AQRIX vs. AQGNX

Last updated Jun 26, 2026

AQRIX (AQR Multi-Asset Fund) and AQGNX (AQR Global Equity Fund Class N) are both mutual funds - AQRIX is a Tactical Allocation fund managed by AQR Funds, while AQGNX is a Global Equities fund tracking the MSCI World Net Total Return USD Index. Over the past 10 years, AQRIX returned 8.22%/yr vs 13.36%/yr for AQGNX. A 0.70 correlation means they provide meaningful diversification when combined. AQRIX charges 0.80%/yr vs 1.07%/yr for AQGNX.

Performance

AQRIX vs. AQGNX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AQR Multi-Asset Fund (AQRIX) and AQR Global Equity Fund Class N (AQGNX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, AQRIX achieves a 7.29% return, which is significantly lower than AQGNX's 9.76% return. Over the past 10 years, AQRIX has underperformed AQGNX with an annualized return of 8.22%, while AQGNX has yielded a comparatively higher 13.36% annualized return.

AQRIX

• 1D: -0.31%
• 1M: -1.76%
• YTD: 7.29%
• 6M: 6.75%
• 1Y: 17.99%
• 3Y*: 14.39%
• 5Y*: 8.16%
• 10Y*: 8.22%

AQGNX

• 1D: -0.68%
• 1M: -1.13%
• YTD: 9.76%
• 6M: 8.49%
• 1Y: 27.66%
• 3Y*: 25.43%
• 5Y*: 14.63%
• 10Y*: 13.36%

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

AQRIX vs. AQGNX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
AQRIX AQR Multi-Asset Fund	7.29%	18.71%	10.45%	11.59%	-10.54%	14.35%	2.68%	21.03%	-6.95%	16.34%
AQGNX AQR Global Equity Fund Class N	9.76%	31.37%	24.14%	22.74%	-14.45%	18.04%	8.96%	22.24%	-14.69%	25.02%

Correlation

The correlation between AQRIX and AQGNX is 0.82, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.82
Correlation (3Y) Calculated over the trailing 3-year period	0.80
Correlation (5Y) Calculated over the trailing 5-year period	0.75
Correlation (10Y) Calculated over the trailing 10-year period	0.73
Correlation (All Time) Calculated using the full available price history since Sep 30, 2010	0.70

The correlation between AQRIX and AQGNX shifts across timeframes, from 0.70 (all time) to 0.82 (1 year), reflecting how their relationship changes across market environments.

Return for Risk

AQRIX vs. AQGNX — Risk / Return Rank

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

AQRIX

AQRIX Risk / Return Rank: 50
AQRIX Sharpe Ratio Rank: 51
AQRIX Sortino Ratio Rank: 49
AQRIX Omega Ratio Rank: 47
AQRIX Calmar Ratio Rank: 50
AQRIX Martin Ratio Rank: 55

AQGNX

AQGNX Risk / Return Rank: 69
AQGNX Sharpe Ratio Rank: 68
AQGNX Sortino Ratio Rank: 65
AQGNX Omega Ratio Rank: 62
AQGNX Calmar Ratio Rank: 72
AQGNX 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.

AQRIX vs. AQGNX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for AQR Multi-Asset Fund (AQRIX) and AQR Global Equity Fund Class N (AQGNX). 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.

	AQRIX	AQGNX	Difference
Sharpe ratio: Return per unit of total volatility	1.76	1.96	-0.20
Sortino ratio: Return per unit of downside risk	2.44	2.71	-0.28
Omega ratio: Gain probability vs. loss probability	1.31	1.35	-0.04
Calmar ratio: Return relative to maximum drawdown	2.37	2.78	-0.41
Martin ratio: Return relative to average drawdown	9.66	12.16	-2.50

AQRIX vs. AQGNX - Sharpe Ratio Comparison

The current AQRIX Sharpe Ratio is 1.76, which is comparable to the AQGNX Sharpe Ratio of 1.96. The chart below compares the historical Sharpe Ratios of AQRIX and AQGNX, 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

AQRIX vs. AQGNX - Drawdown Comparison

The maximum AQRIX drawdown since its inception was -19.37%, smaller than the maximum AQGNX drawdown of -35.76%. Use the drawdown chart below to compare losses from any high point for AQRIX and AQGNX.

Drawdown Indicators

	AQRIX	AQGNX	Difference
Max Drawdown Largest peak-to-trough decline	-19.37%	-35.76%	+16.39%
Max Drawdown (1Y) Largest decline over 1 year	-7.48%	-9.90%	+2.42%
Max Drawdown (3Y) Largest decline over 3 years	-11.05%	-18.51%	+7.46%
Max Drawdown (5Y) Largest decline over 5 years	-19.37%	-29.72%	+10.35%
Max Drawdown (10Y) Largest decline over 10 years	-19.37%	-35.76%	+16.39%
Current Drawdown Current decline from peak	-3.17%	-3.52%	+0.35%
Average Drawdown Average peak-to-trough decline	-4.81%	-7.27%	+2.46%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.83%	2.26%	-0.43%

Volatility

AQRIX vs. AQGNX - Volatility Comparison

The current volatility for AQR Multi-Asset Fund (AQRIX) is 3.63%, while AQR Global Equity Fund Class N (AQGNX) has a volatility of 5.87%. This indicates that AQRIX experiences smaller price fluctuations and is considered to be less risky than AQGNX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	AQRIX	AQGNX	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.63%	5.87%	-2.24%
Volatility (6M) Calculated over the trailing 6-month period	8.09%	11.32%	-3.23%
Volatility (1Y) Calculated over the trailing 1-year period	10.09%	14.13%	-4.04%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	10.72%	18.31%	-7.59%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	9.83%	17.86%	-8.03%

AQRIX vs. AQGNX - Expense Ratio Comparison

AQRIX has a 0.80% expense ratio, which is lower than AQGNX's 1.07% expense ratio.

Dividends

AQRIX vs. AQGNX - Dividend Comparison

AQRIX's dividend yield for the trailing twelve months is around 3.59%, less than AQGNX's 12.09% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
AQGNX AQR Global Equity Fund Class N	12.09%	13.27%	13.26%	5.82%	4.30%	12.07%	1.08%	1.26%	4.74%	4.75%	10.16%	0.00%
AQRIX AQR Multi-Asset Fund	3.59%	3.85%	1.72%	2.40%	6.82%	6.39%	1.09%	6.65%	7.36%	10.49%	7.08%	2.51%

Frequently Asked Questions

Can I hold both AQRIX and AQGNX in my portfolio?

AQRIX and AQGNX have a correlation of 0.82, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, AQRIX or AQGNX?

AQGNX has higher volatility (5.87%) compared to AQRIX (3.63%). In terms of maximum drawdown, AQRIX dropped -19.37% vs AQGNX's -35.76%.

Which has better risk-adjusted returns?

AQGNX currently has the higher Sharpe Ratio (1.96 vs 1.76), 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.