AQMNX vs. VTWAX

Last updated Jun 13, 2026

AQMNX (AQR Managed Futures Strategy Fund Class N) and VTWAX (Vanguard Total World Stock Index Fund Admiral Shares) are both mutual funds - AQMNX is a Systematic Trend fund actively managed by AQR Funds, while VTWAX is a Global Equities fund tracking the FTSE Global All Cap Index. AQMNX is actively managed, while VTWAX is passively managed. Over the past 5 years, AQMNX returned 12.40%/yr vs 10.51%/yr for VTWAX. At a correlation of -0.05, they often move in opposite directions. AQMNX charges 2.97%/yr vs 0.09%/yr for VTWAX.

Performance

AQMNX vs. VTWAX - 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 Total World Stock Index Fund Admiral Shares (VTWAX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

The year-to-date returns for both stocks are quite close, with AQMNX having a 10.86% return and VTWAX slightly lower at 10.38%.

AQMNX

• 1D: -0.47%
• 1M: -2.32%
• YTD: 10.86%
• 6M: 12.81%
• 1Y: 23.60%
• 3Y*: 11.83%
• 5Y*: 12.40%
• 10Y*: 4.41%

VTWAX

• 1D: 2.34%
• 1M: -0.02%
• YTD: 10.38%
• 6M: 11.15%
• 1Y: 25.06%
• 3Y*: 19.75%
• 5Y*: 10.51%
• 10Y*: —

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

AQMNX vs. VTWAX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019
AQMNX AQR Managed Futures Strategy Fund Class N	10.86%	14.38%	7.96%	1.79%	35.16%	-1.31%	-0.62%	4.34%
VTWAX Vanguard Total World Stock Index Fund Admiral Shares	10.38%	22.43%	16.43%	21.85%	-18.02%	18.17%	16.67%	17.53%

Correlation

The correlation between AQMNX and VTWAX is 0.18, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.18
Correlation (3Y) Calculated over the trailing 3-year period	0.07
Correlation (5Y) Calculated over the trailing 5-year period	-0.08
Correlation (All Time) Calculated using the full available price history since Feb 7, 2019	-0.05

The correlation between AQMNX and VTWAX shifts across timeframes, from -0.08 (5 years) to 0.18 (1 year), reflecting how their relationship changes across market environments.

Return for Risk

AQMNX vs. VTWAX — Risk / Return Rank

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

AQMNX

AQMNX Risk / Return Rank: 92
AQMNX Sharpe Ratio Rank: 93
AQMNX Sortino Ratio Rank: 88
AQMNX Omega Ratio Rank: 85
AQMNX Calmar Ratio Rank: 98
AQMNX Martin Ratio Rank: 98

VTWAX

VTWAX Risk / Return Rank: 72
VTWAX Sharpe Ratio Rank: 72
VTWAX Sortino Ratio Rank: 68
VTWAX Omega Ratio Rank: 69
VTWAX Calmar Ratio Rank: 71
VTWAX Martin Ratio Rank: 79

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. VTWAX - 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 Total World Stock Index Fund Admiral Shares (VTWAX). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	AQMNX	VTWAX	Difference
Sharpe ratio: Return per unit of total volatility	2.79	1.97	+0.82
Sortino ratio: Return per unit of downside risk	3.78	2.69	+1.10
Omega ratio: Gain probability vs. loss probability	1.49	1.36	+0.13
Calmar ratio: Return relative to maximum drawdown	7.71	2.66	+5.04
Martin ratio: Return relative to average drawdown	25.36	11.61	+13.75

AQMNX vs. VTWAX - Sharpe Ratio Comparison

The current AQMNX Sharpe Ratio is 2.79, which is higher than the VTWAX Sharpe Ratio of 1.97. The chart below compares the historical Sharpe Ratios of AQMNX and VTWAX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

AQMNX vs. VTWAX - Drawdown Comparison

The maximum AQMNX drawdown since its inception was -27.50%, smaller than the maximum VTWAX drawdown of -34.20%. Use the drawdown chart below to compare losses from any high point for AQMNX and VTWAX.

Drawdown Indicators

	AQMNX	VTWAX	Difference
Max Drawdown Largest peak-to-trough decline	-27.50%	-34.20%	+6.70%
Max Drawdown (1Y) Largest decline over 1 year	-3.15%	-9.64%	+6.49%
Max Drawdown (3Y) Largest decline over 3 years	-13.70%	-16.43%	+2.73%
Max Drawdown (5Y) Largest decline over 5 years	-13.70%	-26.40%	+12.70%
Max Drawdown (10Y) Largest decline over 10 years	-24.13%	—	—
Current Drawdown Current decline from peak	-2.32%	-2.45%	+0.13%
Average Drawdown Average peak-to-trough decline	-10.38%	-5.29%	-5.09%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.95%	2.21%	-1.26%

Volatility

AQMNX vs. VTWAX - Volatility Comparison

The current volatility for AQR Managed Futures Strategy Fund Class N (AQMNX) is 2.44%, while Vanguard Total World Stock Index Fund Admiral Shares (VTWAX) has a volatility of 5.19%. This indicates that AQMNX experiences smaller price fluctuations and is considered to be less risky than VTWAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	AQMNX	VTWAX	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.44%	5.19%	-2.75%
Volatility (6M) Calculated over the trailing 6-month period	6.75%	10.71%	-3.96%
Volatility (1Y) Calculated over the trailing 1-year period	8.70%	13.07%	-4.37%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	11.55%	15.82%	-4.27%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	10.33%	18.23%	-7.90%

AQMNX vs. VTWAX - Expense Ratio Comparison

AQMNX has a 2.97% expense ratio, which is higher than VTWAX's 0.09% expense ratio.

Dividends

AQMNX vs. VTWAX - Dividend Comparison

AQMNX's dividend yield for the trailing twelve months is around 1.85%, more than VTWAX's 1.59% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
AQMNX AQR Managed Futures Strategy Fund Class N	1.85%	2.05%	3.61%	8.15%	12.59%	6.59%	4.17%	2.92%	0.00%	0.00%	0.02%	6.30%
VTWAX Vanguard Total World Stock Index Fund Admiral Shares	1.59%	1.80%	1.92%	2.06%	2.17%	1.79%	1.64%	2.28%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both AQMNX and VTWAX in my portfolio?

AQMNX and VTWAX have a correlation of 0.18, 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 VTWAX?

VTWAX has higher volatility (5.19%) compared to AQMNX (2.44%). In terms of maximum drawdown, AQMNX dropped -27.50% vs VTWAX's -34.20%.

Which has better risk-adjusted returns?

AQMNX currently has the higher Sharpe Ratio (2.79 vs 1.97), 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.