AQMNX vs. USFR
Compare and contrast key facts about AQR Managed Futures Strategy Fund Class N (AQMNX) and WisdomTree Bloomberg Floating Rate Treasury Fund (USFR).
AQMNX is an actively managed fund by AQR Funds. It was launched on Jan 6, 2010. USFR is a passively managed fund by WisdomTree that tracks the performance of the Bloomberg U.S. Treasury Floating Rate Bond Index. It was launched on Feb 4, 2014.
Performance
AQMNX vs. USFR - Performance Comparison
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AQMNX vs. USFR - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
AQMNX AQR Managed Futures Strategy Fund Class N | 9.49% | 14.38% | 7.96% | 1.79% | 35.16% | -1.31% | -0.62% | 1.57% | -9.12% | -1.19% |
USFR WisdomTree Bloomberg Floating Rate Treasury Fund | 0.93% | 4.23% | 5.47% | 5.18% | 1.98% | -0.03% | 0.56% | 2.02% | 2.01% | 1.03% |
Returns By Period
In the year-to-date period, AQMNX achieves a 9.49% return, which is significantly higher than USFR's 0.93% return. Over the past 10 years, AQMNX has outperformed USFR with an annualized return of 4.16%, while USFR has yielded a comparatively lower 2.41% annualized return.
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%
USFR
- 1D
- 0.00%
- 1M
- 0.29%
- YTD
- 0.93%
- 6M
- 2.00%
- 1Y
- 4.10%
- 3Y*
- 4.89%
- 5Y*
- 3.52%
- 10Y*
- 2.41%
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AQMNX vs. USFR - Expense Ratio Comparison
AQMNX has a 2.97% expense ratio, which is higher than USFR's 0.15% expense ratio.
Return for Risk
AQMNX vs. USFR — Risk / Return Rank
AQMNX
USFR
AQMNX vs. USFR - 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 Bloomberg Floating Rate Treasury Fund (USFR). 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 | USFR | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 2.16 | 14.37 | -12.22 |
Sortino ratioReturn per unit of downside risk | 2.70 | 42.77 | -40.06 |
Omega ratioGain probability vs. loss probability | 1.40 | 10.64 | -9.24 |
Calmar ratioReturn relative to maximum drawdown | 3.96 | 103.21 | -99.25 |
Martin ratioReturn relative to average drawdown | 11.46 | 658.56 | -647.09 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| AQMNX | USFR | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.16 | 14.37 | -12.22 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 1.08 | 8.63 | -7.55 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.40 | 3.00 | -2.59 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.37 | 1.57 | -1.20 |
Correlation
The correlation between AQMNX and USFR is 0.00, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Dividends
AQMNX vs. USFR - Dividend Comparison
AQMNX's dividend yield for the trailing twelve months is around 1.87%, less than USFR's 4.00% yield.
| 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% |
USFR WisdomTree Bloomberg Floating Rate Treasury Fund | 4.00% | 4.15% | 5.17% | 5.12% | 1.78% | 0.01% | 0.40% | 2.08% | 1.67% | 1.03% | 0.29% | 0.00% |
Drawdowns
AQMNX vs. USFR - Drawdown Comparison
The maximum AQMNX drawdown since its inception was -27.50%, which is greater than USFR's maximum drawdown of -1.36%. Use the drawdown chart below to compare losses from any high point for AQMNX and USFR.
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Drawdown Indicators
| AQMNX | USFR | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -27.50% | -1.36% | -26.14% |
Max Drawdown (1Y)Largest decline over 1 year | -5.29% | -0.04% | -5.25% |
Max Drawdown (5Y)Largest decline over 5 years | -13.70% | -0.18% | -13.52% |
Max Drawdown (10Y)Largest decline over 10 years | -24.13% | -0.80% | -23.33% |
Current DrawdownCurrent decline from peak | -0.95% | 0.00% | -0.95% |
Average DrawdownAverage peak-to-trough decline | -10.50% | -0.16% | -10.34% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.83% | 0.01% | +1.82% |
Volatility
AQMNX vs. USFR - Volatility Comparison
AQR Managed Futures Strategy Fund Class N (AQMNX) has a higher volatility of 2.59% compared to WisdomTree Bloomberg Floating Rate Treasury Fund (USFR) at 0.08%. This indicates that AQMNX's price experiences larger fluctuations and is considered to be riskier than USFR based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| AQMNX | USFR | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.59% | 0.08% | +2.51% |
Volatility (6M)Calculated over the trailing 6-month period | 6.68% | 0.19% | +6.49% |
Volatility (1Y)Calculated over the trailing 1-year period | 9.48% | 0.29% | +9.19% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 11.48% | 0.41% | +11.07% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 10.32% | 0.81% | +9.51% |