GFIRX vs. QMHIX
Compare and contrast key facts about Goldman Sachs Managed Futures Strategy Fund (GFIRX) and AQR Managed Futures Strategy HV Fund (QMHIX).
GFIRX is managed by Goldman Sachs. It was launched on Feb 28, 2012. QMHIX is managed by AQR Funds. It was launched on Jul 15, 2013.
Performance
GFIRX vs. QMHIX - Performance Comparison
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GFIRX vs. QMHIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
GFIRX Goldman Sachs Managed Futures Strategy Fund | 0.43% | 0.54% | -5.17% | -3.87% | 20.44% | 4.86% | 6.94% | 2.61% | -2.24% | 2.56% |
QMHIX AQR Managed Futures Strategy HV Fund | 14.62% | 19.97% | 10.78% | -0.17% | 50.14% | -2.08% | -0.73% | 1.82% | -14.44% | -1.72% |
Returns By Period
In the year-to-date period, GFIRX achieves a 0.43% return, which is significantly lower than QMHIX's 14.62% return. Over the past 10 years, GFIRX has underperformed QMHIX with an annualized return of 2.35%, while QMHIX has yielded a comparatively higher 5.02% annualized return.
GFIRX
- 1D
- -0.54%
- 1M
- -3.94%
- YTD
- 0.43%
- 6M
- 4.04%
- 1Y
- 7.92%
- 3Y*
- -0.21%
- 5Y*
- 2.49%
- 10Y*
- 2.35%
QMHIX
- 1D
- -0.62%
- 1M
- 2.92%
- YTD
- 14.62%
- 6M
- 19.29%
- 1Y
- 27.61%
- 3Y*
- 18.04%
- 5Y*
- 16.43%
- 10Y*
- 5.02%
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GFIRX vs. QMHIX - Expense Ratio Comparison
GFIRX has a 1.33% expense ratio, which is lower than QMHIX's 1.65% expense ratio.
Return for Risk
GFIRX vs. QMHIX — Risk / Return Rank
GFIRX
QMHIX
GFIRX vs. QMHIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Goldman Sachs Managed Futures Strategy Fund (GFIRX) and AQR Managed Futures Strategy HV Fund (QMHIX). 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.
| GFIRX | QMHIX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.89 | 2.01 | -1.12 |
Sortino ratioReturn per unit of downside risk | 1.26 | 2.45 | -1.20 |
Omega ratioGain probability vs. loss probability | 1.17 | 1.36 | -0.20 |
Calmar ratioReturn relative to maximum drawdown | 1.38 | 3.29 | -1.91 |
Martin ratioReturn relative to average drawdown | 4.28 | 8.79 | -4.51 |
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
| GFIRX | QMHIX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.89 | 2.01 | -1.12 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.24 | 0.96 | -0.72 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.26 | 0.33 | -0.06 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.23 | 0.37 | -0.15 |
Correlation
The correlation between GFIRX and QMHIX is 0.70, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Dividends
GFIRX vs. QMHIX - Dividend Comparison
GFIRX has not paid dividends to shareholders, while QMHIX's dividend yield for the trailing twelve months is around 1.79%.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
GFIRX Goldman Sachs Managed Futures Strategy Fund | 0.00% | 0.00% | 0.00% | 0.00% | 20.11% | 7.35% | 1.21% | 7.06% | 0.16% | 0.49% | 0.00% | 3.98% |
QMHIX AQR Managed Futures Strategy HV Fund | 1.79% | 2.05% | 2.31% | 7.66% | 9.34% | 10.96% | 9.52% | 4.18% | 0.00% | 0.00% | 0.01% | 7.57% |
Drawdowns
GFIRX vs. QMHIX - Drawdown Comparison
The maximum GFIRX drawdown since its inception was -23.09%, smaller than the maximum QMHIX drawdown of -39.37%. Use the drawdown chart below to compare losses from any high point for GFIRX and QMHIX.
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Drawdown Indicators
| GFIRX | QMHIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -23.09% | -39.37% | +16.28% |
Max Drawdown (1Y)Largest decline over 1 year | -5.37% | -8.34% | +2.97% |
Max Drawdown (5Y)Largest decline over 5 years | -23.09% | -19.06% | -4.03% |
Max Drawdown (10Y)Largest decline over 10 years | -23.09% | -34.54% | +11.45% |
Current DrawdownCurrent decline from peak | -12.09% | -0.62% | -11.47% |
Average DrawdownAverage peak-to-trough decline | -7.00% | -18.05% | +11.05% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.88% | 3.13% | -1.25% |
Volatility
GFIRX vs. QMHIX - Volatility Comparison
The current volatility for Goldman Sachs Managed Futures Strategy Fund (GFIRX) is 3.28%, while AQR Managed Futures Strategy HV Fund (QMHIX) has a volatility of 3.98%. This indicates that GFIRX experiences smaller price fluctuations and is considered to be less risky than QMHIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| GFIRX | QMHIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.28% | 3.98% | -0.70% |
Volatility (6M)Calculated over the trailing 6-month period | 6.24% | 9.98% | -3.74% |
Volatility (1Y)Calculated over the trailing 1-year period | 8.81% | 14.16% | -5.35% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 10.37% | 17.26% | -6.89% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 9.04% | 15.50% | -6.46% |