AQMNX vs. QDSIX

Last updated Aug 4, 2026

AQMNX (AQR Managed Futures Strategy Fund Class N) and QDSIX (AQR Diversifying Strategies Fund - Class I) are both mutual funds - AQMNX is a Systematic Trend fund actively managed by AQR, while QDSIX is a Multistrategy fund managed by AQR. Over the past 5 years, AQMNX returned 13.48%/yr vs 11.28%/yr for QDSIX. Their 0.54 correlation means they have sometimes moved together and sometimes differently. AQMNX charges 2.97%/yr vs 1.23%/yr for QDSIX.

Performance

AQMNX vs. QDSIX - Performance Comparison

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

Returns By Period

In the year-to-date period, AQMNX achieves a 10.23% return, which is significantly higher than QDSIX's 5.71% return.

AQMNX

• 1D: 0.19%
• 1M: 2.35%
• 6M: 5.66%
• YTD: 10.23%
• 1Y: 23.46%
• 3Y*: 11.35%
• 5Y*: 13.48%
• 10Y*: 4.09%
• ALL TIME*: 3.62%

QDSIX

• 1D: 0.20%
• 1M: 2.42%
• 6M: 3.49%
• YTD: 5.71%
• 1Y: 14.11%
• 3Y*: 12.11%
• 5Y*: 11.28%
• 10Y*: —
• ALL TIME*: 11.65%

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

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
AQMNX AQR Managed Futures Strategy Fund Class N	$0.00	$0.00	$0.00
QDSIX AQR Diversifying Strategies Fund - Class I	$0.00	$0.00	$0.00

AQMNX vs. QDSIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
AQMNX AQR Managed Futures Strategy Fund Class N	10.23%	14.38%	7.96%	1.79%	35.16%	-1.31%	0.99%
QDSIX AQR Diversifying Strategies Fund - Class I	5.71%	16.36%	9.71%	8.88%	14.69%	10.64%	5.50%

Correlation

The correlation between AQMNX and QDSIX is 0.67, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.67
Correlation (3Y) Balances recent behavior with more history.	0.60
Correlation (5Y) Shows whether the relationship held over a longer period.	0.53
Correlation (All Time) Calculated using the full available price history since Jun 10, 2020	0.54

The correlation between AQMNX and QDSIX shifts across timeframes, from 0.53 (5 years) to 0.67 (1 year), reflecting how their relationship changes across market environments.

Return for Risk

AQMNX vs. QDSIX — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

AQMNX

AQMNX Risk / Return Rank: 89
AQMNX Sharpe Ratio Rank: 90
AQMNX Sortino Ratio Rank: 85
AQMNX Omega Ratio Rank: 83
AQMNX Calmar Ratio Rank: 95
AQMNX Martin Ratio Rank: 93

QDSIX

QDSIX Risk / Return Rank: 93
QDSIX Sharpe Ratio Rank: 94
QDSIX Sortino Ratio Rank: 93
QDSIX Omega Ratio Rank: 89
QDSIX Calmar Ratio Rank: 95
QDSIX Martin Ratio Rank: 93

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

AQMNX vs. QDSIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for AQR Managed Futures Strategy Fund Class N (AQMNX) and AQR Diversifying Strategies Fund - Class I (QDSIX). 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	QDSIX	Difference
Sharpe ratio: Return per unit of total volatility	2.30	2.51	-0.21
Sortino ratio: Return per unit of downside risk	3.12	3.66	-0.55
Omega ratio: Gain probability vs. loss probability	1.40	1.47	-0.06
Calmar ratio: Return relative to maximum drawdown	4.27	4.34	-0.08
Martin ratio: Return relative to average drawdown	14.55	14.36	+0.19

AQMNX vs. QDSIX - Sharpe Ratio Comparison

The current AQMNX Sharpe Ratio is 2.30, which is comparable to the QDSIX Sharpe Ratio of 2.51. The chart below compares the historical Sharpe Ratios of AQMNX and QDSIX, 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. QDSIX - Drawdown Comparison

The maximum AQMNX drawdown since its inception was -27.50%, which is greater than QDSIX's maximum drawdown of -7.06%. Use the drawdown chart below to compare losses from any high point for AQMNX and QDSIX.

Drawdown Indicators

	AQMNX	QDSIX	Difference
Max Drawdown Largest peak-to-trough decline	-27.50%	-7.06%	-20.44%
Max Drawdown (1Y) Largest decline over 1 year	-5.11%	-3.08%	-2.03%
Max Drawdown (3Y) Largest decline over 3 years	-13.70%	-6.90%	-6.80%
Max Drawdown (5Y) Largest decline over 5 years	-13.70%	-7.06%	-6.64%
Max Drawdown (10Y) Largest decline over 10 years	-22.96%	—	—
Current Drawdown Current decline from peak	-2.88%	-0.74%	-2.14%
Average Drawdown Average peak-to-trough decline	-10.32%	-1.44%	-8.88%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.50%	0.93%	+0.57%

Volatility

AQMNX vs. QDSIX - Volatility Comparison

AQR Managed Futures Strategy Fund Class N (AQMNX) has a higher volatility of 3.40% compared to AQR Diversifying Strategies Fund - Class I (QDSIX) at 1.79%. This indicates that AQMNX's price experiences larger fluctuations and is considered to be riskier than QDSIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	AQMNX	QDSIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.40%	1.79%	+1.61%
Volatility (6M) Calculated over the trailing 6-month period	7.38%	3.93%	+3.45%
Volatility (1Y) Calculated over the trailing 1-year period	9.51%	5.35%	+4.16%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	11.51%	7.63%	+3.88%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	10.22%	7.29%	+2.93%

AQMNX vs. QDSIX - Expense Ratio Comparison

AQMNX has a 2.97% expense ratio, which is higher than QDSIX's 1.23% expense ratio.

Dividends

AQMNX vs. QDSIX - Dividend Comparison

AQMNX's dividend yield for the trailing twelve months is around 1.86%, less than QDSIX's 2.11% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
AQMNX AQR Managed Futures Strategy Fund Class N	1.86%	2.05%	3.61%	8.15%	12.59%	6.59%	4.17%	2.92%	0.00%	0.00%	0.02%	6.30%
QDSIX AQR Diversifying Strategies Fund - Class I	2.11%	2.23%	0.00%	11.35%	8.22%	6.07%	1.93%	0.00%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both AQMNX and QDSIX in my portfolio?

AQMNX and QDSIX have a correlation of 0.67, 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 QDSIX?

AQMNX has higher volatility (3.40%) compared to QDSIX (1.79%). In terms of maximum drawdown, AQMNX dropped -27.50% vs QDSIX's -7.06%.

Which has better risk-adjusted returns?

QDSIX currently has the higher Sharpe Ratio (2.51 vs 2.30), 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.