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AQMNX vs. QRPIX
Performance
Return for Risk
Dividends
Drawdowns
Volatility

AQMNX vs. QRPIX

Last updated Apr 2, 2026

Compare and contrast key facts about AQR Managed Futures Strategy Fund Class N (AQMNX) and AQR Alternative Risk Premia Fund (QRPIX).

AQMNX is an actively managed fund by AQR Funds. It was launched on Jan 6, 2010. QRPIX is managed by AQR Funds. It was launched on Sep 18, 2017.

Performance

AQMNX vs. QRPIX - 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 Alternative Risk Premia Fund (QRPIX). The values are adjusted to include any dividend payments, if applicable.

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AQMNX vs. QRPIX - Yearly Performance Comparison

2026 (YTD)20252024202320222021202020192018
AQMNX
AQR Managed Futures Strategy Fund Class N		9.49%14.38%7.96%1.79%35.16%-1.31%-0.62%1.57%-6.66%
QRPIX
AQR Alternative Risk Premia Fund		9.02%23.39%18.85%7.23%25.26%14.27%-21.04%-2.98%-4.46%

Returns By Period

The year-to-date returns for both stocks are quite close, with AQMNX having a 9.49% return and QRPIX slightly lower at 9.02%.

AQMNX

1D
-0.48%
1M
0.97%
YTD
9.49%
6M
12.72%
1Y
19.86%
3Y*
13.01%
5Y*
12.29%
10Y*
4.16%

QRPIX

1D
0.47%
1M
-0.13%
YTD
9.02%
6M
14.21%
1Y
19.32%
3Y*
20.11%
5Y*
17.72%
10Y*
—
*Multi-year figures are annualized to reflect compound growth (CAGR)

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AQR Managed Futures Strategy Fund Class N

AQR Alternative Risk Premia Fund

Often compared with AQMNX:
AQMNX vs. SPYAQMNX vs. USFRAQMNX vs. CTAAQMNX vs. QQQAQMNX vs. RWSIXAQMNX vs. MFTFXAQMNX vs. QMNNX
Often compared with QRPIX:
QRPIX vs. QSPIXQRPIX vs. QMNNXQRPIX vs. DIAMXQRPIX vs. QLEIXQRPIX vs. VOOQRPIX vs. QNZNXQRPIX vs. ACWV

AQMNX vs. QRPIX - Expense Ratio Comparison

AQMNX has a 2.97% expense ratio, which is higher than QRPIX's 1.40% expense ratio.

AQMNX
AQR Managed Futures Strategy Fund Class N
QRPIX
AQR Alternative Risk Premia Fund

Return for Risk

AQMNX vs. QRPIX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
AQMNX
AQMNX Risk / Return Rank: 9292
Overall Rank
AQMNX Sharpe Ratio Rank: 9494
Sharpe Ratio Rank
AQMNX Sortino Ratio Rank: 9191
Sortino Ratio Rank
AQMNX Omega Ratio Rank: 8989
Omega Ratio Rank
AQMNX Calmar Ratio Rank: 9797
Calmar Ratio Rank
AQMNX Martin Ratio Rank: 9292
Martin Ratio Rank
QRPIX
QRPIX Risk / Return Rank: 8181
Overall Rank
QRPIX Sharpe Ratio Rank: 8888
Sharpe Ratio Rank
QRPIX Sortino Ratio Rank: 8484
Sortino Ratio Rank
QRPIX Omega Ratio Rank: 8686
Omega Ratio Rank
QRPIX Calmar Ratio Rank: 7878
Calmar Ratio Rank
QRPIX Martin Ratio Rank: 6767
Martin Ratio Rank
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. QRPIX - 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 Alternative Risk Premia Fund (QRPIX). 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.

AQMNXQRPIXDifference

Sharpe ratio

Return per unit of total volatility

2.16

1.82

+0.34

Sortino ratio

Return per unit of downside risk

2.70

2.23

+0.47

Omega ratio

Gain probability vs. loss probability

1.40

1.37

+0.03

Calmar ratio

Return relative to maximum drawdown

3.96

1.92

+2.05

Martin ratio

Return relative to average drawdown

11.46

6.52

+4.95

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. QRPIX - Sharpe Ratio Comparison

The current AQMNX Sharpe Ratio is 2.16, which is comparable to the QRPIX Sharpe Ratio of 1.82. The chart below compares the historical Sharpe Ratios of AQMNX and QRPIX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

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Sharpe Ratios by Period

AQMNXQRPIXDifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

2.16

1.82

+0.34

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

1.08

1.52

-0.44

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

0.40

—

—

Sharpe Ratio (All Time)

Calculated using the full available price history

0.37

0.75

-0.38

Correlation

The correlation between AQMNX and QRPIX is 0.46, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Dividends

AQMNX vs. QRPIX - Dividend Comparison

AQMNX's dividend yield for the trailing twelve months is around 1.87%, more than QRPIX's 1.33% yield.

TTM20252024202320222021202020192018201720162015
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%
QRPIX
AQR Alternative Risk Premia Fund		1.33%1.45%2.24%4.52%0.00%4.08%1.98%0.85%0.09%0.00%0.00%0.00%

Drawdowns

AQMNX vs. QRPIX - Drawdown Comparison

The maximum AQMNX drawdown since its inception was -27.50%, roughly equal to the maximum QRPIX drawdown of -28.45%. Use the drawdown chart below to compare losses from any high point for AQMNX and QRPIX.

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Drawdown Indicators

AQMNXQRPIXDifference

Max Drawdown

Largest peak-to-trough decline

-27.50%

-28.45%

+0.95%

Max Drawdown (1Y)

Largest decline over 1 year

-5.29%

-10.79%

+5.50%

Max Drawdown (5Y)

Largest decline over 5 years

-13.70%

-11.29%

-2.41%

Max Drawdown (10Y)

Largest decline over 10 years

-24.13%

—

—

Current Drawdown

Current decline from peak

-0.95%

-0.47%

-0.48%

Average Drawdown

Average peak-to-trough decline

-10.50%

-7.80%

-2.70%

Ulcer Index

Depth and duration of drawdowns from previous peaks

1.83%

3.26%

-1.43%

Volatility

AQMNX vs. QRPIX - Volatility Comparison

AQR Managed Futures Strategy Fund Class N (AQMNX) and AQR Alternative Risk Premia Fund (QRPIX) have volatilities of 2.59% and 2.55%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

AQMNXQRPIXDifference

Volatility (1M)

Calculated over the trailing 1-month period

2.59%

2.55%

+0.04%

Volatility (6M)

Calculated over the trailing 6-month period

6.68%

6.48%

+0.20%

Volatility (1Y)

Calculated over the trailing 1-year period

9.48%

11.43%

-1.95%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

11.48%

11.73%

-0.25%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

10.32%

10.35%

-0.03%