AQMNX vs. VOO

Last updated Jun 9, 2026

AQMNX (AQR Managed Futures Strategy Fund Class N) and VOO (Vanguard S&P 500 ETF) are both funds - AQMNX is a Systematic Trend fund actively managed by AQR Funds, while VOO is a S&P 500 fund tracking the S&P 500 Index. AQMNX is actively managed, while VOO is passively managed. Over the past 10 years, AQMNX returned 4.71%/yr vs 15.35%/yr for VOO. At a 0.05 correlation, their price movements are largely independent. AQMNX charges 2.97%/yr vs 0.03%/yr for VOO.

Performance

AQMNX vs. VOO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AQR Managed Futures Strategy Fund Class N (AQMNX) and Vanguard S&P 500 ETF (VOO). 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 VOO's 8.72% return. Over the past 10 years, AQMNX has underperformed VOO with an annualized return of 4.71%, while VOO has yielded a comparatively higher 15.35% 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%

VOO

• 1D: 0.25%
• 1M: 0.24%
• YTD: 8.72%
• 6M: 8.77%
• 1Y: 24.91%
• 3Y*: 21.45%
• 5Y*: 13.49%
• 10Y*: 15.35%

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

AQMNX vs. VOO - 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%
VOO Vanguard S&P 500 ETF	8.72%	17.82%	24.98%	26.32%	-18.17%	28.79%	18.32%	31.37%	-4.50%	21.77%

Correlation

The correlation between AQMNX and VOO is 0.16, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.16
Correlation (3Y) Calculated over the trailing 3-year period	0.08
Correlation (5Y) Calculated over the trailing 5-year period	-0.07
Correlation (10Y) Calculated over the trailing 10-year period	0.01
Correlation (All Time) Calculated using the full available price history since Sep 10, 2010	0.05

The correlation between AQMNX and VOO shifts across timeframes, from -0.07 (5 years) to 0.16 (1 year), reflecting how their relationship changes across market environments.

Return for Risk

AQMNX vs. VOO — 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

VOO

VOO Risk / Return Rank: 69
VOO Sharpe Ratio Rank: 71
VOO Sortino Ratio Rank: 68
VOO Omega Ratio Rank: 71
VOO Calmar Ratio Rank: 62
VOO Martin Ratio Rank: 75

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. VOO - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for AQR Managed Futures Strategy Fund Class N (AQMNX) and Vanguard S&P 500 ETF (VOO). 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	VOO	Difference
Sharpe ratio: Return per unit of total volatility	2.84	2.08	+0.76
Sortino ratio: Return per unit of downside risk	3.85	2.80	+1.05
Omega ratio: Gain probability vs. loss probability	1.50	1.38	+0.12
Calmar ratio: Return relative to maximum drawdown	7.83	2.81	+5.02
Martin ratio: Return relative to average drawdown	26.39	12.97	+13.42
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. VOO - Sharpe Ratio Comparison

The current AQMNX Sharpe Ratio is 2.84, which is higher than the VOO Sharpe Ratio of 2.08. The chart below compares the historical Sharpe Ratios of AQMNX and VOO, 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	VOO	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.84	2.08	+0.76
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	1.07	0.80	+0.27
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.46	0.85	-0.40
Sharpe Ratio (All Time) Calculated using the full available price history	0.38	0.88	-0.49

Drawdowns

AQMNX vs. VOO - Drawdown Comparison

The maximum AQMNX drawdown since its inception was -27.50%, smaller than the maximum VOO drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for AQMNX and VOO.

Drawdown Indicators

	AQMNX	VOO	Difference
Max Drawdown Largest peak-to-trough decline	-27.50%	-33.99%	+6.49%
Max Drawdown (1Y) Largest decline over 1 year	-3.15%	-8.90%	+5.75%
Max Drawdown (3Y) Largest decline over 3 years	-13.70%	-18.69%	+4.99%
Max Drawdown (5Y) Largest decline over 5 years	-13.70%	-24.52%	+10.82%
Max Drawdown (10Y) Largest decline over 10 years	-24.13%	-33.99%	+9.86%
Current Drawdown Current decline from peak	-1.12%	-2.66%	+1.54%
Average Drawdown Average peak-to-trough decline	-10.39%	-3.69%	-6.70%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.99%	1.92%	-0.93%

Volatility

AQMNX vs. VOO - Volatility Comparison

The current volatility for AQR Managed Futures Strategy Fund Class N (AQMNX) is 2.61%, while Vanguard S&P 500 ETF (VOO) has a volatility of 3.73%. This indicates that AQMNX experiences smaller price fluctuations and is considered to be less risky than VOO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	AQMNX	VOO	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.61%	3.73%	-1.12%
Volatility (6M) Calculated over the trailing 6-month period	6.70%	9.31%	-2.61%
Volatility (1Y) Calculated over the trailing 1-year period	8.69%	12.08%	-3.39%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	11.55%	16.85%	-5.30%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	10.33%	18.03%	-7.70%

AQMNX vs. VOO - Expense Ratio Comparison

AQMNX has a 2.97% expense ratio, which is higher than VOO's 0.03% expense ratio.

Dividends

AQMNX vs. VOO - Dividend Comparison

AQMNX's dividend yield for the trailing twelve months is around 1.83%, more than VOO's 1.05% 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%
VOO Vanguard S&P 500 ETF	1.05%	1.13%	1.24%	1.46%	1.69%	1.25%	1.54%	1.88%	2.06%	1.78%	2.02%	2.10%

Frequently Asked Questions

Can I hold both AQMNX and VOO in my portfolio?

AQMNX and VOO have a correlation of 0.16, 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 VOO?

VOO has higher volatility (3.73%) compared to AQMNX (2.61%). In terms of maximum drawdown, AQMNX dropped -27.50% vs VOO's -33.99%.

Which has better risk-adjusted returns?

AQMNX currently has the higher Sharpe Ratio (2.84 vs 2.08), 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.