EBSIX vs. QGMIX
Compare and contrast key facts about Campbell Systematic Macro Fund Class I Shares (EBSIX) and AQR Macro Opportunities Fund (QGMIX).
EBSIX 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
EBSIX vs. QGMIX - Performance Comparison
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EBSIX vs. QGMIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
EBSIX Campbell Systematic Macro Fund Class I Shares | 7.05% | -1.14% | 11.63% | -1.83% | 30.91% | 9.05% | 4.94% |
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, EBSIX achieves a 7.05% return, which is significantly higher than QGMIX's 1.64% return.
EBSIX
- 1D
- -0.69%
- 1M
- 2.56%
- YTD
- 7.05%
- 6M
- 3.19%
- 1Y
- 0.38%
- 3Y*
- 3.75%
- 5Y*
- 9.32%
- 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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EBSIX vs. QGMIX - Expense Ratio Comparison
EBSIX has a 1.75% expense ratio, which is higher than QGMIX's 1.20% expense ratio.
Return for Risk
EBSIX vs. QGMIX — Risk / Return Rank
EBSIX
QGMIX
EBSIX vs. QGMIX - 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 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.
| EBSIX | QGMIX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.05 | -0.13 | +0.18 |
Sortino ratioReturn per unit of downside risk | 0.12 | -0.12 | +0.24 |
Omega ratioGain probability vs. loss probability | 1.01 | 0.98 | +0.03 |
Calmar ratioReturn relative to maximum drawdown | 0.14 | -0.18 | +0.32 |
Martin ratioReturn relative to average drawdown | 0.25 | -0.44 | +0.68 |
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
| EBSIX | QGMIX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.05 | -0.13 | +0.18 |
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 | 1.13 | 0.41 | +0.72 |
Correlation
The correlation between EBSIX and QGMIX is 0.37, 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
EBSIX vs. QGMIX - Dividend Comparison
EBSIX's dividend yield for the trailing twelve months is around 2.95%, more than QGMIX's 1.41% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EBSIX Campbell Systematic Macro Fund Class I Shares | 2.95% | 3.16% | 2.90% | 1.82% | 15.10% | 7.73% | 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
EBSIX vs. QGMIX - Drawdown Comparison
The maximum EBSIX drawdown since its inception was -10.96%, smaller than the maximum QGMIX drawdown of -13.48%. Use the drawdown chart below to compare losses from any high point for EBSIX and QGMIX.
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Drawdown Indicators
| EBSIX | QGMIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -10.96% | -13.48% | +2.52% |
Max Drawdown (1Y)Largest decline over 1 year | -7.43% | -8.68% | +1.25% |
Max Drawdown (5Y)Largest decline over 5 years | -10.96% | -13.48% | +2.52% |
Max Drawdown (10Y)Largest decline over 10 years | — | -13.48% | — |
Current DrawdownCurrent decline from peak | -0.69% | -3.09% | +2.40% |
Average DrawdownAverage peak-to-trough decline | -3.13% | -3.95% | +0.82% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 4.37% | 3.47% | +0.90% |
Volatility
EBSIX vs. QGMIX - Volatility Comparison
Campbell Systematic Macro Fund Class I Shares (EBSIX) has a higher volatility of 3.12% compared to AQR Macro Opportunities Fund (QGMIX) at 2.20%. This indicates that EBSIX'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
| EBSIX | QGMIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.12% | 2.20% | +0.92% |
Volatility (6M)Calculated over the trailing 6-month period | 6.23% | 4.32% | +1.91% |
Volatility (1Y)Calculated over the trailing 1-year period | 8.51% | 7.83% | +0.68% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.59% | 9.98% | -0.39% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 9.52% | 8.37% | +1.15% |