LQD vs. AQMIX
LQD (iShares iBoxx $ Investment Grade Corporate Bond ETF) and AQMIX (AQR Managed Futures Strategy Fund) are both funds - LQD is a Corporate Bonds fund tracking the iBoxx $ Liquid Investment Grade Index, while AQMIX is a Systematic Trend fund managed by AQR Funds. Over the past 10 years, LQD returned 2.54%/yr vs 4.69%/yr for AQMIX. At a correlation of -0.11, they often move in opposite directions. LQD charges 0.15%/yr vs 1.25%/yr for AQMIX.
Performance
LQD vs. AQMIX - Performance Comparison
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Returns By Period
In the year-to-date period, LQD achieves a 0.82% return, which is significantly lower than AQMIX's 11.18% return. Over the past 10 years, LQD has underperformed AQMIX with an annualized return of 2.54%, while AQMIX has yielded a comparatively higher 4.69% annualized return.
LQD
- 1D
- -0.06%
- 1M
- 0.80%
- YTD
- 0.82%
- 6M
- 1.24%
- 1Y
- 5.80%
- 3Y*
- 5.30%
- 5Y*
- -0.21%
- 10Y*
- 2.54%
AQMIX
- 1D
- -0.37%
- 1M
- -1.94%
- YTD
- 11.18%
- 6M
- 13.01%
- 1Y
- 24.52%
- 3Y*
- 12.13%
- 5Y*
- 12.71%
- 10Y*
- 4.69%
LQD vs. AQMIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
LQD iShares iBoxx $ Investment Grade Corporate Bond ETF | 0.82% | 7.90% | 0.86% | 9.40% | -17.92% | -1.84% | 10.97% | 17.37% | -3.79% | 7.06% |
AQMIX AQR Managed Futures Strategy Fund | 11.18% | 14.62% | 8.13% | 2.08% | 35.47% | -1.04% | -0.43% | 1.92% | -8.88% | -0.97% |
Correlation
The correlation between LQD and AQMIX is -0.16, 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 | -0.16 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.25 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.44 |
Correlation (10Y) Calculated over the trailing 10-year period | -0.22 |
Correlation (All Time) Calculated using the full available price history since Jan 5, 2010 | -0.11 |
The correlation between LQD and AQMIX shifts across timeframes, from -0.44 (5 years) to -0.11 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
LQD vs. AQMIX — Risk / Return Rank
LQD
AQMIX
LQD vs. AQMIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares iBoxx $ Investment Grade Corporate Bond ETF (LQD) 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.
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.
| LQD | AQMIX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.86 | ||
| Sortino ratioReturn per unit of downside risk | -2.43 | ||
| Omega ratioGain probability vs. loss probability | 1.17 | 1.50 | -0.33 |
| Calmar ratioReturn relative to maximum drawdown | 1.55 | 8.20 | -6.64 |
| Martin ratioReturn relative to average drawdown | 4.37 | 26.10 | -21.73 |
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Drawdowns
LQD vs. AQMIX - Drawdown Comparison
The maximum LQD drawdown since its inception was -24.95%, smaller than the maximum AQMIX drawdown of -26.52%. Use the drawdown chart below to compare losses from any high point for LQD and AQMIX.
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Drawdown Indicators
| LQD | AQMIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -24.95% | -26.52% | +1.57% |
Max Drawdown (1Y)Largest decline over 1 year | -3.34% | -3.02% | -0.32% |
Max Drawdown (3Y)Largest decline over 3 years | -8.43% | -13.57% | +5.14% |
Max Drawdown (5Y)Largest decline over 5 years | -24.95% | -13.57% | -11.38% |
Max Drawdown (10Y)Largest decline over 10 years | -24.95% | -23.34% | -1.61% |
Current DrawdownCurrent decline from peak | -3.37% | -2.30% | -1.07% |
Average DrawdownAverage peak-to-trough decline | -3.99% | -9.99% | +6.00% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.19% | 0.94% | +0.25% |
Volatility
LQD vs. AQMIX - Volatility Comparison
The current volatility for iShares iBoxx $ Investment Grade Corporate Bond ETF (LQD) is 1.78%, while AQR Managed Futures Strategy Fund (AQMIX) has a volatility of 2.41%. This indicates that LQD 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.
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Volatility by Period
| LQD | AQMIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.78% | 2.41% | -0.63% |
Volatility (6M)Calculated over the trailing 6-month period | 4.02% | 6.72% | -2.70% |
Volatility (1Y)Calculated over the trailing 1-year period | 5.37% | 8.74% | -3.37% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 8.65% | 11.62% | -2.97% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 8.69% | 10.37% | -1.68% |
LQD vs. AQMIX - Expense Ratio Comparison
LQD has a 0.15% expense ratio, which is lower than AQMIX's 1.25% expense ratio.
Dividends
LQD vs. AQMIX - Dividend Comparison
LQD's dividend yield for the trailing twelve months is around 4.55%, more than AQMIX's 2.03% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
AQMIX AQR Managed Futures Strategy Fund | 2.03% | 2.26% | 3.83% | 8.39% | 12.76% | 6.94% | 5.31% | 3.13% | 0.00% | 0.00% | 0.02% | 6.51% |
LQD iShares iBoxx $ Investment Grade Corporate Bond ETF | 4.55% | 4.48% | 4.45% | 3.99% | 3.30% | 2.30% | 2.66% | 3.29% | 3.67% | 3.10% | 3.34% | 3.47% |
Frequently Asked Questions
LQD and AQMIX have a correlation of -0.16, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
AQMIX has higher volatility (2.41%) compared to LQD (1.78%). In terms of maximum drawdown, LQD dropped -24.95% vs AQMIX's -26.52%.
AQMIX currently has the higher Sharpe Ratio (2.83 vs 0.97), 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.
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