CSAIX vs. AQMIX

Last updated Jun 4, 2026

CSAIX (Credit Suisse Managed Futures Strategy Fund) and AQMIX (AQR Managed Futures Strategy Fund) are both Systematic Trend funds. Over the past 10 years, CSAIX returned 0.60%/yr vs 5.00%/yr for AQMIX. A 0.62 correlation means they provide meaningful diversification when combined. CSAIX charges 1.30%/yr vs 1.25%/yr for AQMIX.

Performance

CSAIX vs. AQMIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Credit Suisse Managed Futures Strategy Fund (CSAIX) and AQR Managed Futures Strategy Fund (AQMIX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, CSAIX achieves a 6.10% return, which is significantly lower than AQMIX's 12.96% return. Over the past 10 years, CSAIX has underperformed AQMIX with an annualized return of 0.60%, while AQMIX has yielded a comparatively higher 5.00% annualized return.

CSAIX

• 1D: -0.12%
• 1M: 0.36%
• YTD: 6.10%
• 6M: 8.73%
• 1Y: 13.36%
• 3Y*: -3.32%
• 5Y*: 0.36%
• 10Y*: 0.60%

AQMIX

• 1D: 0.46%
• 1M: 1.22%
• YTD: 12.96%
• 6M: 14.94%
• 1Y: 24.94%
• 3Y*: 12.51%
• 5Y*: 12.71%
• 10Y*: 5.00%

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

CSAIX vs. AQMIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
CSAIX Credit Suisse Managed Futures Strategy Fund	6.10%	-5.84%	-5.57%	-6.15%	21.24%	7.46%	1.86%	-4.39%	-4.01%	-1.47%
AQMIX AQR Managed Futures Strategy Fund	12.96%	14.62%	8.13%	2.08%	35.47%	-1.04%	-0.43%	1.92%	-8.88%	-0.97%

Correlation

The correlation between CSAIX and AQMIX is 0.59, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.59
Correlation (3Y) Calculated over the trailing 3-year period	0.59
Correlation (5Y) Calculated over the trailing 5-year period	0.60
Correlation (10Y) Calculated over the trailing 10-year period	0.65
Correlation (All Time) Calculated using the full available price history since Jan 13, 2011	0.62

The correlation between CSAIX and AQMIX has been stable across timeframes, ranging from 0.59 to 0.65 - a consistent structural relationship.

Return for Risk

CSAIX vs. AQMIX — Risk / Return Rank

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

CSAIX

CSAIX Risk / Return Rank: 17
CSAIX Sharpe Ratio Rank: 16
CSAIX Sortino Ratio Rank: 13
CSAIX Omega Ratio Rank: 20
CSAIX Calmar Ratio Rank: 21
CSAIX Martin Ratio Rank: 17

AQMIX

AQMIX Risk / Return Rank: 89
AQMIX Sharpe Ratio Rank: 89
AQMIX Sortino Ratio Rank: 84
AQMIX Omega Ratio Rank: 80
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.

CSAIX vs. AQMIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Credit Suisse Managed Futures Strategy Fund (CSAIX) 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.

	CSAIX	AQMIX	Difference
Sharpe ratio: Return per unit of total volatility	1.13	2.90	-1.77
Sortino ratio: Return per unit of downside risk	1.48	3.96	-2.49
Omega ratio: Gain probability vs. loss probability	1.24	1.52	-0.29
Calmar ratio: Return relative to maximum drawdown	1.68	8.34	-6.66
Martin ratio: Return relative to average drawdown	4.66	25.80	-21.14
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

CSAIX vs. AQMIX - Sharpe Ratio Comparison

The current CSAIX Sharpe Ratio is 1.13, which is lower than the AQMIX Sharpe Ratio of 2.90. The chart below compares the historical Sharpe Ratios of CSAIX and AQMIX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	CSAIX	AQMIX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.13	2.90	-1.77
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.03	1.10	-1.07
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.06	0.48	-0.42
Sharpe Ratio (All Time) Calculated using the full available price history	0.25	0.42	-0.17

Drawdowns

CSAIX vs. AQMIX - Drawdown Comparison

The maximum CSAIX drawdown since its inception was -28.79%, which is greater than AQMIX's maximum drawdown of -26.52%. Use the drawdown chart below to compare losses from any high point for CSAIX and AQMIX.

Drawdown Indicators

	CSAIX	AQMIX	Difference
Max Drawdown Largest peak-to-trough decline	-28.79%	-26.52%	-2.27%
Max Drawdown (1Y) Largest decline over 1 year	-7.73%	-3.02%	-4.71%
Max Drawdown (3Y) Largest decline over 3 years	-22.50%	-13.57%	-8.93%
Max Drawdown (5Y) Largest decline over 5 years	-28.79%	-13.57%	-15.22%
Max Drawdown (10Y) Largest decline over 10 years	-28.79%	-23.34%	-5.45%
Current Drawdown Current decline from peak	-17.74%	-0.64%	-17.10%
Average Drawdown Average peak-to-trough decline	-9.54%	-10.01%	+0.47%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.78%	0.97%	+1.81%

Volatility

CSAIX vs. AQMIX - Volatility Comparison

Credit Suisse Managed Futures Strategy Fund (CSAIX) has a higher volatility of 3.50% compared to AQR Managed Futures Strategy Fund (AQMIX) at 2.59%. This indicates that CSAIX's price experiences larger fluctuations and is considered to be riskier than AQMIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CSAIX	AQMIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.50%	2.59%	+0.91%
Volatility (6M) Calculated over the trailing 6-month period	10.57%	6.60%	+3.97%
Volatility (1Y) Calculated over the trailing 1-year period	11.45%	8.70%	+2.75%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	10.47%	11.62%	-1.15%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	10.08%	10.37%	-0.29%

CSAIX vs. AQMIX - Expense Ratio Comparison

CSAIX has a 1.30% expense ratio, which is higher than AQMIX's 1.25% expense ratio.

Dividends

CSAIX vs. AQMIX - Dividend Comparison

CSAIX's dividend yield for the trailing twelve months is around 2.82%, more than AQMIX's 2.00% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
AQMIX AQR Managed Futures Strategy Fund	2.00%	2.26%	3.83%	8.39%	12.76%	6.94%	5.31%	3.13%	0.00%	0.00%	0.02%	6.51%
CSAIX Credit Suisse Managed Futures Strategy Fund	2.82%	2.27%	2.95%	0.52%	18.80%	8.84%	0.00%	1.74%	0.00%	0.00%	2.64%	8.69%

Frequently Asked Questions

Can I hold both CSAIX and AQMIX in my portfolio?

CSAIX and AQMIX 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, CSAIX or AQMIX?

CSAIX has higher volatility (3.50%) compared to AQMIX (2.59%). In terms of maximum drawdown, CSAIX dropped -28.79% vs AQMIX's -26.52%.

Which has better risk-adjusted returns?

AQMIX currently has the higher Sharpe Ratio (2.90 vs 1.13), 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.