DGCB vs. AQMIX

Last updated Jun 4, 2026

DGCB (Dimensional Global Credit ETF) and AQMIX (AQR Managed Futures Strategy Fund) are both funds - DGCB is a Global Bonds fund actively managed by Dimensional, while AQMIX is a Systematic Trend fund managed by AQR Funds. Over the past year, DGCB returned 6.04% vs 24.94% for AQMIX. At a correlation of -0.14, they often move in opposite directions. DGCB charges 0.20%/yr vs 1.25%/yr for AQMIX.

Performance

DGCB vs. AQMIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Dimensional Global Credit ETF (DGCB) 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, DGCB achieves a 1.22% return, which is significantly lower than AQMIX's 12.96% return.

DGCB

• 1D: -0.20%
• 1M: 0.84%
• YTD: 1.22%
• 6M: 1.01%
• 1Y: 6.04%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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)

DGCB vs. AQMIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023
DGCB Dimensional Global Credit ETF	1.22%	6.68%	3.80%	6.14%
AQMIX AQR Managed Futures Strategy Fund	12.96%	14.62%	8.13%	-2.93%

Correlation

The correlation between DGCB and AQMIX is -0.15, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	-0.15
Correlation (All Time) Calculated using the full available price history since Nov 9, 2023	-0.14

Return for Risk

DGCB vs. AQMIX — Risk / Return Rank

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

DGCB

DGCB Risk / Return Rank: 43
DGCB Sharpe Ratio Rank: 43
DGCB Sortino Ratio Rank: 44
DGCB Omega Ratio Rank: 43
DGCB Calmar Ratio Rank: 40
DGCB Martin Ratio Rank: 43

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.

DGCB vs. AQMIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Dimensional Global Credit ETF (DGCB) 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.

	DGCB	AQMIX	Difference
Sharpe ratio: Return per unit of total volatility	1.53	2.90	-1.38
Sortino ratio: Return per unit of downside risk	2.22	3.96	-1.75
Omega ratio: Gain probability vs. loss probability	1.28	1.52	-0.24
Calmar ratio: Return relative to maximum drawdown	1.97	8.34	-6.36
Martin ratio: Return relative to average drawdown	6.93	25.80	-18.87
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

DGCB vs. AQMIX - Sharpe Ratio Comparison

The current DGCB Sharpe Ratio is 1.53, which is lower than the AQMIX Sharpe Ratio of 2.90. The chart below compares the historical Sharpe Ratios of DGCB 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

	DGCB	AQMIX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.53	2.90	-1.38
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	—	1.10	—
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.48	—
Sharpe Ratio (All Time) Calculated using the full available price history	1.47	0.42	+1.04

Drawdowns

DGCB vs. AQMIX - Drawdown Comparison

The maximum DGCB drawdown since its inception was -3.50%, smaller than the maximum AQMIX drawdown of -26.52%. Use the drawdown chart below to compare losses from any high point for DGCB and AQMIX.

Drawdown Indicators

	DGCB	AQMIX	Difference
Max Drawdown Largest peak-to-trough decline	-3.50%	-26.52%	+23.02%
Max Drawdown (1Y) Largest decline over 1 year	-3.08%	-3.02%	-0.06%
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	-0.65%	-0.64%	-0.01%
Average Drawdown Average peak-to-trough decline	-0.80%	-10.01%	+9.21%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.87%	0.97%	-0.10%

Volatility

DGCB vs. AQMIX - Volatility Comparison

The current volatility for Dimensional Global Credit ETF (DGCB) is 1.45%, while AQR Managed Futures Strategy Fund (AQMIX) has a volatility of 2.59%. This indicates that DGCB experiences smaller price fluctuations and is considered to be less risky than AQMIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	DGCB	AQMIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.45%	2.59%	-1.14%
Volatility (6M) Calculated over the trailing 6-month period	3.17%	6.60%	-3.43%
Volatility (1Y) Calculated over the trailing 1-year period	3.97%	8.70%	-4.73%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	4.82%	11.62%	-6.80%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	4.82%	10.37%	-5.55%

DGCB vs. AQMIX - Expense Ratio Comparison

DGCB has a 0.20% expense ratio, which is lower than AQMIX's 1.25% expense ratio.

Dividends

DGCB vs. AQMIX - Dividend Comparison

DGCB's dividend yield for the trailing twelve months is around 3.22%, 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%
DGCB Dimensional Global Credit ETF	3.22%	3.43%	4.72%	0.63%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both DGCB and AQMIX in my portfolio?

DGCB and AQMIX have a correlation of -0.15, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, DGCB or AQMIX?

AQMIX has higher volatility (2.59%) compared to DGCB (1.45%). In terms of maximum drawdown, DGCB dropped -3.50% vs AQMIX's -26.52%.

Which has better risk-adjusted returns?

AQMIX currently has the higher Sharpe Ratio (2.90 vs 1.53), 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.