ARCIX vs. QMHIX
Compare and contrast key facts about AQR Risk-Balanced Commodities Strategy Fund (ARCIX) and AQR Managed Futures Strategy HV Fund (QMHIX).
ARCIX is managed by AQR Funds. It was launched on Jul 8, 2012. QMHIX is managed by AQR Funds. It was launched on Jul 15, 2013.
Performance
ARCIX vs. QMHIX - Performance Comparison
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ARCIX vs. QMHIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
ARCIX AQR Risk-Balanced Commodities Strategy Fund | 17.04% | 20.99% | 7.43% | -0.22% | 21.39% | 39.74% | 8.15% | 18.15% | -17.56% | 10.41% |
QMHIX AQR Managed Futures Strategy HV Fund | 14.62% | 19.97% | 10.78% | -0.17% | 50.14% | -2.08% | -0.73% | 1.82% | -14.44% | -1.72% |
Returns By Period
In the year-to-date period, ARCIX achieves a 17.04% return, which is significantly higher than QMHIX's 14.62% return. Over the past 10 years, ARCIX has outperformed QMHIX with an annualized return of 12.98%, while QMHIX has yielded a comparatively lower 5.02% annualized return.
ARCIX
- 1D
- 0.56%
- 1M
- 6.06%
- YTD
- 17.04%
- 6M
- 26.39%
- 1Y
- 30.67%
- 3Y*
- 14.38%
- 5Y*
- 18.72%
- 10Y*
- 12.98%
QMHIX
- 1D
- -0.62%
- 1M
- 2.92%
- YTD
- 14.62%
- 6M
- 19.29%
- 1Y
- 27.61%
- 3Y*
- 18.04%
- 5Y*
- 16.43%
- 10Y*
- 5.02%
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ARCIX vs. QMHIX - Expense Ratio Comparison
ARCIX has a 1.00% expense ratio, which is lower than QMHIX's 1.65% expense ratio.
Return for Risk
ARCIX vs. QMHIX — Risk / Return Rank
ARCIX
QMHIX
ARCIX vs. QMHIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Risk-Balanced Commodities Strategy Fund (ARCIX) and AQR Managed Futures Strategy HV Fund (QMHIX). 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.
| ARCIX | QMHIX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.98 | 2.01 | -0.04 |
Sortino ratioReturn per unit of downside risk | 2.48 | 2.45 | +0.03 |
Omega ratioGain probability vs. loss probability | 1.37 | 1.36 | 0.00 |
Calmar ratioReturn relative to maximum drawdown | 3.08 | 3.29 | -0.21 |
Martin ratioReturn relative to average drawdown | 9.79 | 8.79 | +1.00 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| ARCIX | QMHIX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.98 | 2.01 | -0.04 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.98 | 0.96 | +0.02 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.75 | 0.33 | +0.42 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.31 | 0.37 | -0.06 |
Correlation
The correlation between ARCIX and QMHIX is -0.02. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.
Dividends
ARCIX vs. QMHIX - Dividend Comparison
ARCIX's dividend yield for the trailing twelve months is around 11.48%, more than QMHIX's 1.79% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ARCIX AQR Risk-Balanced Commodities Strategy Fund | 11.48% | 13.44% | 2.11% | 7.56% | 9.51% | 18.23% | 0.09% | 5.19% | 0.67% | 0.01% | 4.82% | 0.00% |
QMHIX AQR Managed Futures Strategy HV Fund | 1.79% | 2.05% | 2.31% | 7.66% | 9.34% | 10.96% | 9.52% | 4.18% | 0.00% | 0.00% | 0.01% | 7.57% |
Drawdowns
ARCIX vs. QMHIX - Drawdown Comparison
The maximum ARCIX drawdown since its inception was -54.25%, which is greater than QMHIX's maximum drawdown of -39.37%. Use the drawdown chart below to compare losses from any high point for ARCIX and QMHIX.
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Drawdown Indicators
| ARCIX | QMHIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -54.25% | -39.37% | -14.88% |
Max Drawdown (1Y)Largest decline over 1 year | -10.19% | -8.34% | -1.85% |
Max Drawdown (5Y)Largest decline over 5 years | -20.29% | -19.06% | -1.23% |
Max Drawdown (10Y)Largest decline over 10 years | -32.45% | -34.54% | +2.09% |
Current DrawdownCurrent decline from peak | -1.09% | -0.62% | -0.47% |
Average DrawdownAverage peak-to-trough decline | -25.68% | -18.05% | -7.63% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.21% | 3.13% | +0.08% |
Volatility
ARCIX vs. QMHIX - Volatility Comparison
AQR Risk-Balanced Commodities Strategy Fund (ARCIX) has a higher volatility of 5.41% compared to AQR Managed Futures Strategy HV Fund (QMHIX) at 3.98%. This indicates that ARCIX's price experiences larger fluctuations and is considered to be riskier than QMHIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ARCIX | QMHIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.41% | 3.98% | +1.43% |
Volatility (6M)Calculated over the trailing 6-month period | 12.64% | 9.98% | +2.66% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.98% | 14.16% | +1.82% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 19.17% | 17.26% | +1.91% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.46% | 15.50% | +1.96% |