: 83
AQMNX Omega Ratio Rank: 82
AQMNX Calmar Ratio Rank: 94
AQMNX Martin Ratio Rank: 94

EPI

EPI Risk / Return Rank: 4
EPI Sharpe Ratio Rank: 5
EPI Sortino Ratio Rank: 4
EPI Omega Ratio Rank: 5
EPI Calmar Ratio Rank: 5
EPI Martin Ratio Rank: 1

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.

AQMNX vs. EPI - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for AQR Managed Futures Strategy Fund Class N (AQMNX) and WisdomTree India Earnings Fund (EPI). 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	EPI	Difference
Sharpe ratio: Return per unit of total volatility	2.44	-0.62	+3.06
Sortino ratio: Return per unit of downside risk	3.31	-0.80	+4.11
Omega ratio: Gain probability vs. loss probability	1.43	0.91	+0.52
Calmar ratio: Return relative to maximum drawdown	4.35	-0.60	+4.95
Martin ratio: Return relative to average drawdown	15.53	-1.41	+16.94

AQMNX vs. EPI - Sharpe Ratio Comparison

The current AQMNX Sharpe Ratio is 2.44, which is higher than the EPI Sharpe Ratio of -0.62. The chart below compares the historical Sharpe Ratios of AQMNX and EPI, 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

AQMNX vs. EPI - Drawdown Comparison

The maximum AQMNX drawdown since its inception was -27.50%, smaller than the maximum EPI drawdown of -66.21%. Use the drawdown chart below to compare losses from any high point for AQMNX and EPI.

Drawdown Indicators

	AQMNX	EPI	Difference
Max Drawdown Largest peak-to-trough decline	-27.50%	-66.21%	+38.71%
Max Drawdown (1Y) Largest decline over 1 year	-5.11%	-15.69%	+10.58%
Max Drawdown (3Y) Largest decline over 3 years	-13.70%	-21.89%	+8.19%
Max Drawdown (5Y) Largest decline over 5 years	-13.70%	-21.89%	+8.19%
Max Drawdown (10Y) Largest decline over 10 years	-22.96%	-50.29%	+27.33%
Current Drawdown Current decline from peak	-3.44%	-16.80%	+13.36%
Average Drawdown Average peak-to-trough decline	-10.34%	-18.63%	+8.29%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.43%	6.64%	-5.21%

Volatility

AQMNX vs. EPI - Volatility Comparison

The current volatility for AQR Managed Futures Strategy Fund Class N (AQMNX) is 3.28%, while WisdomTree India Earnings Fund (EPI) has a volatility of 3.67%. This indicates that AQMNX experiences smaller price fluctuations and is considered to be less risky than EPI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	AQMNX	EPI	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.28%	3.67%	-0.39%
Volatility (6M) Calculated over the trailing 6-month period	7.08%	13.03%	-5.95%
Volatility (1Y) Calculated over the trailing 1-year period	9.12%	15.25%	-6.13%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	11.52%	16.27%	-4.75%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	10.18%	20.27%	-10.09%

AQMNX vs. EPI - Expense Ratio Comparison

AQMNX has a 2.97% expense ratio, which is higher than EPI's 0.84% expense ratio.

Dividends

AQMNX vs. EPI - Dividend Comparison

AQMNX's dividend yield for the trailing twelve months is around 1.87%, while EPI has not paid dividends to shareholders.

Position	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%
EPI WisdomTree India Earnings Fund	0.00%	0.00%	0.27%	0.15%	6.01%	1.18%	0.78%	1.17%	1.18%	0.85%	1.05%	1.20%

Frequently Asked Questions

Can I hold both AQMNX and EPI in my portfolio?

AQMNX and EPI have a correlation of -0.10, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, AQMNX or EPI?

EPI has higher volatility (3.67%) compared to AQMNX (3.28%). In terms of maximum drawdown, AQMNX dropped -27.50% vs EPI's -66.21%.

Which has better risk-adjusted returns?

AQMNX currently has the higher Sharpe Ratio (2.44 vs -0.62), 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.