EBSAX vs. QGMIX
Compare and contrast key facts about Campbell Systematic Macro Fund Class A Shares (EBSAX) and AQR Macro Opportunities Fund (QGMIX).
EBSAX is managed by Campbell & Company. It was launched on Mar 4, 2013. QGMIX is managed by AQR Funds. It was launched on Apr 7, 2014.
Performance
EBSAX vs. QGMIX - Performance Comparison
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EBSAX vs. QGMIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
EBSAX Campbell Systematic Macro Fund Class A Shares | 7.79% | -1.34% | 11.28% | -2.11% | 30.56% | 8.90% | 4.88% |
QGMIX AQR Macro Opportunities Fund | 1.64% | 4.00% | -0.95% | 0.01% | 29.30% | -4.54% | 1.49% |
Returns By Period
In the year-to-date period, EBSAX achieves a 7.79% return, which is significantly higher than QGMIX's 1.64% return.
EBSAX
- 1D
- 0.10%
- 1M
- 3.00%
- YTD
- 7.79%
- 6M
- 4.61%
- 1Y
- 0.91%
- 3Y*
- 3.76%
- 5Y*
- 9.34%
- 10Y*
- —
QGMIX
- 1D
- -0.50%
- 1M
- -1.29%
- YTD
- 1.64%
- 6M
- 0.14%
- 1Y
- -1.52%
- 3Y*
- 2.37%
- 5Y*
- 4.51%
- 10Y*
- 3.62%
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EBSAX vs. QGMIX - Expense Ratio Comparison
EBSAX has a 2.00% expense ratio, which is higher than QGMIX's 1.20% expense ratio.
Return for Risk
EBSAX vs. QGMIX — Risk / Return Rank
EBSAX
QGMIX
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.
| EBSAX | QGMIX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.18 | -0.13 | +0.31 |
Sortino ratioReturn per unit of downside risk | 0.30 | -0.12 | +0.42 |
Omega ratioGain probability vs. loss probability | 1.04 | 0.98 | +0.05 |
Calmar ratioReturn relative to maximum drawdown | 0.20 | -0.18 | +0.37 |
Martin ratioReturn relative to average drawdown | 0.33 | -0.44 | +0.77 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| EBSAX | QGMIX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.18 | -0.13 | +0.31 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.98 | 0.45 | +0.52 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.43 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 1.12 | 0.41 | +0.71 |
Correlation
The correlation between EBSAX and QGMIX is 0.36, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Dividends
EBSAX vs. QGMIX - Dividend Comparison
EBSAX's dividend yield for the trailing twelve months is around 2.78%, more than QGMIX's 1.41% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EBSAX Campbell Systematic Macro Fund Class A Shares | 2.78% | 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 | 1.41% | 1.44% | 1.92% | 10.07% | 7.48% | 1.49% | 0.96% | 0.05% | 3.92% | 0.04% | 6.05% | 5.30% |
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.
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Drawdown Indicators
| EBSAX | QGMIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -11.15% | -13.48% | +2.33% |
Max Drawdown (1Y)Largest decline over 1 year | -7.59% | -8.68% | +1.09% |
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 DrawdownCurrent decline from peak | 0.00% | -3.09% | +3.09% |
Average DrawdownAverage peak-to-trough decline | -3.23% | -3.95% | +0.72% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 4.55% | 3.47% | +1.08% |
Volatility
EBSAX vs. QGMIX - Volatility Comparison
Campbell Systematic Macro Fund Class A Shares (EBSAX) has a higher volatility of 3.09% compared to AQR Macro Opportunities Fund (QGMIX) at 2.20%. 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.
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Volatility by Period
| EBSAX | QGMIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.09% | 2.20% | +0.89% |
Volatility (6M)Calculated over the trailing 6-month period | 6.29% | 4.32% | +1.97% |
Volatility (1Y)Calculated over the trailing 1-year period | 8.64% | 7.83% | +0.81% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.61% | 9.98% | -0.37% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 9.53% | 8.37% | +1.16% |