AQMNX vs. ICSH
AQMNX (AQR Managed Futures Strategy Fund Class N) and ICSH (iShares Ultra Short Duration Bond Active ETF) are both funds - AQMNX is a Systematic Trend fund actively managed by AQR Funds, while ICSH is a Ultrashort Bond fund actively managed by iShares. Both are actively managed. Over the past 10 years, AQMNX returned 4.71%/yr vs 2.77%/yr for ICSH. At a correlation of -0.09, they often move in opposite directions. AQMNX charges 2.97%/yr vs 0.08%/yr for ICSH.
Performance
AQMNX vs. ICSH - Performance Comparison
Loading charts...
Returns By Period
In the year-to-date period, AQMNX achieves a 12.24% return, which is significantly higher than ICSH's 1.43% return. Over the past 10 years, AQMNX has outperformed ICSH with an annualized return of 4.71%, while ICSH has yielded a comparatively lower 2.77% 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%
ICSH
- 1D
- 0.02%
- 1M
- 0.18%
- YTD
- 1.43%
- 6M
- 1.75%
- 1Y
- 4.30%
- 3Y*
- 5.15%
- 5Y*
- 3.67%
- 10Y*
- 2.77%
AQMNX vs. ICSH - 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% |
ICSH iShares Ultra Short Duration Bond Active ETF | 1.43% | 4.96% | 5.52% | 5.58% | 0.97% | 0.16% | 1.61% | 3.17% | 2.25% | 1.63% |
Correlation
The correlation between AQMNX and ICSH is -0.11, 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 | -0.11 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.21 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.25 |
Correlation (10Y) Calculated over the trailing 10-year period | -0.11 |
Correlation (All Time) Calculated using the full available price history since Dec 16, 2013 | -0.09 |
The correlation between AQMNX and ICSH shifts across timeframes, from -0.25 (5 years) to -0.09 (all time), reflecting how their relationship changes across market environments.
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
Return for Risk
AQMNX vs. ICSH — Risk / Return Rank
AQMNX
ICSH
AQMNX vs. ICSH - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Managed Futures Strategy Fund Class N (AQMNX) and iShares Ultra Short Duration Bond Active ETF (ICSH). 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 | ICSH | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -8.17 | ||
| Sortino ratioReturn per unit of downside risk | -23.51 | ||
| Omega ratioGain probability vs. loss probability | 1.50 | 6.56 | -5.06 |
| Calmar ratioReturn relative to maximum drawdown | 7.83 | 43.67 | -35.84 |
| Martin ratioReturn relative to average drawdown | 26.39 | 288.81 | -262.42 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Loading charts...
Sharpe Ratios by Period
| AQMNX | ICSH | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.84 | 11.01 | -8.17 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 1.07 | 7.62 | -6.55 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.46 | 2.63 | -2.17 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.38 | 1.93 | -1.55 |
Drawdowns
AQMNX vs. ICSH - Drawdown Comparison
The maximum AQMNX drawdown since its inception was -27.50%, which is greater than ICSH's maximum drawdown of -3.94%. Use the drawdown chart below to compare losses from any high point for AQMNX and ICSH.
Loading charts...
Drawdown Indicators
| AQMNX | ICSH | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -27.50% | -3.94% | -23.56% |
Max Drawdown (1Y)Largest decline over 1 year | -3.15% | -0.10% | -3.05% |
Max Drawdown (3Y)Largest decline over 3 years | -13.70% | -0.10% | -13.60% |
Max Drawdown (5Y)Largest decline over 5 years | -13.70% | -0.73% | -12.97% |
Max Drawdown (10Y)Largest decline over 10 years | -24.13% | -3.94% | -20.19% |
Current DrawdownCurrent decline from peak | -1.12% | -0.02% | -1.10% |
Average DrawdownAverage peak-to-trough decline | -10.39% | -0.08% | -10.31% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.99% | 0.01% | +0.98% |
Volatility
AQMNX vs. ICSH - Volatility Comparison
AQR Managed Futures Strategy Fund Class N (AQMNX) has a higher volatility of 2.61% compared to iShares Ultra Short Duration Bond Active ETF (ICSH) at 0.15%. This indicates that AQMNX's price experiences larger fluctuations and is considered to be riskier than ICSH based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
Loading charts...
Volatility by Period
| AQMNX | ICSH | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.61% | 0.15% | +2.46% |
Volatility (6M)Calculated over the trailing 6-month period | 6.70% | 0.30% | +6.40% |
Volatility (1Y)Calculated over the trailing 1-year period | 8.69% | 0.39% | +8.30% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 11.55% | 0.48% | +11.07% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 10.33% | 1.06% | +9.27% |
AQMNX vs. ICSH - Expense Ratio Comparison
AQMNX has a 2.97% expense ratio, which is higher than ICSH's 0.08% expense ratio.
Dividends
AQMNX vs. ICSH - Dividend Comparison
AQMNX's dividend yield for the trailing twelve months is around 1.83%, less than ICSH's 4.34% 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% |
ICSH iShares Ultra Short Duration Bond Active ETF | 4.34% | 4.55% | 5.24% | 4.78% | 1.66% | 0.42% | 1.21% | 2.61% | 2.20% | 1.36% | 0.88% | 0.54% |
Frequently Asked Questions
AQMNX and ICSH have a correlation of -0.11, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
AQMNX has higher volatility (2.61%) compared to ICSH (0.15%). In terms of maximum drawdown, AQMNX dropped -27.50% vs ICSH's -3.94%.
ICSH currently has the higher Sharpe Ratio (11.01 vs 2.84), 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.
Find the right allocation for AQMNX and ICSH
Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
Open Portfolio Optimizer