ASMNX vs. AQMIX

Last updated Jun 24, 2026

ASMNX (AQR Small Cap Momentum Style Fund Class N) and AQMIX (AQR Managed Futures Strategy Fund) are both mutual funds - ASMNX is a Small Cap Growth Equities fund actively managed by AQR Funds, while AQMIX is a Systematic Trend fund managed by AQR Funds. At a 0.05 correlation, their price movements are largely independent. ASMNX charges 0.88%/yr vs 1.25%/yr for AQMIX.

Performance

ASMNX vs. AQMIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AQR Small Cap Momentum Style Fund Class N (ASMNX) and AQR Managed Futures Strategy Fund (AQMIX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

ASMNX

• 1D: —
• 1M: —
• YTD: —
• 6M: —
• 1Y: —
• 3Y*: —
• 5Y*: —
• 10Y*: —

AQMIX

• 1D: 1.13%
• 1M: -0.37%
• YTD: 11.91%
• 6M: 12.39%
• 1Y: 25.63%
• 3Y*: 11.91%
• 5Y*: 13.30%
• 10Y*: 4.55%

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

ASMNX vs. AQMIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
ASMNX AQR Small Cap Momentum Style Fund Class N	17.21%	16.62%	16.62%	18.09%	-19.78%	15.05%	25.80%	25.69%	-12.36%	17.21%
AQMIX AQR Managed Futures Strategy Fund	11.91%	14.62%	8.13%	2.08%	35.47%	-1.04%	-0.43%	1.92%	-8.88%	-0.97%

Correlation

The correlation between ASMNX and AQMIX is 0.13, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.13
Correlation (3Y) Calculated over the trailing 3-year period	0.03
Correlation (5Y) Calculated over the trailing 5-year period	-0.06
Correlation (10Y) Calculated over the trailing 10-year period	0.03
Correlation (All Time) Calculated using the full available price history since Jan 2, 2013	0.05

The correlation between ASMNX and AQMIX shifts across timeframes, from -0.06 (5 years) to 0.13 (1 year), reflecting how their relationship changes across market environments.

Return for Risk

ASMNX vs. AQMIX — Risk / Return Rank

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

ASMNX

Risk / return metrics aren't available yet — we need at least 12 months of trading data to calculate them.

AQMIX

AQMIX Risk / Return Rank: 92
AQMIX Sharpe Ratio Rank: 93
AQMIX Sortino Ratio Rank: 89
AQMIX Omega Ratio Rank: 84
AQMIX Calmar Ratio Rank: 98
AQMIX Martin Ratio Rank: 97

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.

ASMNX vs. AQMIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for AQR Small Cap Momentum Style Fund Class N (ASMNX) and AQR Managed Futures Strategy Fund (AQMIX). 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.

	ASMNX	AQMIX	Difference
Sharpe ratio: Return per unit of total volatility	—	2.93	—
Sortino ratio: Return per unit of downside risk	—	4.00	—
Omega ratio: Gain probability vs. loss probability	—	1.52	—
Calmar ratio: Return relative to maximum drawdown	—	8.58	—
Martin ratio: Return relative to average drawdown	—	25.60	—

Drawdowns

Drawdown Indicators

	ASMNX	AQMIX	Difference
Max Drawdown Largest peak-to-trough decline	—	-26.52%	—
Max Drawdown (1Y) Largest decline over 1 year	—	-3.03%	—
Max Drawdown (3Y) Largest decline over 3 years	—	-13.57%	—
Max Drawdown (5Y) Largest decline over 5 years	—	-13.57%	—
Max Drawdown (10Y) Largest decline over 10 years	—	-23.34%	—
Current Drawdown Current decline from peak	—	-1.65%	—
Average Drawdown Average peak-to-trough decline	—	-9.98%	—
Ulcer Index Depth and duration of drawdowns from previous peaks	—	1.01%	—

Volatility

Volatility by Period

	ASMNX	AQMIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	—	2.83%	—
Volatility (6M) Calculated over the trailing 6-month period	—	6.82%	—
Volatility (1Y) Calculated over the trailing 1-year period	—	8.90%	—
Volatility (5Y) Calculated over the trailing 5-year period, annualized	—	11.60%	—
Volatility (10Y) Calculated over the trailing 10-year period, annualized	—	10.36%	—

ASMNX vs. AQMIX - Expense Ratio Comparison

ASMNX has a 0.88% expense ratio, which is lower than AQMIX's 1.25% expense ratio.

Dividends

ASMNX vs. AQMIX - Dividend Comparison

ASMNX's dividend yield for the trailing twelve months is around 7.75%, more than AQMIX's 2.02% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
AQMIX AQR Managed Futures Strategy Fund	2.02%	2.26%	3.83%	8.39%	12.76%	6.94%	5.31%	3.13%	0.00%	0.00%	0.02%	6.51%
ASMNX AQR Small Cap Momentum Style Fund Class N	7.75%	8.05%	19.09%	3.54%	0.27%	24.51%	5.45%	3.83%	29.34%	9.61%	0.00%	0.97%

Frequently Asked Questions

Can I hold both ASMNX and AQMIX in my portfolio?

ASMNX and AQMIX have a correlation of 0.13, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.