QGMIX vs. AQMIX
Compare and contrast key facts about AQR Macro Opportunities Fund (QGMIX) and AQR Managed Futures Strategy Fund (AQMIX).
QGMIX is managed by AQR Funds. It was launched on Apr 7, 2014. AQMIX is managed by AQR Funds. It was launched on Jan 5, 2010.
Performance
QGMIX vs. AQMIX - Performance Comparison
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QGMIX vs. AQMIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
QGMIX AQR Macro Opportunities Fund | 1.64% | 4.00% | -0.95% | 0.01% | 29.30% | -4.54% | 1.60% | 4.90% | 7.80% | -3.38% |
AQMIX AQR Managed Futures Strategy Fund | 9.72% | 14.62% | 8.13% | 2.08% | 35.47% | -1.04% | -0.43% | 1.92% | -8.88% | -0.97% |
Returns By Period
In the year-to-date period, QGMIX achieves a 1.64% return, which is significantly lower than AQMIX's 9.72% return. Over the past 10 years, QGMIX has underperformed AQMIX with an annualized return of 3.62%, while AQMIX has yielded a comparatively higher 4.43% annualized return.
QGMIX
- 1D
- -0.50%
- 1M
- -1.29%
- YTD
- 1.64%
- 6M
- 0.14%
- 1Y
- -1.52%
- 3Y*
- 2.37%
- 5Y*
- 4.51%
- 10Y*
- 3.62%
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%
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QGMIX vs. AQMIX - Expense Ratio Comparison
QGMIX has a 1.20% expense ratio, which is lower than AQMIX's 1.25% expense ratio.
Return for Risk
QGMIX vs. AQMIX — Risk / Return Rank
QGMIX
AQMIX
QGMIX vs. AQMIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Macro Opportunities Fund (QGMIX) 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.
| QGMIX | AQMIX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | -0.13 | 2.16 | -2.29 |
Sortino ratioReturn per unit of downside risk | -0.12 | 2.71 | -2.83 |
Omega ratioGain probability vs. loss probability | 0.98 | 1.40 | -0.42 |
Calmar ratioReturn relative to maximum drawdown | -0.18 | 3.92 | -4.09 |
Martin ratioReturn relative to average drawdown | -0.44 | 11.52 | -11.96 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| QGMIX | AQMIX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.13 | 2.16 | -2.29 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.45 | 1.10 | -0.64 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.43 | 0.43 | +0.01 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.41 | 0.41 | 0.00 |
Correlation
The correlation between QGMIX and AQMIX is 0.44, 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
QGMIX vs. AQMIX - Dividend Comparison
QGMIX's dividend yield for the trailing twelve months is around 1.41%, less than AQMIX's 2.06% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
QGMIX AQR Macro Opportunities Fund | 1.41% | 1.44% | 1.92% | 10.07% | 7.48% | 1.49% | 0.96% | 0.05% | 3.92% | 0.04% | 6.05% | 5.30% |
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
QGMIX vs. AQMIX - Drawdown Comparison
The maximum QGMIX drawdown since its inception was -13.48%, smaller than the maximum AQMIX drawdown of -26.52%. Use the drawdown chart below to compare losses from any high point for QGMIX and AQMIX.
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Drawdown Indicators
| QGMIX | AQMIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -13.48% | -26.52% | +13.04% |
Max Drawdown (1Y)Largest decline over 1 year | -8.68% | -5.45% | -3.23% |
Max Drawdown (5Y)Largest decline over 5 years | -13.48% | -13.57% | +0.09% |
Max Drawdown (10Y)Largest decline over 10 years | -13.48% | -23.34% | +9.86% |
Current DrawdownCurrent decline from peak | -3.09% | -0.94% | -2.15% |
Average DrawdownAverage peak-to-trough decline | -3.95% | -10.10% | +6.15% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.47% | 1.85% | +1.62% |
Volatility
QGMIX vs. AQMIX - Volatility Comparison
The current volatility for AQR Macro Opportunities Fund (QGMIX) is 2.20%, while AQR Managed Futures Strategy Fund (AQMIX) has a volatility of 2.58%. This indicates that QGMIX 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
| QGMIX | AQMIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.20% | 2.58% | -0.38% |
Volatility (6M)Calculated over the trailing 6-month period | 4.32% | 6.71% | -2.39% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.83% | 9.62% | -1.79% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.98% | 11.55% | -1.57% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 8.37% | 10.36% | -1.99% |