CGFIX vs. QGMIX
CGFIX (abrdn Global Absolute Return Strategies Fund) and QGMIX (AQR Macro Opportunities Fund) are both Macro Trading funds. Over the past 10 years, CGFIX returned 1.86%/yr vs 4.08%/yr for QGMIX. At a 0.09 correlation, their price movements are largely independent. CGFIX charges 0.78%/yr vs 1.20%/yr for QGMIX.
Performance
CGFIX vs. QGMIX - Performance Comparison
Loading charts...
Returns By Period
In the year-to-date period, CGFIX achieves a 1.86% return, which is significantly higher than QGMIX's 0.72% return. Over the past 10 years, CGFIX has underperformed QGMIX with an annualized return of 1.86%, while QGMIX has yielded a comparatively higher 4.08% annualized return.
CGFIX
- 1D
- 0.12%
- 1M
- 1.43%
- YTD
- 1.86%
- 6M
- 1.93%
- 1Y
- 6.15%
- 3Y*
- 5.56%
- 5Y*
- 0.44%
- 10Y*
- 1.86%
QGMIX
- 1D
- 0.10%
- 1M
- -0.91%
- YTD
- 0.72%
- 6M
- 1.82%
- 1Y
- 1.35%
- 3Y*
- 2.13%
- 5Y*
- 4.68%
- 10Y*
- 4.08%
CGFIX vs. QGMIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
CGFIX abrdn Global Absolute Return Strategies Fund | 1.86% | 5.79% | 4.85% | -2.54% | -9.99% | 1.39% | 6.37% | 7.26% | 0.97% | 1.62% |
QGMIX AQR Macro Opportunities Fund | 0.72% | 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 -0.05, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.05 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.08 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.08 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.08 |
Correlation (All Time) Calculated using the full available price history since Jan 2, 2015 | 0.09 |
The correlation between CGFIX and QGMIX shifts across timeframes, from -0.05 (1 year) to 0.09 (all time), reflecting how their relationship changes across market environments.
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
Return for Risk
CGFIX vs. QGMIX — Risk / Return Rank
CGFIX
QGMIX
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 ratioReturn per unit of total volatility | +1.99 | ||
| Sortino ratioReturn per unit of downside risk | +2.80 | ||
| Omega ratioGain probability vs. loss probability | 1.40 | 1.02 | +0.38 |
| Calmar ratioReturn relative to maximum drawdown | 2.31 | 0.13 | +2.18 |
| Martin ratioReturn relative to average drawdown | 8.18 | 0.26 | +7.92 |
Loading charts...
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.
Loading charts...
Drawdown Indicators
| CGFIX | QGMIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -20.28% | -13.48% | -6.80% |
Max Drawdown (1Y)Largest decline over 1 year | -2.78% | -4.11% | +1.33% |
Max Drawdown (3Y)Largest decline over 3 years | -5.57% | -13.48% | +7.91% |
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 DrawdownCurrent decline from peak | -1.18% | -3.97% | +2.79% |
Average DrawdownAverage peak-to-trough decline | -3.19% | -3.94% | +0.75% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.78% | 2.08% | -1.30% |
Volatility
CGFIX vs. QGMIX - Volatility Comparison
The current volatility for abrdn Global Absolute Return Strategies Fund (CGFIX) is 0.70%, while AQR Macro Opportunities Fund (QGMIX) has a volatility of 1.51%. 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.
Loading charts...
Volatility by Period
| CGFIX | QGMIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.70% | 1.51% | -0.81% |
Volatility (6M)Calculated over the trailing 6-month period | 2.35% | 4.18% | -1.83% |
Volatility (1Y)Calculated over the trailing 1-year period | 3.10% | 5.94% | -2.84% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 5.76% | 9.91% | -4.15% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 4.71% | 8.37% | -3.66% |
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 6.12%, more than QGMIX's 1.43% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
CGFIX abrdn Global Absolute Return Strategies Fund | 6.12% | 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 | 1.43% | 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
CGFIX and QGMIX have a correlation of -0.05, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
QGMIX has higher volatility (1.51%) compared to CGFIX (0.70%). In terms of maximum drawdown, CGFIX dropped -20.28% vs QGMIX's -13.48%.
CGFIX currently has the higher Sharpe Ratio (2.08 vs 0.09), 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.
Find the right allocation for CGFIX and QGMIX
Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
Open Portfolio Optimizer