DVRIX vs. AQMIX
DVRIX (MFS Global Alternative Strategy Fund) and AQMIX (AQR Managed Futures Strategy Fund) are both mutual funds - DVRIX is a Macro Trading fund managed by MFS, while AQMIX is a Systematic Trend fund managed by AQR Funds. Over the past 10 years, DVRIX returned 5.04%/yr vs 4.55%/yr for AQMIX. At a 0.11 correlation, their price movements are largely independent. DVRIX charges 1.05%/yr vs 1.25%/yr for AQMIX.
Performance
DVRIX vs. AQMIX - Performance Comparison
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Returns By Period
In the year-to-date period, DVRIX achieves a 1.12% return, which is significantly lower than AQMIX's 11.91% return. Over the past 10 years, DVRIX has outperformed AQMIX with an annualized return of 5.04%, while AQMIX has yielded a comparatively lower 4.55% annualized return.
DVRIX
- 1D
- 0.00%
- 1M
- 0.56%
- YTD
- 1.12%
- 6M
- 0.98%
- 1Y
- 4.79%
- 3Y*
- 8.98%
- 5Y*
- 5.27%
- 10Y*
- 5.04%
AQMIX
- 1D
- 1.13%
- 1M
- -0.37%
- YTD
- 11.91%
- 6M
- 12.39%
- 1Y
- 25.63%
- 3Y*
- 11.91%
- 5Y*
- 13.30%
- 10Y*
- 4.55%
DVRIX vs. AQMIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
DVRIX MFS Global Alternative Strategy Fund | 1.12% | 10.87% | 9.66% | 9.22% | -5.10% | 3.67% | 4.66% | 13.01% | -0.39% | 6.40% |
AQMIX AQR Managed Futures Strategy Fund | 11.91% | 14.62% | 8.13% | 2.08% | 35.47% | -1.04% | -0.43% | 1.92% | -8.88% | -0.97% |
Correlation
The correlation between DVRIX and AQMIX is 0.15, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.15 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.13 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.05 |
Correlation (10Y) Calculated over the trailing 10-year period | -0.01 |
Correlation (All Time) Calculated using the full available price history since Jan 5, 2010 | 0.11 |
The correlation between DVRIX and AQMIX shifts across timeframes, from -0.05 (5 years) to 0.15 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
DVRIX vs. AQMIX — Risk / Return Rank
DVRIX
AQMIX
DVRIX vs. AQMIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for MFS Global Alternative Strategy Fund (DVRIX) 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.
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.
| DVRIX | AQMIX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.59 | ||
| Sortino ratioReturn per unit of downside risk | -2.06 | ||
| Omega ratioGain probability vs. loss probability | 1.24 | 1.52 | -0.27 |
| Calmar ratioReturn relative to maximum drawdown | 1.61 | 8.58 | -6.97 |
| Martin ratioReturn relative to average drawdown | 5.08 | 25.60 | -20.51 |
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Drawdowns
DVRIX vs. AQMIX - Drawdown Comparison
The maximum DVRIX drawdown since its inception was -36.61%, which is greater than AQMIX's maximum drawdown of -26.52%. Use the drawdown chart below to compare losses from any high point for DVRIX and AQMIX.
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Drawdown Indicators
| DVRIX | AQMIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -36.61% | -26.52% | -10.09% |
Max Drawdown (1Y)Largest decline over 1 year | -3.08% | -3.03% | -0.05% |
Max Drawdown (3Y)Largest decline over 3 years | -3.57% | -13.57% | +10.00% |
Max Drawdown (5Y)Largest decline over 5 years | -9.88% | -13.57% | +3.69% |
Max Drawdown (10Y)Largest decline over 10 years | -12.80% | -23.34% | +10.54% |
Current DrawdownCurrent decline from peak | -1.30% | -1.65% | +0.35% |
Average DrawdownAverage peak-to-trough decline | -4.10% | -9.98% | +5.88% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.97% | 1.01% | -0.04% |
Volatility
DVRIX vs. AQMIX - Volatility Comparison
The current volatility for MFS Global Alternative Strategy Fund (DVRIX) is 1.41%, while AQR Managed Futures Strategy Fund (AQMIX) has a volatility of 2.83%. This indicates that DVRIX 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.
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Volatility by Period
| DVRIX | AQMIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.41% | 2.83% | -1.42% |
Volatility (6M)Calculated over the trailing 6-month period | 3.12% | 6.82% | -3.70% |
Volatility (1Y)Calculated over the trailing 1-year period | 3.71% | 8.90% | -5.19% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 4.89% | 11.60% | -6.71% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 5.24% | 10.36% | -5.12% |
DVRIX vs. AQMIX - Expense Ratio Comparison
DVRIX has a 1.05% expense ratio, which is lower than AQMIX's 1.25% expense ratio.
Dividends
DVRIX vs. AQMIX - Dividend Comparison
DVRIX's dividend yield for the trailing twelve months is around 1.13%, less than AQMIX's 2.02% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
AQMIX AQR Managed Futures Strategy Fund | 2.02% | 2.26% | 3.83% | 8.39% | 12.76% | 6.94% | 5.31% | 3.13% | 0.00% | 0.00% | 0.02% | 6.51% |
DVRIX MFS Global Alternative Strategy Fund | 1.13% | 1.15% | 1.65% | 1.15% | 0.60% | 0.60% | 0.64% | 1.14% | 1.11% | 2.17% | 2.87% | 1.15% |
Frequently Asked Questions
DVRIX 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.
AQMIX has higher volatility (2.83%) compared to DVRIX (1.41%). In terms of maximum drawdown, DVRIX dropped -36.61% vs AQMIX's -26.52%.
AQMIX currently has the higher Sharpe Ratio (2.93 vs 1.34), 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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