QALTX vs. QGMIX

Last updated Jun 24, 2026

QALTX (Quantified Alternative Investment Fund) and QGMIX (AQR Macro Opportunities Fund) are both Macro Trading funds. Over the past 10 years, QALTX returned 4.58%/yr vs 4.00%/yr for QGMIX. At a 0.08 correlation, their price movements are largely independent. QALTX charges 1.33%/yr vs 1.20%/yr for QGMIX.

Performance

QALTX vs. QGMIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Quantified Alternative Investment Fund (QALTX) and AQR Macro Opportunities Fund (QGMIX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, QALTX achieves a 5.90% return, which is significantly higher than QGMIX's 0.92% return. Over the past 10 years, QALTX has outperformed QGMIX with an annualized return of 4.58%, while QGMIX has yielded a comparatively lower 4.00% annualized return.

QALTX

• 1D: 0.09%
• 1M: -1.82%
• YTD: 5.90%
• 6M: 5.03%
• 1Y: 18.32%
• 3Y*: 8.88%
• 5Y*: 4.15%
• 10Y*: 4.58%

QGMIX

• 1D: 0.20%
• 1M: -0.70%
• YTD: 0.92%
• 6M: 2.13%
• 1Y: 1.66%
• 3Y*: 2.59%
• 5Y*: 4.43%
• 10Y*: 4.00%

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

QALTX vs. QGMIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
QALTX Quantified Alternative Investment Fund	5.90%	14.31%	4.11%	2.76%	-8.13%	11.76%	1.01%	9.88%	-8.90%	15.53%
QGMIX AQR Macro Opportunities Fund	0.92%	4.00%	-0.95%	0.01%	29.30%	-4.54%	1.60%	4.90%	7.80%	-3.38%

Correlation

The correlation between QALTX and QGMIX is 0.27, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.27
Correlation (3Y) Calculated over the trailing 3-year period	0.15
Correlation (5Y) Calculated over the trailing 5-year period	0.04
Correlation (10Y) Calculated over the trailing 10-year period	0.10
Correlation (All Time) Calculated using the full available price history since Jan 2, 2015	0.08

The correlation between QALTX and QGMIX shifts across timeframes, from 0.04 (5 years) to 0.27 (1 year), reflecting how their relationship changes across market environments.

Return for Risk

QALTX vs. QGMIX — Risk / Return Rank

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

QALTX

QALTX Risk / Return Rank: 67
QALTX Sharpe Ratio Rank: 57
QALTX Sortino Ratio Rank: 48
QALTX Omega Ratio Rank: 62
QALTX Calmar Ratio Rank: 85
QALTX Martin Ratio Rank: 81

QGMIX

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

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.

QALTX vs. QGMIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Quantified Alternative Investment Fund (QALTX) and AQR Macro Opportunities Fund (QGMIX). 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.

	QALTX	QGMIX	Difference
Sharpe ratio: Return per unit of total volatility	2.06	0.27	+1.79
Sortino ratio: Return per unit of downside risk	2.68	0.41	+2.27
Omega ratio: Gain probability vs. loss probability	1.40	1.05	+0.35
Calmar ratio: Return relative to maximum drawdown	3.84	0.38	+3.46
Martin ratio: Return relative to average drawdown	14.02	0.74	+13.28

QALTX vs. QGMIX - Sharpe Ratio Comparison

The current QALTX Sharpe Ratio is 2.06, which is higher than the QGMIX Sharpe Ratio of 0.27. The chart below compares the historical Sharpe Ratios of QALTX and QGMIX, 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

QALTX vs. QGMIX - Drawdown Comparison

The maximum QALTX drawdown since its inception was -24.22%, which is greater than QGMIX's maximum drawdown of -13.48%. Use the drawdown chart below to compare losses from any high point for QALTX and QGMIX.

Drawdown Indicators

	QALTX	QGMIX	Difference
Max Drawdown Largest peak-to-trough decline	-24.22%	-13.48%	-10.74%
Max Drawdown (1Y) Largest decline over 1 year	-4.99%	-4.11%	-0.88%
Max Drawdown (3Y) Largest decline over 3 years	-11.47%	-13.48%	+2.01%
Max Drawdown (5Y) Largest decline over 5 years	-13.17%	-13.48%	+0.31%
Max Drawdown (10Y) Largest decline over 10 years	-24.22%	-13.48%	-10.74%
Current Drawdown Current decline from peak	-3.06%	-3.78%	+0.72%
Average Drawdown Average peak-to-trough decline	-6.05%	-3.94%	-2.11%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.36%	2.09%	-0.73%

Volatility

QALTX vs. QGMIX - Volatility Comparison

Quantified Alternative Investment Fund (QALTX) has a higher volatility of 3.54% compared to AQR Macro Opportunities Fund (QGMIX) at 1.50%. This indicates that QALTX's price experiences larger fluctuations and is considered to be riskier than QGMIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	QALTX	QGMIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.54%	1.50%	+2.04%
Volatility (6M) Calculated over the trailing 6-month period	6.51%	4.18%	+2.33%
Volatility (1Y) Calculated over the trailing 1-year period	9.34%	5.90%	+3.44%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	8.91%	9.91%	-1.00%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	9.93%	8.38%	+1.55%

QALTX vs. QGMIX - Expense Ratio Comparison

QALTX has a 1.33% expense ratio, which is higher than QGMIX's 1.20% expense ratio.

Dividends

QALTX vs. QGMIX - Dividend Comparison

QALTX's dividend yield for the trailing twelve months is around 2.29%, more than QGMIX's 1.42% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
QALTX Quantified Alternative Investment Fund	2.29%	2.42%	1.61%	3.55%	1.73%	12.79%	0.00%	1.44%	0.07%	3.12%	0.04%	0.84%
QGMIX AQR Macro Opportunities Fund	1.42%	1.44%	1.92%	10.07%	7.48%	1.49%	0.96%	0.05%	3.92%	0.04%	6.05%	5.30%

Frequently Asked Questions

Can I hold both QALTX and QGMIX in my portfolio?

QALTX and QGMIX have a correlation of 0.27, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, QALTX or QGMIX?

QALTX has higher volatility (3.54%) compared to QGMIX (1.50%). In terms of maximum drawdown, QALTX dropped -24.22% vs QGMIX's -13.48%.

Which has better risk-adjusted returns?

QALTX currently has the higher Sharpe Ratio (2.06 vs 0.27), 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.