AQMNX vs. USMV

Last updated Jun 9, 2026

AQMNX (AQR Managed Futures Strategy Fund Class N) and USMV (iShares MSCI USA Min Vol Factor ETF) are both funds - AQMNX is a Systematic Trend fund actively managed by AQR Funds, while USMV is a Large Cap Blend Equities fund tracking the MSCI USA Minimum Volatility Index. AQMNX is actively managed, while USMV is passively managed. Over the past 10 years, AQMNX returned 4.71%/yr vs 9.75%/yr for USMV. At a correlation of -0.00, they often move in opposite directions. AQMNX charges 2.97%/yr vs 0.15%/yr for USMV.

Performance

AQMNX vs. USMV - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AQR Managed Futures Strategy Fund Class N (AQMNX) and iShares MSCI USA Min Vol Factor ETF (USMV). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, AQMNX achieves a 12.24% return, which is significantly higher than USMV's 1.55% return. Over the past 10 years, AQMNX has underperformed USMV with an annualized return of 4.71%, while USMV has yielded a comparatively higher 9.75% 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%

USMV

• 1D: -0.43%
• 1M: 1.28%
• YTD: 1.55%
• 6M: 2.27%
• 1Y: 3.18%
• 3Y*: 11.35%
• 5Y*: 7.21%
• 10Y*: 9.75%

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

AQMNX vs. USMV - 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%
USMV iShares MSCI USA Min Vol Factor ETF	1.55%	7.65%	15.74%	10.33%	-9.43%	20.85%	5.64%	27.69%	1.33%	18.91%

Correlation

The correlation between AQMNX and USMV is -0.04, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	-0.04
Correlation (3Y) Calculated over the trailing 3-year period	-0.04
Correlation (5Y) Calculated over the trailing 5-year period	-0.16
Correlation (10Y) Calculated over the trailing 10-year period	-0.04
Correlation (All Time) Calculated using the full available price history since Oct 20, 2011	-0.00

The correlation between AQMNX and USMV shifts across timeframes, from -0.16 (5 years) to -0.00 (all time), reflecting how their relationship changes across market environments.

Return for Risk

AQMNX vs. USMV — Risk / Return Rank

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

AQMNX

AQMNX Risk / Return Rank: 90
AQMNX Sharpe Ratio Rank: 89
AQMNX Sortino Ratio Rank: 84
AQMNX Omega Ratio Rank: 80
AQMNX Calmar Ratio Rank: 98
AQMNX Martin Ratio Rank: 97

USMV

USMV Risk / Return Rank: 15
USMV Sharpe Ratio Rank: 15
USMV Sortino Ratio Rank: 15
USMV Omega Ratio Rank: 14
USMV Calmar Ratio Rank: 16
USMV Martin Ratio Rank: 17

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. USMV - 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 MSCI USA Min Vol Factor ETF (USMV). 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	USMV	Difference
Sharpe ratio: Return per unit of total volatility	2.84	0.37	+2.47
Sortino ratio: Return per unit of downside risk	3.85	0.58	+3.27
Omega ratio: Gain probability vs. loss probability	1.50	1.07	+0.44
Calmar ratio: Return relative to maximum drawdown	7.83	0.49	+7.33
Martin ratio: Return relative to average drawdown	26.39	1.64	+24.75
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. USMV - Sharpe Ratio Comparison

The current AQMNX Sharpe Ratio is 2.84, which is higher than the USMV Sharpe Ratio of 0.37. The chart below compares the historical Sharpe Ratios of AQMNX and USMV, 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	USMV	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.84	0.37	+2.47
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	1.07	0.59	+0.48
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.46	0.67	-0.22
Sharpe Ratio (All Time) Calculated using the full available price history	0.38	0.86	-0.48

Drawdowns

AQMNX vs. USMV - Drawdown Comparison

The maximum AQMNX drawdown since its inception was -27.50%, smaller than the maximum USMV drawdown of -33.10%. Use the drawdown chart below to compare losses from any high point for AQMNX and USMV.

Drawdown Indicators

	AQMNX	USMV	Difference
Max Drawdown Largest peak-to-trough decline	-27.50%	-33.10%	+5.60%
Max Drawdown (1Y) Largest decline over 1 year	-3.15%	-6.46%	+3.31%
Max Drawdown (3Y) Largest decline over 3 years	-13.70%	-9.36%	-4.34%
Max Drawdown (5Y) Largest decline over 5 years	-13.70%	-17.93%	+4.23%
Max Drawdown (10Y) Largest decline over 10 years	-24.13%	-33.10%	+8.97%
Current Drawdown Current decline from peak	-1.12%	-2.24%	+1.12%
Average Drawdown Average peak-to-trough decline	-10.39%	-2.88%	-7.51%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.99%	1.94%	-0.95%

Volatility

AQMNX vs. USMV - Volatility Comparison

AQR Managed Futures Strategy Fund Class N (AQMNX) and iShares MSCI USA Min Vol Factor ETF (USMV) have volatilities of 2.61% and 2.65%, 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.

Volatility by Period

	AQMNX	USMV	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.61%	2.65%	-0.04%
Volatility (6M) Calculated over the trailing 6-month period	6.70%	6.02%	+0.68%
Volatility (1Y) Calculated over the trailing 1-year period	8.69%	8.57%	+0.12%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	11.55%	12.36%	-0.81%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	10.33%	14.51%	-4.18%

AQMNX vs. USMV - Expense Ratio Comparison

AQMNX has a 2.97% expense ratio, which is higher than USMV's 0.15% expense ratio.

Dividends

AQMNX vs. USMV - Dividend Comparison

AQMNX's dividend yield for the trailing twelve months is around 1.83%, more than USMV's 1.54% 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%
USMV iShares MSCI USA Min Vol Factor ETF	1.54%	1.49%	1.67%	1.82%	1.62%	1.26%	1.81%	1.88%	2.12%	1.77%	2.22%	2.02%

Frequently Asked Questions

Can I hold both AQMNX and USMV in my portfolio?

AQMNX and USMV have a correlation of -0.04, 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 USMV?

USMV has higher volatility (2.65%) compared to AQMNX (2.61%). In terms of maximum drawdown, AQMNX dropped -27.50% vs USMV's -33.10%.

Which has better risk-adjusted returns?

AQMNX currently has the higher Sharpe Ratio (2.84 vs 0.37), 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.