ARCNX vs. QMHNX
Compare and contrast key facts about AQR Risk-Balanced Commodities Strategy Fund Class N (ARCNX) and AQR Managed Futures Strategy HV Fund Class N (QMHNX).
ARCNX is managed by AQR. QMHNX is an actively managed fund by AQR. It was launched on Jul 16, 2013.
Performance
ARCNX vs. QMHNX - Performance Comparison
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ARCNX vs. QMHNX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
ARCNX AQR Risk-Balanced Commodities Strategy Fund Class N | 17.59% | 20.76% | 7.19% | -0.50% | 20.97% | 39.48% | 8.11% | 17.68% | -17.83% | 10.20% |
QMHNX AQR Managed Futures Strategy HV Fund Class N | 13.82% | 19.65% | 10.48% | -0.40% | 49.64% | -2.30% | -0.85% | 1.55% | -14.59% | -2.06% |
Returns By Period
In the year-to-date period, ARCNX achieves a 17.59% return, which is significantly higher than QMHNX's 13.82% return. Over the past 10 years, ARCNX has outperformed QMHNX with an annualized return of 12.76%, while QMHNX has yielded a comparatively lower 4.69% annualized return.
ARCNX
- 1D
- 0.47%
- 1M
- 5.67%
- YTD
- 17.59%
- 6M
- 26.30%
- 1Y
- 30.38%
- 3Y*
- 14.32%
- 5Y*
- 18.41%
- 10Y*
- 12.76%
QMHNX
- 1D
- -0.62%
- 1M
- 1.71%
- YTD
- 13.82%
- 6M
- 18.02%
- 1Y
- 25.90%
- 3Y*
- 17.50%
- 5Y*
- 16.03%
- 10Y*
- 4.69%
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ARCNX vs. QMHNX - Expense Ratio Comparison
ARCNX has a 1.28% expense ratio, which is lower than QMHNX's 4.12% expense ratio.
Return for Risk
ARCNX vs. QMHNX — Risk / Return Rank
ARCNX
QMHNX
ARCNX vs. QMHNX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Risk-Balanced Commodities Strategy Fund Class N (ARCNX) and AQR Managed Futures Strategy HV Fund Class N (QMHNX). 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.
| ARCNX | QMHNX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.96 | 1.89 | +0.07 |
Sortino ratioReturn per unit of downside risk | 2.45 | 2.32 | +0.13 |
Omega ratioGain probability vs. loss probability | 1.36 | 1.34 | +0.02 |
Calmar ratioReturn relative to maximum drawdown | 3.14 | 3.27 | -0.13 |
Martin ratioReturn relative to average drawdown | 9.87 | 8.68 | +1.18 |
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
| ARCNX | QMHNX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.96 | 1.89 | +0.07 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.97 | 0.94 | +0.03 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.73 | 0.30 | +0.43 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.29 | 0.35 | -0.06 |
Correlation
The correlation between ARCNX and QMHNX is -0.01. 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
ARCNX vs. QMHNX - Dividend Comparison
ARCNX's dividend yield for the trailing twelve months is around 11.54%, more than QMHNX's 1.66% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ARCNX AQR Risk-Balanced Commodities Strategy Fund Class N | 11.54% | 13.57% | 1.89% | 7.45% | 9.45% | 18.31% | 0.09% | 4.98% | 0.29% | 0.01% | 4.69% | 0.00% |
QMHNX AQR Managed Futures Strategy HV Fund Class N | 1.66% | 1.89% | 2.09% | 7.36% | 8.75% | 10.64% | 7.79% | 3.80% | 0.00% | 0.00% | 0.01% | 7.47% |
Drawdowns
ARCNX vs. QMHNX - Drawdown Comparison
The maximum ARCNX drawdown since its inception was -55.17%, which is greater than QMHNX's maximum drawdown of -40.29%. Use the drawdown chart below to compare losses from any high point for ARCNX and QMHNX.
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Drawdown Indicators
| ARCNX | QMHNX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -55.17% | -40.29% | -14.88% |
Max Drawdown (1Y)Largest decline over 1 year | -10.10% | -8.40% | -1.70% |
Max Drawdown (5Y)Largest decline over 5 years | -20.30% | -19.23% | -1.07% |
Max Drawdown (10Y)Largest decline over 10 years | -32.80% | -35.34% | +2.54% |
Current DrawdownCurrent decline from peak | -0.56% | -1.23% | +0.67% |
Average DrawdownAverage peak-to-trough decline | -26.26% | -18.52% | -7.74% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.21% | 3.16% | +0.05% |
Volatility
ARCNX vs. QMHNX - Volatility Comparison
AQR Risk-Balanced Commodities Strategy Fund Class N (ARCNX) has a higher volatility of 5.33% compared to AQR Managed Futures Strategy HV Fund Class N (QMHNX) at 4.04%. This indicates that ARCNX's price experiences larger fluctuations and is considered to be riskier than QMHNX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ARCNX | QMHNX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.33% | 4.04% | +1.29% |
Volatility (6M)Calculated over the trailing 6-month period | 12.61% | 9.99% | +2.62% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.93% | 14.17% | +1.76% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 19.16% | 17.22% | +1.94% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 17.46% | 15.46% | +2.00% |