EBSIX vs. AQMIX

Last updated Jun 5, 2026

EBSIX (Campbell Systematic Macro Fund Class I Shares) and AQMIX (AQR Managed Futures Strategy Fund) are both mutual funds - EBSIX is a Macro Trading fund managed by Campbell & Company, while AQMIX is a Systematic Trend fund managed by AQR Funds. Over the past 5 years, EBSIX returned 8.73%/yr vs 12.87%/yr for AQMIX. A 0.58 correlation means they provide meaningful diversification when combined. EBSIX charges 1.75%/yr vs 1.25%/yr for AQMIX.

Performance

EBSIX vs. AQMIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Campbell Systematic Macro Fund Class I Shares (EBSIX) 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, EBSIX achieves a 10.04% return, which is significantly lower than AQMIX's 13.79% return.

EBSIX

• 1D: 0.19%
• 1M: 0.39%
• YTD: 10.04%
• 6M: 10.16%
• 1Y: 5.97%
• 3Y*: 4.49%
• 5Y*: 8.73%
• 10Y*: —

AQMIX

• 1D: 0.74%
• 1M: 1.78%
• YTD: 13.79%
• 6M: 15.67%
• 1Y: 25.86%
• 3Y*: 12.79%
• 5Y*: 12.87%
• 10Y*: 5.08%

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

EBSIX vs. AQMIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
EBSIX Campbell Systematic Macro Fund Class I Shares	10.04%	-1.14%	11.63%	-1.83%	30.91%	9.05%	4.94%
AQMIX AQR Managed Futures Strategy Fund	13.79%	14.62%	8.13%	2.08%	35.47%	-1.04%	-0.31%

Correlation

The correlation between EBSIX and AQMIX is 0.50, 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	0.50
Correlation (3Y) Calculated over the trailing 3-year period	0.57
Correlation (5Y) Calculated over the trailing 5-year period	0.58
Correlation (All Time) Calculated using the full available price history since Oct 29, 2020	0.58

The correlation between EBSIX and AQMIX has been stable across timeframes, ranging from 0.50 to 0.58 - a consistent structural relationship.

Return for Risk

EBSIX vs. AQMIX — Risk / Return Rank

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

EBSIX

EBSIX Risk / Return Rank: 10
EBSIX Sharpe Ratio Rank: 10
EBSIX Sortino Ratio Rank: 10
EBSIX Omega Ratio Rank: 9
EBSIX Calmar Ratio Rank: 11
EBSIX Martin Ratio Rank: 8

AQMIX

AQMIX Risk / Return Rank: 90
AQMIX Sharpe Ratio Rank: 90
AQMIX Sortino Ratio Rank: 85
AQMIX Omega Ratio Rank: 81
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.

EBSIX vs. AQMIX - Risk-Adjusted Trends Comparison

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

	EBSIX	AQMIX	Difference
Sharpe ratio: Return per unit of total volatility	0.77	3.00	-2.23
Sortino ratio: Return per unit of downside risk	1.16	4.09	-2.94
Omega ratio: Gain probability vs. loss probability	1.13	1.54	-0.40
Calmar ratio: Return relative to maximum drawdown	1.06	8.64	-7.59
Martin ratio: Return relative to average drawdown	2.34	26.76	-24.42
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

EBSIX vs. AQMIX - Sharpe Ratio Comparison

The current EBSIX Sharpe Ratio is 0.77, which is lower than the AQMIX Sharpe Ratio of 3.00. The chart below compares the historical Sharpe Ratios of EBSIX 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

	EBSIX	AQMIX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.77	3.00	-2.23
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.92	1.11	-0.20
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.49	—
Sharpe Ratio (All Time) Calculated using the full available price history	1.16	0.43	+0.73

Drawdowns

EBSIX vs. AQMIX - Drawdown Comparison

The maximum EBSIX drawdown since its inception was -10.96%, smaller than the maximum AQMIX drawdown of -26.52%. Use the drawdown chart below to compare losses from any high point for EBSIX and AQMIX.

Drawdown Indicators

	EBSIX	AQMIX	Difference
Max Drawdown Largest peak-to-trough decline	-10.96%	-26.52%	+15.56%
Max Drawdown (1Y) Largest decline over 1 year	-5.88%	-3.02%	-2.86%
Max Drawdown (3Y) Largest decline over 3 years	-10.26%	-13.57%	+3.31%
Max Drawdown (5Y) Largest decline over 5 years	-10.96%	-13.57%	+2.61%
Max Drawdown (10Y) Largest decline over 10 years	—	-23.34%	—
Current Drawdown Current decline from peak	-0.58%	0.00%	-0.58%
Average Drawdown Average peak-to-trough decline	-3.06%	-10.00%	+6.94%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.64%	0.97%	+1.67%

Volatility

EBSIX vs. AQMIX - Volatility Comparison

The current volatility for Campbell Systematic Macro Fund Class I Shares (EBSIX) is 1.90%, while AQR Managed Futures Strategy Fund (AQMIX) has a volatility of 2.63%. This indicates that EBSIX 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

	EBSIX	AQMIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.90%	2.63%	-0.73%
Volatility (6M) Calculated over the trailing 6-month period	5.91%	6.62%	-0.71%
Volatility (1Y) Calculated over the trailing 1-year period	8.05%	8.69%	-0.64%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	9.56%	11.63%	-2.07%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	9.46%	10.37%	-0.91%

EBSIX vs. AQMIX - Expense Ratio Comparison

EBSIX has a 1.75% expense ratio, which is higher than AQMIX's 1.25% expense ratio.

Dividends

EBSIX vs. AQMIX - Dividend Comparison

EBSIX's dividend yield for the trailing twelve months is around 2.87%, more than AQMIX's 1.99% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
AQMIX AQR Managed Futures Strategy Fund	1.99%	2.26%	3.83%	8.39%	12.76%	6.94%	5.31%	3.13%	0.00%	0.00%	0.02%	6.51%
EBSIX Campbell Systematic Macro Fund Class I Shares	2.87%	3.16%	2.90%	1.82%	15.10%	7.73%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both EBSIX and AQMIX in my portfolio?

EBSIX and AQMIX have a correlation of 0.50, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, EBSIX or AQMIX?

AQMIX has higher volatility (2.63%) compared to EBSIX (1.90%). In terms of maximum drawdown, EBSIX dropped -10.96% vs AQMIX's -26.52%.

Which has better risk-adjusted returns?

AQMIX currently has the higher Sharpe Ratio (3.00 vs 0.77), 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.