JDJIX vs. AQMIX

Last updated Apr 2, 2026

Compare and contrast key facts about JHancock Diversified Macro Fund (JDJIX) and AQR Managed Futures Strategy Fund (AQMIX).

JDJIX is managed by John Hancock. It was launched on Jul 28, 2019. AQMIX is managed by AQR Funds. It was launched on Jan 5, 2010.

Performance

JDJIX vs. AQMIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in JHancock Diversified Macro Fund (JDJIX) and AQR Managed Futures Strategy Fund (AQMIX). The values are adjusted to include any dividend payments, if applicable.

JDJIX vs. AQMIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019
JDJIX JHancock Diversified Macro Fund	5.05%	-7.68%	2.59%	2.77%	12.26%	-2.19%	-2.24%	1.59%
AQMIX AQR Managed Futures Strategy Fund	9.72%	14.62%	8.13%	2.08%	35.47%	-1.04%	-0.43%	-4.12%

Returns By Period

In the year-to-date period, JDJIX achieves a 5.05% return, which is significantly lower than AQMIX's 9.72% return.

JDJIX

• 1D: 0.11%
• 1M: -2.02%
• YTD: 5.05%
• 6M: 2.42%
• 1Y: -4.81%
• 3Y*: 0.45%
• 5Y*: 2.58%
• 10Y*: —

AQMIX

• 1D: -0.47%
• 1M: 0.96%
• YTD: 9.72%
• 6M: 12.93%
• 1Y: 20.27%
• 3Y*: 13.32%
• 5Y*: 12.58%
• 10Y*: 4.43%

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

JDJIX vs. AQMIX - Expense Ratio Comparison

JDJIX has a 1.39% expense ratio, which is higher than AQMIX's 1.25% expense ratio.

JDJIX

JHancock Diversified Macro Fund

AQMIX

AQR Managed Futures Strategy Fund

Return for Risk

JDJIX vs. AQMIX — Risk / Return Rank

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

JDJIX

JDJIX Risk / Return Rank: 2
JDJIX Sharpe Ratio Rank: 1
JDJIX Sortino Ratio Rank: 1
JDJIX Omega Ratio Rank: 1
JDJIX Calmar Ratio Rank: 2
JDJIX Martin Ratio Rank: 3

AQMIX

AQMIX Risk / Return Rank: 93
AQMIX Sharpe Ratio Rank: 94
AQMIX Sortino Ratio Rank: 91
AQMIX Omega Ratio Rank: 89
AQMIX Calmar Ratio Rank: 97
AQMIX Martin Ratio Rank: 93

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.

JDJIX vs. AQMIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for JHancock Diversified Macro Fund (JDJIX) 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.

	JDJIX	AQMIX	Difference
Sharpe ratio Return per unit of total volatility	-0.57	2.16	-2.73
Sortino ratio Return per unit of downside risk	-0.68	2.71	-3.39
Omega ratio Gain probability vs. loss probability	0.91	1.40	-0.50
Calmar ratio Return relative to maximum drawdown	-0.40	3.92	-4.32
Martin ratio Return relative to average drawdown	-0.59	11.52	-12.11
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

JDJIX vs. AQMIX - Sharpe Ratio Comparison

The current JDJIX Sharpe Ratio is -0.57, which is lower than the AQMIX Sharpe Ratio of 2.16. The chart below compares the historical Sharpe Ratios of JDJIX and AQMIX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Sharpe Ratios by Period

	JDJIX	AQMIX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	-0.57	2.16	-2.73
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.29	1.10	-0.80
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.43	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.18	0.41	-0.23

Correlation

The correlation between JDJIX and AQMIX is 0.41, 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

JDJIX vs. AQMIX - Dividend Comparison

JDJIX's dividend yield for the trailing twelve months is around 0.29%, less than AQMIX's 2.06% yield.

	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
JDJIX JHancock Diversified Macro Fund	0.29%	0.31%	0.43%	3.99%	11.26%	3.46%	2.11%	3.79%	0.00%	0.00%	0.00%	0.00%
AQMIX AQR Managed Futures Strategy Fund	2.06%	2.26%	3.83%	8.39%	12.76%	6.94%	5.31%	3.13%	0.00%	0.00%	0.02%	6.51%

Drawdowns

JDJIX vs. AQMIX - Drawdown Comparison

The maximum JDJIX drawdown since its inception was -19.58%, smaller than the maximum AQMIX drawdown of -26.52%. Use the drawdown chart below to compare losses from any high point for JDJIX and AQMIX.

Drawdown Indicators

	JDJIX	AQMIX	Difference
Max Drawdown Largest peak-to-trough decline	-19.58%	-26.52%	+6.94%
Max Drawdown (1Y) Largest decline over 1 year	-10.53%	-5.45%	-5.08%
Max Drawdown (5Y) Largest decline over 5 years	-19.58%	-13.57%	-6.01%
Max Drawdown (10Y) Largest decline over 10 years	—	-23.34%	—
Current Drawdown Current decline from peak	-14.43%	-0.94%	-13.49%
Average Drawdown Average peak-to-trough decline	-7.28%	-10.10%	+2.82%
Ulcer Index Depth and duration of drawdowns from previous peaks	7.10%	1.85%	+5.25%

Volatility

JDJIX vs. AQMIX - Volatility Comparison

The current volatility for JHancock Diversified Macro Fund (JDJIX) is 1.66%, while AQR Managed Futures Strategy Fund (AQMIX) has a volatility of 2.58%. This indicates that JDJIX 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

	JDJIX	AQMIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.66%	2.58%	-0.92%
Volatility (6M) Calculated over the trailing 6-month period	4.94%	6.71%	-1.77%
Volatility (1Y) Calculated over the trailing 1-year period	8.28%	9.62%	-1.34%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	8.90%	11.55%	-2.65%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	9.20%	10.36%	-1.16%