MCHI vs. AQMIX
MCHI (iShares MSCI China ETF) and AQMIX (AQR Managed Futures Strategy Fund) are both funds - MCHI is a China Equities fund tracking the MSCI China Index, while AQMIX is a Systematic Trend fund managed by AQR Funds. Over the past 10 years, MCHI returned 4.76%/yr vs 4.69%/yr for AQMIX. At a 0.00 correlation, their price movements are largely independent. MCHI charges 0.59%/yr vs 1.25%/yr for AQMIX.
Performance
MCHI vs. AQMIX - Performance Comparison
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Returns By Period
In the year-to-date period, MCHI achieves a -8.72% return, which is significantly lower than AQMIX's 11.18% return. Both investments have delivered pretty close results over the past 10 years, with MCHI having a 4.76% annualized return and AQMIX not far behind at 4.69%.
MCHI
- 1D
- 0.90%
- 1M
- -5.63%
- YTD
- -8.72%
- 6M
- -9.79%
- 1Y
- 2.33%
- 3Y*
- 8.42%
- 5Y*
- -5.82%
- 10Y*
- 4.76%
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%
MCHI vs. AQMIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
MCHI iShares MSCI China ETF | -8.72% | 31.04% | 17.73% | -11.94% | -23.01% | -21.74% | 27.78% | 23.72% | -19.79% | 54.67% |
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 MCHI and AQMIX is 0.23, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.23 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.01 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.07 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.00 |
Correlation (All Time) Calculated using the full available price history since Mar 31, 2011 | 0.00 |
Over the past year, MCHI and AQMIX have become more correlated (0.23) than their long-term average of 0.00, meaning their price movements have been converging.
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Return for Risk
MCHI vs. AQMIX — Risk / Return Rank
MCHI
AQMIX
MCHI vs. AQMIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares MSCI China ETF (MCHI) 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.
| MCHI | AQMIX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.81 | ||
| Sortino ratioReturn per unit of downside risk | -3.69 | ||
| Omega ratioGain probability vs. loss probability | 1.02 | 1.50 | -0.48 |
| Calmar ratioReturn relative to maximum drawdown | 0.03 | 8.20 | -8.17 |
| Martin ratioReturn relative to average drawdown | 0.05 | 26.10 | -26.05 |
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Drawdowns
MCHI vs. AQMIX - Drawdown Comparison
The maximum MCHI drawdown since its inception was -62.95%, which is greater than AQMIX's maximum drawdown of -26.52%. Use the drawdown chart below to compare losses from any high point for MCHI and AQMIX.
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Drawdown Indicators
| MCHI | AQMIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -62.95% | -26.52% | -36.43% |
Max Drawdown (1Y)Largest decline over 1 year | -18.51% | -3.02% | -15.49% |
Max Drawdown (3Y)Largest decline over 3 years | -25.85% | -13.57% | -12.28% |
Max Drawdown (5Y)Largest decline over 5 years | -56.98% | -13.57% | -43.41% |
Max Drawdown (10Y)Largest decline over 10 years | -62.95% | -23.34% | -39.61% |
Current DrawdownCurrent decline from peak | -37.76% | -2.30% | -35.46% |
Average DrawdownAverage peak-to-trough decline | -24.54% | -9.99% | -14.55% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 8.81% | 0.94% | +7.87% |
Volatility
MCHI vs. AQMIX - Volatility Comparison
iShares MSCI China ETF (MCHI) has a higher volatility of 6.46% compared to AQR Managed Futures Strategy Fund (AQMIX) at 2.41%. This indicates that MCHI's price experiences larger fluctuations and is considered to be riskier 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
| MCHI | AQMIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 6.46% | 2.41% | +4.05% |
Volatility (6M)Calculated over the trailing 6-month period | 14.62% | 6.72% | +7.90% |
Volatility (1Y)Calculated over the trailing 1-year period | 20.23% | 8.74% | +11.49% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 30.72% | 11.62% | +19.10% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 27.38% | 10.37% | +17.01% |
MCHI vs. AQMIX - Expense Ratio Comparison
MCHI has a 0.59% expense ratio, which is lower than AQMIX's 1.25% expense ratio.
Dividends
MCHI vs. AQMIX - Dividend Comparison
MCHI's dividend yield for the trailing twelve months is around 2.32%, 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% |
MCHI iShares MSCI China ETF | 2.32% | 2.12% | 2.31% | 2.66% | 1.78% | 1.04% | 1.04% | 1.45% | 1.60% | 1.56% | 1.66% | 2.76% |
Frequently Asked Questions
MCHI and AQMIX have a correlation of 0.23, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
MCHI has higher volatility (6.46%) compared to AQMIX (2.41%). In terms of maximum drawdown, MCHI dropped -62.95% vs AQMIX's -26.52%.
AQMIX currently has the higher Sharpe Ratio (2.83 vs 0.02), 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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