ARBFX vs. QGMIX
ARBFX (The Arbitrage Fund) and QGMIX (AQR Macro Opportunities Fund) are both mutual funds - ARBFX is a Event Driven fund managed by Arbitrage Fund, while QGMIX is a Multistrategy fund managed by AQR. Over the past 10 years, ARBFX returned 3.27%/yr vs 3.62%/yr for QGMIX. Their -0.04 correlation means they have often moved in opposite directions in the past. ARBFX charges 1.43%/yr vs 1.20%/yr for QGMIX.
Performance
ARBFX vs. QGMIX - Performance Comparison
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Returns By Period
In the year-to-date period, ARBFX achieves a 1.56% return, which is significantly higher than QGMIX's -0.61% return. Over the past 10 years, ARBFX has underperformed QGMIX with an annualized return of 3.27%, while QGMIX has yielded a comparatively higher 3.62% annualized return.
ARBFX
- 1D
- 0.00%
- 1M
- -0.15%
- 6M
- 1.34%
- YTD
- 1.56%
- 1Y
- 4.82%
- 3Y*
- 5.64%
- 5Y*
- 3.56%
- 10Y*
- 3.27%
- ALL TIME*
- 3.85%
QGMIX
- 1D
- -0.21%
- 1M
- 0.21%
- 6M
- -4.05%
- YTD
- -0.61%
- 1Y
- 0.52%
- 3Y*
- 1.87%
- 5Y*
- 4.93%
- 10Y*
- 3.62%
- ALL TIME*
- 3.08%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
ARBFX The Arbitrage Fund | $0.00 | $0.00 | $0.00 |
| $0.00 | $0.00 | $0.00 |
ARBFX vs. QGMIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
ARBFX The Arbitrage Fund | 1.56% | 8.01% | 2.61% | 5.94% | -1.02% | 0.85% | 5.42% | 3.57% | 2.12% | 2.59% |
QGMIX AQR Macro Opportunities Fund | -0.61% | 4.00% | -0.95% | 0.01% | 29.30% | -4.54% | 1.60% | 4.90% | 7.80% | -3.38% |
Correlation
The correlation between ARBFX and QGMIX is -0.04, meaning there was essentially no consistent relationship between their historical price movements. Each responded to its own set of market drivers.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | -0.04 |
Correlation (3Y) Balances recent behavior with more history. | 0.01 |
Correlation (5Y) Shows whether the relationship held over a longer period. | -0.11 |
Correlation (10Y) Provides a long-term view across more market conditions. | -0.02 |
Correlation (All Time) Calculated using the full available price history since Jan 2, 2015 | -0.04 |
The correlation between ARBFX and QGMIX shifts across timeframes, from -0.11 (5 years) to 0.01 (3 years), reflecting how their relationship changes across market environments.
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Return for Risk
ARBFX vs. QGMIX — Risk / Return Rank
ARBFX
QGMIX
ARBFX vs. QGMIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for The Arbitrage Fund (ARBFX) and AQR Macro Opportunities Fund (QGMIX). 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.
| ARBFX | QGMIX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +2.74 | ||
| Sortino ratioReturn per unit of downside risk | +4.40 | ||
| Omega ratioGain probability vs. loss probability | 1.52 | 0.97 | +0.56 |
| Calmar ratioReturn relative to maximum drawdown | 5.30 | -0.25 | +5.55 |
| Martin ratioReturn relative to average drawdown | 22.62 | -0.54 | +23.16 |
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Drawdowns
ARBFX vs. QGMIX - Drawdown Comparison
The maximum ARBFX drawdown since its inception was -38.01%, which is greater than QGMIX's maximum drawdown of -13.48%. Use the drawdown chart below to compare losses from any high point for ARBFX and QGMIX.
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Drawdown Indicators
| ARBFX | QGMIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -38.01% | -13.48% | -24.53% |
Max Drawdown (1Y)Largest decline over 1 year | -0.88% | -5.47% | +4.59% |
Max Drawdown (3Y)Largest decline over 3 years | -2.26% | -13.48% | +11.22% |
Max Drawdown (5Y)Largest decline over 5 years | -6.15% | -13.48% | +7.33% |
Max Drawdown (10Y)Largest decline over 10 years | -11.90% | -13.48% | +1.58% |
Current DrawdownCurrent decline from peak | -0.36% | -5.24% | +4.88% |
Average DrawdownAverage peak-to-trough decline | -2.35% | -3.95% | +1.60% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.21% | 2.60% | -2.39% |
Volatility
ARBFX vs. QGMIX - Volatility Comparison
The current volatility for The Arbitrage Fund (ARBFX) is 0.54%, while AQR Macro Opportunities Fund (QGMIX) has a volatility of 1.90%. This indicates that ARBFX experiences smaller price fluctuations and is considered to be less risky than QGMIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ARBFX | QGMIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.54% | 1.90% | -1.36% |
Volatility (6M)Calculated over the trailing 6-month period | 1.23% | 4.17% | -2.94% |
Volatility (1Y)Calculated over the trailing 1-year period | 1.87% | 5.94% | -4.07% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 3.58% | 9.83% | -6.25% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 4.42% | 8.38% | -3.96% |
ARBFX vs. QGMIX - Expense Ratio Comparison
ARBFX has a 1.43% expense ratio, which is higher than QGMIX's 1.20% expense ratio.
Dividends
ARBFX vs. QGMIX - Dividend Comparison
ARBFX's dividend yield for the trailing twelve months is around 3.53%, more than QGMIX's 1.45% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ARBFX The Arbitrage Fund | 3.53% | 3.59% | 0.94% | 1.92% | 3.67% | 0.53% | 6.94% | 2.12% | 1.71% | 3.55% | 0.96% | 2.36% |
QGMIX AQR Macro Opportunities Fund | 1.45% | 1.44% | 1.92% | 10.07% | 7.48% | 1.49% | 0.96% | 0.05% | 3.92% | 0.04% | 6.05% | 5.30% |
Frequently Asked Questions
ARBFX and QGMIX 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.
QGMIX has higher volatility (1.90%) compared to ARBFX (0.54%). In terms of maximum drawdown, ARBFX dropped -38.01% vs QGMIX's -13.48%.
ARBFX currently has the higher Sharpe Ratio (2.50 vs -0.24), 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.
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