AQMNX vs. QMHIX

Last updated Jun 4, 2026

AQMNX (AQR Managed Futures Strategy Fund Class N) and QMHIX (AQR Managed Futures Strategy HV Fund) are both Systematic Trend funds from AQR Funds. Over the past 10 years, AQMNX returned 4.72%/yr vs 5.74%/yr for QMHIX. With a 0.99 correlation, they move nearly in lockstep. AQMNX charges 2.97%/yr vs 1.65%/yr for QMHIX.

Performance

AQMNX vs. QMHIX - 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 Managed Futures Strategy HV Fund (QMHIX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, AQMNX achieves a 12.66% return, which is significantly lower than QMHIX's 17.77% return. Over the past 10 years, AQMNX has underperformed QMHIX with an annualized return of 4.72%, while QMHIX has yielded a comparatively higher 5.74% annualized return.

AQMNX

• 1D: 0.38%
• 1M: 1.14%
• YTD: 12.66%
• 6M: 14.76%
• 1Y: 24.59%
• 3Y*: 12.17%
• 5Y*: 12.40%
• 10Y*: 4.72%

QMHIX

• 1D: 0.78%
• 1M: 1.31%
• YTD: 17.77%
• 6M: 21.56%
• 1Y: 33.93%
• 3Y*: 16.36%
• 5Y*: 16.27%
• 10Y*: 5.74%

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

AQMNX vs. QMHIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
AQMNX AQR Managed Futures Strategy Fund Class N	12.66%	14.38%	7.96%	1.79%	35.16%	-1.31%	-0.62%	1.57%	-9.12%	-1.19%
QMHIX AQR Managed Futures Strategy HV Fund	17.77%	19.97%	10.78%	-0.17%	50.14%	-2.08%	-0.73%	1.82%	-14.44%	-1.72%

Correlation

The correlation between AQMNX and QMHIX is 0.98 - these two move nearly in lockstep. At this level, holding both provides almost no diversification benefit. If you already own one, adding the other does little to reduce portfolio risk.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.98
Correlation (3Y) Calculated over the trailing 3-year period	0.99
Correlation (5Y) Calculated over the trailing 5-year period	0.99
Correlation (10Y) Calculated over the trailing 10-year period	0.99
Correlation (All Time) Calculated using the full available price history since Jan 3, 2014	0.99

The correlation between AQMNX and QMHIX has been stable across timeframes, ranging from 0.98 to 0.99 - a consistent structural relationship.

Return for Risk

AQMNX vs. QMHIX — Risk / Return Rank

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

AQMNX

AQMNX Risk / Return Rank: 89
AQMNX Sharpe Ratio Rank: 88
AQMNX Sortino Ratio Rank: 83
AQMNX Omega Ratio Rank: 79
AQMNX Calmar Ratio Rank: 98
AQMNX Martin Ratio Rank: 96

QMHIX

QMHIX Risk / Return Rank: 82
QMHIX Sharpe Ratio Rank: 84
QMHIX Sortino Ratio Rank: 70
QMHIX Omega Ratio Rank: 68
QMHIX Calmar Ratio Rank: 97
QMHIX Martin Ratio Rank: 94

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. QMHIX - 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 Managed Futures Strategy HV Fund (QMHIX). 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	QMHIX	Difference
Sharpe ratio: Return per unit of total volatility	2.88	2.70	+0.19
Sortino ratio: Return per unit of downside risk	3.91	3.48	+0.42
Omega ratio: Gain probability vs. loss probability	1.52	1.46	+0.05
Calmar ratio: Return relative to maximum drawdown	7.89	7.09	+0.80
Martin ratio: Return relative to average drawdown	25.06	20.87	+4.19
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

AQMNX vs. QMHIX - Sharpe Ratio Comparison

The current AQMNX Sharpe Ratio is 2.88, which is comparable to the QMHIX Sharpe Ratio of 2.70. The chart below compares the historical Sharpe Ratios of AQMNX and QMHIX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	AQMNX	QMHIX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.88	2.70	+0.19
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	1.08	0.94	+0.14
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.46	0.37	+0.09
Sharpe Ratio (All Time) Calculated using the full available price history	0.39	0.38	0.00

Drawdowns

AQMNX vs. QMHIX - Drawdown Comparison

The maximum AQMNX drawdown since its inception was -27.50%, smaller than the maximum QMHIX drawdown of -39.37%. Use the drawdown chart below to compare losses from any high point for AQMNX and QMHIX.

Drawdown Indicators

	AQMNX	QMHIX	Difference
Max Drawdown Largest peak-to-trough decline	-27.50%	-39.37%	+11.87%
Max Drawdown (1Y) Largest decline over 1 year	-3.15%	-4.83%	+1.68%
Max Drawdown (3Y) Largest decline over 3 years	-13.70%	-19.06%	+5.36%
Max Drawdown (5Y) Largest decline over 5 years	-13.70%	-19.06%	+5.36%
Max Drawdown (10Y) Largest decline over 10 years	-24.13%	-34.54%	+10.41%
Current Drawdown Current decline from peak	-0.74%	-1.02%	+0.28%
Average Drawdown Average peak-to-trough decline	-10.40%	-17.82%	+7.42%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.99%	1.63%	-0.64%

Volatility

AQMNX vs. QMHIX - Volatility Comparison

The current volatility for AQR Managed Futures Strategy Fund Class N (AQMNX) is 2.58%, while AQR Managed Futures Strategy HV Fund (QMHIX) has a volatility of 3.69%. This indicates that AQMNX experiences smaller price fluctuations and is considered to be less risky than QMHIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	AQMNX	QMHIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.58%	3.69%	-1.11%
Volatility (6M) Calculated over the trailing 6-month period	6.65%	9.70%	-3.05%
Volatility (1Y) Calculated over the trailing 1-year period	8.63%	12.74%	-4.11%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	11.55%	17.35%	-5.80%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	10.33%	15.51%	-5.18%

AQMNX vs. QMHIX - Expense Ratio Comparison

AQMNX has a 2.97% expense ratio, which is higher than QMHIX's 1.65% expense ratio.

Dividends

AQMNX vs. QMHIX - Dividend Comparison

AQMNX's dividend yield for the trailing twelve months is around 1.82%, more than QMHIX's 1.74% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
AQMNX AQR Managed Futures Strategy Fund Class N	1.82%	2.05%	3.61%	8.15%	12.59%	6.59%	4.17%	2.92%	0.00%	0.00%	0.02%	6.30%
QMHIX AQR Managed Futures Strategy HV Fund	1.74%	2.05%	2.31%	7.66%	9.34%	10.96%	9.52%	4.18%	0.00%	0.00%	0.01%	7.57%

Frequently Asked Questions

Can I hold both AQMNX and QMHIX in my portfolio?

With a correlation of 0.98, AQMNX and QMHIX move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

Which is riskier, AQMNX or QMHIX?

QMHIX has higher volatility (3.69%) compared to AQMNX (2.58%). In terms of maximum drawdown, AQMNX dropped -27.50% vs QMHIX's -39.37%.

Which has better risk-adjusted returns?

AQMNX currently has the higher Sharpe Ratio (2.88 vs 2.70), 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.