EPI vs. AQMNX

Last updated Jul 21, 2026

EPI (WisdomTree India Earnings Fund) and AQMNX (AQR Managed Futures Strategy Fund Class N) are both funds - EPI is a India Equities fund tracking the WisdomTree India Earnings Index, while AQMNX is a Systematic Trend fund actively managed by AQR Funds. EPI is passively managed, while AQMNX is actively managed. Over the past 10 years, EPI returned 8.57%/yr vs 4.24%/yr for AQMNX. At a 0.04 correlation, their price movements are largely independent. EPI charges 0.84%/yr vs 2.97%/yr for AQMNX.

Performance

EPI vs. AQMNX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in WisdomTree India Earnings Fund (EPI) and AQR Managed Futures Strategy Fund Class N (AQMNX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, EPI achieves a -8.90% return, which is significantly lower than AQMNX's 9.60% return. Over the past 10 years, EPI has outperformed AQMNX with an annualized return of 8.57%, while AQMNX has yielded a comparatively lower 4.24% annualized return.

EPI

• 1D: -0.35%
• 1M: -1.98%
• 6M: -7.05%
• YTD: -8.90%
• 1Y: -9.35%
• 3Y*: 5.70%
• 5Y*: 5.95%
• 10Y*: 8.57%
• ALL TIME*: 3.81%

AQMNX

• 1D: 0.00%
• 1M: -0.76%
• 6M: 7.56%
• YTD: 9.60%
• 1Y: 21.77%
• 3Y*: 11.36%
• 5Y*: 13.32%
• 10Y*: 4.24%
• ALL TIME*: 3.60%

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

EPI vs. AQMNX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
EPI WisdomTree India Earnings Fund	-8.90%	2.25%	10.70%	26.03%	-4.74%	26.41%	18.55%	1.53%	-9.88%	39.14%
AQMNX AQR Managed Futures Strategy Fund Class N	9.60%	14.38%	7.96%	1.79%	35.16%	-1.31%	-0.62%	1.57%	-9.12%	-1.19%

Correlation

The correlation between EPI and AQMNX is -0.10, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	-0.10
Correlation (3Y) Calculated over the trailing 3-year period	-0.01
Correlation (5Y) Calculated over the trailing 5-year period	-0.09
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	0.04

The correlation between EPI and AQMNX shifts across timeframes, from -0.10 (1 year) to 0.04 (all time), reflecting how their relationship changes across market environments.

Return for Risk

EPI vs. AQMNX — Risk / Return Rank

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

EPI

EPI Risk / Return Rank: 4
EPI Sharpe Ratio Rank: 5
EPI Sortino Ratio Rank: 4
EPI Omega Ratio Rank: 5
EPI Calmar Ratio Rank: 5
EPI Martin Ratio Rank: 1

AQMNX

AQMNX Risk / Return Rank: 88
AQMNX Sharpe Ratio Rank: 88
AQMNX Sortino Ratio Rank: 83
AQMNX Omega Ratio Rank: 82
AQMNX Calmar Ratio Rank: 94
AQMNX Martin Ratio Rank: 94

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.

EPI vs. AQMNX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for WisdomTree India Earnings Fund (EPI) and AQR Managed Futures Strategy Fund Class N (AQMNX). 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.

	EPI	AQMNX	Difference
Sharpe ratio: Return per unit of total volatility	-0.62	2.44	-3.06
Sortino ratio: Return per unit of downside risk	-0.80	3.31	-4.11
Omega ratio: Gain probability vs. loss probability	0.91	1.43	-0.52
Calmar ratio: Return relative to maximum drawdown	-0.60	4.35	-4.95
Martin ratio: Return relative to average drawdown	-1.41	15.53	-16.94

EPI vs. AQMNX - Sharpe Ratio Comparison

The current EPI Sharpe Ratio is -0.62, which is lower than the AQMNX Sharpe Ratio of 2.44. The chart below compares the historical Sharpe Ratios of EPI and AQMNX, 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

EPI vs. AQMNX - Drawdown Comparison

The maximum EPI drawdown since its inception was -66.21%, which is greater than AQMNX's maximum drawdown of -27.50%. Use the drawdown chart below to compare losses from any high point for EPI and AQMNX.

Drawdown Indicators

	EPI	AQMNX	Difference
Max Drawdown Largest peak-to-trough decline	-66.21%	-27.50%	-38.71%
Max Drawdown (1Y) Largest decline over 1 year	-15.69%	-5.11%	-10.58%
Max Drawdown (3Y) Largest decline over 3 years	-21.89%	-13.70%	-8.19%
Max Drawdown (5Y) Largest decline over 5 years	-21.89%	-13.70%	-8.19%
Max Drawdown (10Y) Largest decline over 10 years	-50.29%	-22.96%	-27.33%
Current Drawdown Current decline from peak	-16.80%	-3.44%	-13.36%
Average Drawdown Average peak-to-trough decline	-18.63%	-10.34%	-8.29%
Ulcer Index Depth and duration of drawdowns from previous peaks	6.64%	1.43%	+5.21%

Volatility

EPI vs. AQMNX - Volatility Comparison

WisdomTree India Earnings Fund (EPI) has a higher volatility of 3.67% compared to AQR Managed Futures Strategy Fund Class N (AQMNX) at 3.28%. This indicates that EPI's price experiences larger fluctuations and is considered to be riskier than AQMNX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	EPI	AQMNX	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.67%	3.28%	+0.39%
Volatility (6M) Calculated over the trailing 6-month period	13.03%	7.08%	+5.95%
Volatility (1Y) Calculated over the trailing 1-year period	15.25%	9.12%	+6.13%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.27%	11.52%	+4.75%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	20.27%	10.18%	+10.09%

EPI vs. AQMNX - Expense Ratio Comparison

EPI has a 0.84% expense ratio, which is lower than AQMNX's 2.97% expense ratio.

Dividends

EPI vs. AQMNX - Dividend Comparison

EPI has not paid dividends to shareholders, while AQMNX's dividend yield for the trailing twelve months is around 1.87%.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
AQMNX AQR Managed Futures Strategy Fund Class N	1.87%	2.05%	3.61%	8.15%	12.59%	6.59%	4.17%	2.92%	0.00%	0.00%	0.02%	6.30%
EPI WisdomTree India Earnings Fund	0.00%	0.00%	0.27%	0.15%	6.01%	1.18%	0.78%	1.17%	1.18%	0.85%	1.05%	1.20%

Frequently Asked Questions

Can I hold both EPI and AQMNX in my portfolio?

EPI and AQMNX have a correlation of -0.10, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, EPI or AQMNX?

EPI has higher volatility (3.67%) compared to AQMNX (3.28%). In terms of maximum drawdown, EPI dropped -66.21% vs AQMNX's -27.50%.

Which has better risk-adjusted returns?

AQMNX currently has the higher Sharpe Ratio (2.44 vs -0.62), 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.