QGMIX vs. AQGIX
QGMIX (AQR Macro Opportunities Fund) and AQGIX (AQR Global Equity Fund) are both mutual funds - QGMIX is a Macro Trading fund managed by AQR Funds, while AQGIX is a Global Equities fund managed by AQR Funds. Over the past 10 years, QGMIX returned 3.61%/yr vs 13.29%/yr for AQGIX. At a 0.07 correlation, their price movements are largely independent. QGMIX charges 1.20%/yr vs 0.80%/yr for AQGIX.
Performance
QGMIX vs. AQGIX - Performance Comparison
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Returns By Period
In the year-to-date period, QGMIX achieves a -0.82% return, which is significantly lower than AQGIX's 12.61% return. Over the past 10 years, QGMIX has underperformed AQGIX with an annualized return of 3.61%, while AQGIX has yielded a comparatively higher 13.29% annualized return.
QGMIX
- 1D
- 0.00%
- 1M
- -1.62%
- 6M
- -3.00%
- YTD
- -0.82%
- 1Y
- -1.00%
- 3Y*
- 1.93%
- 5Y*
- 4.51%
- 10Y*
- 3.61%
AQGIX
- 1D
- 0.29%
- 1M
- -0.07%
- 6M
- 10.98%
- YTD
- 12.61%
- 1Y
- 29.08%
- 3Y*
- 25.11%
- 5Y*
- 15.30%
- 10Y*
- 13.29%
QGMIX vs. AQGIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
QGMIX AQR Macro Opportunities Fund | -0.82% | 4.00% | -0.95% | 0.01% | 29.30% | -4.54% | 1.60% | 4.90% | 7.80% | -3.38% |
AQGIX AQR Global Equity Fund | 12.61% | 31.64% | 24.56% | 22.92% | -14.14% | 18.32% | 9.33% | 22.55% | -14.50% | 25.44% |
Correlation
The correlation between QGMIX and AQGIX is 0.16, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.16 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.13 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.03 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.08 |
Correlation (All Time) Calculated using the full available price history since Jan 2, 2015 | 0.07 |
The correlation between QGMIX and AQGIX shifts across timeframes, from -0.03 (5 years) to 0.16 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
QGMIX vs. AQGIX — Risk / Return Rank
QGMIX
AQGIX
QGMIX vs. AQGIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Macro Opportunities Fund (QGMIX) and AQR Global Equity Fund (AQGIX). 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.
| QGMIX | AQGIX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.18 | ||
| Sortino ratioReturn per unit of downside risk | -2.98 | ||
| Omega ratioGain probability vs. loss probability | 0.97 | 1.35 | -0.38 |
| Calmar ratioReturn relative to maximum drawdown | -0.21 | 2.85 | -3.06 |
| Martin ratioReturn relative to average drawdown | -0.46 | 12.21 | -12.66 |
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Drawdowns
QGMIX vs. AQGIX - Drawdown Comparison
The maximum QGMIX drawdown since its inception was -13.48%, smaller than the maximum AQGIX drawdown of -35.47%. Use the drawdown chart below to compare losses from any high point for QGMIX and AQGIX.
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Drawdown Indicators
| QGMIX | AQGIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -13.48% | -35.47% | +21.99% |
Max Drawdown (1Y)Largest decline over 1 year | -5.28% | -9.88% | +4.60% |
Max Drawdown (3Y)Largest decline over 3 years | -13.48% | -18.50% | +5.02% |
Max Drawdown (5Y)Largest decline over 5 years | -13.48% | -29.62% | +16.14% |
Max Drawdown (10Y)Largest decline over 10 years | -13.48% | -35.47% | +21.99% |
Current DrawdownCurrent decline from peak | -5.43% | -1.15% | -4.28% |
Average DrawdownAverage peak-to-trough decline | -3.94% | -6.52% | +2.58% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.40% | 2.30% | +0.10% |
Volatility
QGMIX vs. AQGIX - Volatility Comparison
The current volatility for AQR Macro Opportunities Fund (QGMIX) is 1.38%, while AQR Global Equity Fund (AQGIX) has a volatility of 4.05%. This indicates that QGMIX experiences smaller price fluctuations and is considered to be less risky than AQGIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| QGMIX | AQGIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.38% | 4.05% | -2.67% |
Volatility (6M)Calculated over the trailing 6-month period | 4.08% | 11.42% | -7.34% |
Volatility (1Y)Calculated over the trailing 1-year period | 5.79% | 14.18% | -8.39% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.85% | 18.38% | -8.53% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 8.37% | 17.89% | -9.52% |
QGMIX vs. AQGIX - Expense Ratio Comparison
QGMIX has a 1.20% expense ratio, which is higher than AQGIX's 0.80% expense ratio.
Dividends
QGMIX vs. AQGIX - Dividend Comparison
QGMIX's dividend yield for the trailing twelve months is around 1.45%, less than AQGIX's 11.70% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
AQGIX AQR Global Equity Fund | 11.70% | 13.18% | 13.59% | 5.97% | 4.39% | 12.17% | 1.16% | 1.41% | 4.72% | 5.05% | 10.34% | 0.09% |
QGMIX AQR Macro Opportunities Fund | 1.45% | 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
QGMIX and AQGIX 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.
AQGIX has higher volatility (4.05%) compared to QGMIX (1.38%). In terms of maximum drawdown, QGMIX dropped -13.48% vs AQGIX's -35.47%.
AQGIX currently has the higher Sharpe Ratio (1.99 vs -0.19), 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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