ARCNX vs. QMHNX

Last updated Aug 1, 2026

ARCNX (AQR Risk-Balanced Commodities Strategy Fund Class N) and QMHNX (AQR Managed Futures Strategy HV Fund Class N) are both mutual funds - ARCNX is a Commodities fund managed by AQR, while QMHNX is a Systematic Trend fund actively managed by AQR. Over the past 10 years, ARCNX returned 11.32%/yr vs 4.37%/yr for QMHNX. Their 0.00 correlation means their historical movements had little consistent relationship. ARCNX charges 1.28%/yr vs 4.12%/yr for QMHNX.

Performance

ARCNX vs. QMHNX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AQR Risk-Balanced Commodities Strategy Fund Class N (ARCNX) and AQR Managed Futures Strategy HV Fund Class N (QMHNX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, ARCNX achieves a 16.04% return, which is significantly higher than QMHNX's 12.31% return. Over the past 10 years, ARCNX has outperformed QMHNX with an annualized return of 11.32%, while QMHNX has yielded a comparatively lower 4.37% annualized return.

ARCNX

• 1D: 0.29%
• 1M: 5.32%
• 6M: 7.37%
• YTD: 16.04%
• 1Y: 33.40%
• 3Y*: 13.01%
• 5Y*: 14.23%
• 10Y*: 11.32%
• ALL TIME*: 4.59%

QMHNX

• 1D: 0.09%
• 1M: 3.44%
• 6M: 5.00%
• YTD: 12.31%
• 1Y: 30.37%
• 3Y*: 15.03%
• 5Y*: 17.32%
• 10Y*: 4.37%
• ALL TIME*: 5.11%

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

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
ARCNX AQR Risk-Balanced Commodities Strategy Fund Class N	$0.00	$0.00	$0.00
QMHNX AQR Managed Futures Strategy HV Fund Class N	$0.00	$0.00	$0.00

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	16.04%	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	12.31%	19.65%	10.48%	-0.40%	49.64%	-2.30%	-0.85%	1.55%	-14.59%	-2.06%

Correlation

The correlation between ARCNX and QMHNX is 0.59, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.59
Correlation (3Y) Balances recent behavior with more history.	0.21
Correlation (5Y) Shows whether the relationship held over a longer period.	0.07
Correlation (10Y) Provides a long-term view across more market conditions.	0.09
Correlation (All Time) Calculated using the full available price history since Jan 2, 2014	0.00

Over the past year, ARCNX and QMHNX have become more correlated (0.59) than their long-term average of 0.00, meaning their price movements have been converging.

Return for Risk

ARCNX vs. QMHNX — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

ARCNX

ARCNX Risk / Return Rank: 70
ARCNX Sharpe Ratio Rank: 82
ARCNX Sortino Ratio Rank: 75
ARCNX Omega Ratio Rank: 77
ARCNX Calmar Ratio Rank: 65
ARCNX Martin Ratio Rank: 52

QMHNX

QMHNX Risk / Return Rank: 80
QMHNX Sharpe Ratio Rank: 81
QMHNX Sortino Ratio Rank: 74
QMHNX Omega Ratio Rank: 73
QMHNX Calmar Ratio Rank: 87
QMHNX Martin Ratio Rank: 85

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

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.

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.

	ARCNX	QMHNX	Difference
Sharpe ratio: Return per unit of total volatility	1.98	1.92	+0.05
Sortino ratio: Return per unit of downside risk	2.58	2.52	+0.06
Omega ratio: Gain probability vs. loss probability	1.34	1.32	+0.02
Calmar ratio: Return relative to maximum drawdown	2.17	3.10	-0.93
Martin ratio: Return relative to average drawdown	7.07	10.65	-3.58

ARCNX vs. QMHNX - Sharpe Ratio Comparison

The current ARCNX Sharpe Ratio is 1.98, which is comparable to the QMHNX Sharpe Ratio of 1.92. The chart below compares the historical Sharpe Ratios of ARCNX and QMHNX, 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

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.

Drawdown Indicators

	ARCNX	QMHNX	Difference
Max Drawdown Largest peak-to-trough decline	-55.17%	-40.29%	-14.88%
Max Drawdown (1Y) Largest decline over 1 year	-14.52%	-8.74%	-5.78%
Max Drawdown (3Y) Largest decline over 3 years	-14.52%	-19.23%	+4.71%
Max Drawdown (5Y) Largest decline over 5 years	-20.30%	-19.23%	-1.07%
Max Drawdown (10Y) Largest decline over 10 years	-32.80%	-33.81%	+1.01%
Current Drawdown Current decline from peak	-8.22%	-5.60%	-2.62%
Average Drawdown Average peak-to-trough decline	-25.77%	-18.10%	-7.67%
Ulcer Index Depth and duration of drawdowns from previous peaks	4.45%	2.54%	+1.91%

Volatility

ARCNX vs. QMHNX - Volatility Comparison

The current volatility for AQR Risk-Balanced Commodities Strategy Fund Class N (ARCNX) is 4.80%, while AQR Managed Futures Strategy HV Fund Class N (QMHNX) has a volatility of 5.28%. This indicates that ARCNX experiences smaller price fluctuations and is considered to be less risky than QMHNX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	ARCNX	QMHNX	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.80%	5.28%	-0.48%
Volatility (6M) Calculated over the trailing 6-month period	13.19%	10.96%	+2.23%
Volatility (1Y) Calculated over the trailing 1-year period	15.96%	14.14%	+1.82%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	18.92%	17.27%	+1.65%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.45%	15.29%	+2.16%

ARCNX vs. QMHNX - Expense Ratio Comparison

ARCNX has a 1.28% expense ratio, which is lower than QMHNX's 4.12% expense ratio.

Dividends

ARCNX vs. QMHNX - Dividend Comparison

ARCNX's dividend yield for the trailing twelve months is around 11.69%, more than QMHNX's 1.68% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
ARCNX AQR Risk-Balanced Commodities Strategy Fund Class N	11.69%	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	1.68%	1.89%	2.09%	7.36%	8.75%	10.64%	7.79%	3.80%	0.00%	0.00%	0.01%	7.47%

Frequently Asked Questions

Can I hold both ARCNX and QMHNX in my portfolio?

ARCNX and QMHNX have a correlation of 0.59, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ARCNX or QMHNX?

QMHNX has higher volatility (5.28%) compared to ARCNX (4.80%). In terms of maximum drawdown, ARCNX dropped -55.17% vs QMHNX's -40.29%.

Which has better risk-adjusted returns?

ARCNX currently has the higher Sharpe Ratio (1.98 vs 1.92), 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.