EBSAX vs. QGMIX

Last updated Jul 14, 2026

EBSAX (Campbell Systematic Macro Fund Class A Shares) and QGMIX (AQR Macro Opportunities Fund) are both Macro Trading funds. Over the past 5 years, EBSAX returned 8.28%/yr vs 4.62%/yr for QGMIX. At a 0.36 correlation, their price movements are largely independent. EBSAX charges 2.00%/yr vs 1.20%/yr for QGMIX.

Performance

EBSAX vs. QGMIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Campbell Systematic Macro Fund Class A Shares (EBSAX) 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, EBSAX achieves a 6.49% return, which is significantly higher than QGMIX's -0.61% return.

EBSAX

• 1D: -0.20%
• 1M: -1.60%
• 6M: 4.68%
• YTD: 6.49%
• 1Y: 4.10%
• 3Y*: 3.42%
• 5Y*: 8.28%
• 10Y*: —

QGMIX

• 1D: 0.31%
• 1M: -1.72%
• 6M: -2.11%
• YTD: -0.61%
• 1Y: -0.69%
• 3Y*: 1.74%
• 5Y*: 4.62%
• 10Y*: 3.65%

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

EBSAX vs. QGMIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
EBSAX Campbell Systematic Macro Fund Class A Shares	6.49%	-1.34%	11.28%	-2.11%	30.56%	8.90%	4.88%
QGMIX AQR Macro Opportunities Fund	-0.61%	4.00%	-0.95%	0.01%	29.30%	-4.54%	1.28%

Correlation

The correlation between EBSAX and QGMIX is 0.39, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.39
Correlation (3Y) Calculated over the trailing 3-year period	0.36
Correlation (5Y) Calculated over the trailing 5-year period	0.37
Correlation (All Time) Calculated using the full available price history since Oct 28, 2020	0.36

Return for Risk

EBSAX vs. QGMIX — Risk / Return Rank

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

EBSAX

EBSAX Risk / Return Rank: 10
EBSAX Sharpe Ratio Rank: 10
EBSAX Sortino Ratio Rank: 10
EBSAX Omega Ratio Rank: 9
EBSAX Calmar Ratio Rank: 12
EBSAX Martin Ratio Rank: 9

QGMIX

QGMIX Risk / Return Rank: 3
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) 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.

EBSAX vs. QGMIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Campbell Systematic Macro Fund Class A Shares (EBSAX) 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.

	EBSAX	QGMIX	Difference
Sharpe ratio: Return per unit of total volatility	0.58	-0.12	+0.70
Sortino ratio: Return per unit of downside risk	0.89	-0.13	+1.02
Omega ratio: Gain probability vs. loss probability	1.10	0.99	+0.12
Calmar ratio: Return relative to maximum drawdown	0.80	-0.13	+0.93
Martin ratio: Return relative to average drawdown	1.76	-0.30	+2.05

EBSAX vs. QGMIX - Sharpe Ratio Comparison

The current EBSAX Sharpe Ratio is 0.58, which is higher than the QGMIX Sharpe Ratio of -0.12. The chart below compares the historical Sharpe Ratios of EBSAX 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

EBSAX vs. QGMIX - Drawdown Comparison

The maximum EBSAX drawdown since its inception was -11.15%, smaller than the maximum QGMIX drawdown of -13.48%. Use the drawdown chart below to compare losses from any high point for EBSAX and QGMIX.

Drawdown Indicators

	EBSAX	QGMIX	Difference
Max Drawdown Largest peak-to-trough decline	-11.15%	-13.48%	+2.33%
Max Drawdown (1Y) Largest decline over 1 year	-5.83%	-5.28%	-0.55%
Max Drawdown (3Y) Largest decline over 3 years	-10.26%	-13.48%	+3.22%
Max Drawdown (5Y) Largest decline over 5 years	-11.15%	-13.48%	+2.33%
Max Drawdown (10Y) Largest decline over 10 years	—	-13.48%	—
Current Drawdown Current decline from peak	-3.72%	-5.24%	+1.52%
Average Drawdown Average peak-to-trough decline	-3.14%	-3.94%	+0.80%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.64%	2.35%	+0.29%

Volatility

EBSAX vs. QGMIX - Volatility Comparison

Campbell Systematic Macro Fund Class A Shares (EBSAX) has a higher volatility of 1.62% compared to AQR Macro Opportunities Fund (QGMIX) at 1.47%. This indicates that EBSAX's price experiences larger fluctuations and is considered to be riskier than QGMIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	EBSAX	QGMIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.62%	1.47%	+0.15%
Volatility (6M) Calculated over the trailing 6-month period	5.81%	4.12%	+1.69%
Volatility (1Y) Calculated over the trailing 1-year period	8.00%	5.80%	+2.20%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	9.52%	9.86%	-0.34%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	9.42%	8.37%	+1.05%

EBSAX vs. QGMIX - Expense Ratio Comparison

EBSAX has a 2.00% expense ratio, which is higher than QGMIX's 1.20% expense ratio.

Dividends

EBSAX vs. QGMIX - Dividend Comparison

EBSAX's dividend yield for the trailing twelve months is around 2.82%, more than QGMIX's 1.45% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
EBSAX Campbell Systematic Macro Fund Class A Shares	2.82%	3.00%	2.59%	1.45%	15.15%	7.02%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
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 EBSAX and QGMIX in my portfolio?

EBSAX and QGMIX have a correlation of 0.39, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, EBSAX or QGMIX?

EBSAX has higher volatility (1.62%) compared to QGMIX (1.47%). In terms of maximum drawdown, EBSAX dropped -11.15% vs QGMIX's -13.48%.

Which has better risk-adjusted returns?

EBSAX currently has the higher Sharpe Ratio (0.58 vs -0.12), 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.