AUEIX vs. QMHIX
AUEIX (AQR Large Cap Defensive Style Fund) and QMHIX (AQR Managed Futures Strategy HV Fund) are both mutual funds - AUEIX is a Large Cap Blend Equities fund managed by AQR, while QMHIX is a Systematic Trend fund managed by AQR. Over the past 10 years, AUEIX returned 10.80%/yr vs 4.67%/yr for QMHIX. Their -0.01 correlation means they have often moved in opposite directions in the past. AUEIX charges 0.37%/yr vs 1.65%/yr for QMHIX.
Performance
AUEIX vs. QMHIX - Performance Comparison
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Returns By Period
In the year-to-date period, AUEIX achieves a 8.16% return, which is significantly lower than QMHIX's 12.79% return. Over the past 10 years, AUEIX has outperformed QMHIX with an annualized return of 10.80%, while QMHIX has yielded a comparatively lower 4.67% annualized return.
AUEIX
- 1D
- 0.32%
- 1M
- 1.60%
- 6M
- 4.60%
- YTD
- 8.16%
- 1Y
- 10.60%
- 3Y*
- 10.89%
- 5Y*
- 5.99%
- 10Y*
- 10.80%
- ALL TIME*
- 12.11%
QMHIX
- 1D
- 0.27%
- 1M
- 3.83%
- 6M
- 5.91%
- YTD
- 12.79%
- 1Y
- 30.94%
- 3Y*
- 14.84%
- 5Y*
- 17.70%
- 10Y*
- 4.67%
- ALL TIME*
- 5.40%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $0.00 | $0.00 | $0.00 |
AUEIX vs. QMHIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
AUEIX AQR Large Cap Defensive Style Fund | 8.16% | 6.95% | 13.85% | 9.49% | -13.81% | 23.52% | 13.10% | 28.63% | -0.27% | 22.14% |
QMHIX AQR Managed Futures Strategy HV Fund | 12.79% | 19.97% | 10.78% | -0.17% | 50.14% | -2.08% | -0.73% | 1.82% | -14.44% | -1.72% |
Correlation
The correlation between AUEIX and QMHIX 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. | -0.14 |
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, 2014 | -0.01 |
The correlation between AUEIX and QMHIX shifts across timeframes, from -0.14 (5 years) to -0.01 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
AUEIX vs. QMHIX — Risk / Return Rank
AUEIX
QMHIX
AUEIX vs. QMHIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Large Cap Defensive Style Fund (AUEIX) 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.
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.
| AUEIX | QMHIX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.83 | ||
| Sortino ratioReturn per unit of downside risk | -0.92 | ||
| Omega ratioGain probability vs. loss probability | 1.21 | 1.34 | -0.13 |
| Calmar ratioReturn relative to maximum drawdown | 1.63 | 3.23 | -1.60 |
| Martin ratioReturn relative to average drawdown | 5.41 | 11.10 | -5.69 |
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Drawdowns
AUEIX vs. QMHIX - Drawdown Comparison
The maximum AUEIX drawdown since its inception was -30.82%, smaller than the maximum QMHIX drawdown of -39.37%. Use the drawdown chart below to compare losses from any high point for AUEIX and QMHIX.
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Drawdown Indicators
| AUEIX | QMHIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -30.82% | -39.37% | +8.55% |
Max Drawdown (1Y)Largest decline over 1 year | -5.91% | -8.78% | +2.87% |
Max Drawdown (3Y)Largest decline over 3 years | -10.27% | -19.06% | +8.79% |
Max Drawdown (5Y)Largest decline over 5 years | -22.08% | -19.06% | -3.02% |
Max Drawdown (10Y)Largest decline over 10 years | -30.82% | -33.06% | +2.24% |
Current DrawdownCurrent decline from peak | 0.00% | -5.29% | +5.29% |
Average DrawdownAverage peak-to-trough decline | -3.39% | -17.64% | +14.25% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.78% | 2.56% | -0.78% |
Volatility
AUEIX vs. QMHIX - Volatility Comparison
The current volatility for AQR Large Cap Defensive Style Fund (AUEIX) is 1.83%, while AQR Managed Futures Strategy HV Fund (QMHIX) has a volatility of 5.33%. This indicates that AUEIX experiences smaller price fluctuations and is considered to be less risky 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
| AUEIX | QMHIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.83% | 5.33% | -3.50% |
Volatility (6M)Calculated over the trailing 6-month period | 6.22% | 11.00% | -4.78% |
Volatility (1Y)Calculated over the trailing 1-year period | 8.22% | 14.16% | -5.94% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 13.00% | 17.30% | -4.30% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 15.17% | 15.34% | -0.17% |
AUEIX vs. QMHIX - Expense Ratio Comparison
AUEIX has a 0.37% expense ratio, which is lower than QMHIX's 1.65% expense ratio.
Dividends
AUEIX vs. QMHIX - Dividend Comparison
AUEIX's dividend yield for the trailing twelve months is around 20.99%, more than QMHIX's 1.81% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
AUEIX AQR Large Cap Defensive Style Fund | 20.99% | 22.70% | 24.31% | 24.28% | 10.26% | 2.54% | 1.29% | 1.12% | 1.67% | 2.36% | 1.99% | 6.18% |
QMHIX AQR Managed Futures Strategy HV Fund | 1.81% | 2.05% | 2.31% | 7.66% | 9.34% | 10.96% | 9.52% | 4.18% | 0.00% | 0.00% | 0.01% | 7.57% |
Frequently Asked Questions
AUEIX and QMHIX 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.
QMHIX has higher volatility (5.33%) compared to AUEIX (1.83%). In terms of maximum drawdown, AUEIX dropped -30.82% vs QMHIX's -39.37%.
QMHIX currently has the higher Sharpe Ratio (2.01 vs 1.18), 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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