CGFIX vs. QGMIX

Last updated Aug 1, 2026

CGFIX (abrdn Global Absolute Return Strategies Fund) and QGMIX (AQR Macro Opportunities Fund) are both Multistrategy funds. Over the past 10 years, CGFIX returned 1.63%/yr vs 3.62%/yr for QGMIX. Their 0.08 correlation means their historical movements had little consistent relationship. CGFIX charges 0.78%/yr vs 1.20%/yr for QGMIX.

Performance

CGFIX vs. QGMIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in abrdn Global Absolute Return Strategies Fund (CGFIX) and AQR Macro Opportunities Fund (QGMIX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, CGFIX achieves a 0.33% return, which is significantly higher than QGMIX's -0.61% return. Over the past 10 years, CGFIX has underperformed QGMIX with an annualized return of 1.63%, while QGMIX has yielded a comparatively higher 3.62% annualized return.

CGFIX

• 1D: 0.12%
• 1M: -1.42%
• 6M: -0.43%
• YTD: 0.33%
• 1Y: 3.20%
• 3Y*: 5.07%
• 5Y*: 0.27%
• 10Y*: 1.63%
• ALL TIME*: 4.57%

QGMIX

• 1D: -0.21%
• 1M: 0.21%
• 6M: -4.05%
• YTD: -0.61%
• 1Y: 0.52%
• 3Y*: 1.87%
• 5Y*: 4.93%
• 10Y*: 3.62%
• ALL TIME*: 3.08%

*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)
CGFIX abrdn Global Absolute Return Strategies Fund	$0.00	$0.00	$0.00
QGMIX AQR Macro Opportunities Fund	$0.00	$0.00	$0.00

CGFIX vs. QGMIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
CGFIX abrdn Global Absolute Return Strategies Fund	0.33%	5.79%	4.85%	-2.54%	-9.99%	1.39%	6.37%	7.26%	0.97%	1.62%
QGMIX AQR Macro Opportunities Fund	-0.61%	4.00%	-0.95%	0.01%	29.30%	-4.54%	1.60%	4.90%	7.80%	-3.38%

Correlation

The correlation between CGFIX and QGMIX is -0.11, meaning they have often moved in opposite directions in the past. This relationship can weaken or reverse as market conditions change.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	-0.11
Correlation (3Y) Balances recent behavior with more history.	0.06
Correlation (5Y) Shows whether the relationship held over a longer period.	0.06
Correlation (10Y) Provides a long-term view across more market conditions.	0.07
Correlation (All Time) Calculated using the full available price history since Jan 2, 2015	0.08

The correlation between CGFIX and QGMIX shifts across timeframes, from -0.11 (1 year) to 0.08 (all time), reflecting how their relationship changes across market environments.

Return for Risk

CGFIX vs. QGMIX — Risk / Return Rank

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

CGFIX

CGFIX Risk / Return Rank: 37
CGFIX Sharpe Ratio Rank: 43
CGFIX Sortino Ratio Rank: 40
CGFIX Omega Ratio Rank: 43
CGFIX Calmar Ratio Rank: 31
CGFIX Martin Ratio Rank: 31

QGMIX

QGMIX Risk / Return Rank: 2
QGMIX Sharpe Ratio Rank: 3
QGMIX Sortino Ratio Rank: 2
QGMIX Omega Ratio Rank: 2
QGMIX Calmar Ratio Rank: 3
QGMIX Martin Ratio Rank: 3

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.

CGFIX vs. QGMIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for abrdn Global Absolute Return Strategies Fund (CGFIX) and AQR Macro Opportunities Fund (QGMIX). 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.

	CGFIX	QGMIX	Difference
Sharpe ratio: Return per unit of total volatility	1.23	-0.24	+1.47
Sortino ratio: Return per unit of downside risk	1.72	-0.28	+2.01
Omega ratio: Gain probability vs. loss probability	1.23	0.97	+0.26
Calmar ratio: Return relative to maximum drawdown	1.38	-0.25	+1.63
Martin ratio: Return relative to average drawdown	4.54	-0.54	+5.08

CGFIX vs. QGMIX - Sharpe Ratio Comparison

The current CGFIX Sharpe Ratio is 1.23, which is higher than the QGMIX Sharpe Ratio of -0.24. The chart below compares the historical Sharpe Ratios of CGFIX and QGMIX, 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

CGFIX vs. QGMIX - Drawdown Comparison

The maximum CGFIX drawdown since its inception was -20.28%, which is greater than QGMIX's maximum drawdown of -13.48%. Use the drawdown chart below to compare losses from any high point for CGFIX and QGMIX.

Drawdown Indicators

	CGFIX	QGMIX	Difference
Max Drawdown Largest peak-to-trough decline	-20.28%	-13.48%	-6.80%
Max Drawdown (1Y) Largest decline over 1 year	-2.78%	-5.47%	+2.69%
Max Drawdown (3Y) Largest decline over 3 years	-5.01%	-13.48%	+8.47%
Max Drawdown (5Y) Largest decline over 5 years	-20.28%	-13.48%	-6.80%
Max Drawdown (10Y) Largest decline over 10 years	-20.28%	-13.48%	-6.80%
Current Drawdown Current decline from peak	-2.65%	-5.24%	+2.59%
Average Drawdown Average peak-to-trough decline	-3.19%	-3.95%	+0.76%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.84%	2.60%	-1.76%

Volatility

CGFIX vs. QGMIX - Volatility Comparison

The current volatility for abrdn Global Absolute Return Strategies Fund (CGFIX) is 0.84%, while AQR Macro Opportunities Fund (QGMIX) has a volatility of 1.90%. This indicates that CGFIX experiences smaller price fluctuations and is considered to be less risky than QGMIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CGFIX	QGMIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.84%	1.90%	-1.06%
Volatility (6M) Calculated over the trailing 6-month period	2.48%	4.17%	-1.69%
Volatility (1Y) Calculated over the trailing 1-year period	3.11%	5.94%	-2.83%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	5.74%	9.83%	-4.09%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	4.69%	8.38%	-3.69%

CGFIX vs. QGMIX - Expense Ratio Comparison

CGFIX has a 0.78% expense ratio, which is lower than QGMIX's 1.20% expense ratio.

Dividends

CGFIX vs. QGMIX - Dividend Comparison

CGFIX's dividend yield for the trailing twelve months is around 5.66%, more than QGMIX's 1.45% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
CGFIX abrdn Global Absolute Return Strategies Fund	5.66%	5.51%	6.43%	2.08%	0.00%	7.49%	0.23%	3.29%	6.05%	0.33%	1.12%	0.35%
QGMIX AQR Macro Opportunities Fund	1.45%	1.44%	1.92%	10.07%	7.48%	1.49%	0.96%	0.05%	3.92%	0.04%	6.05%	5.30%

Frequently Asked Questions

Can I hold both CGFIX and QGMIX in my portfolio?

CGFIX and QGMIX have a correlation of -0.11, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, CGFIX or QGMIX?

QGMIX has higher volatility (1.90%) compared to CGFIX (0.84%). In terms of maximum drawdown, CGFIX dropped -20.28% vs QGMIX's -13.48%.

Which has better risk-adjusted returns?

CGFIX currently has the higher Sharpe Ratio (1.23 vs -0.24), 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.