QGMIX vs. CGFIX
QGMIX (AQR Macro Opportunities Fund) and CGFIX (abrdn Global Absolute Return Strategies Fund) are both Multistrategy funds. Over the past 10 years, QGMIX returned 3.62%/yr vs 1.63%/yr for CGFIX. Their 0.08 correlation means their historical movements had little consistent relationship. QGMIX charges 1.20%/yr vs 0.78%/yr for CGFIX.
Performance
QGMIX vs. CGFIX - Performance Comparison
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Returns By Period
In the year-to-date period, QGMIX achieves a -0.61% return, which is significantly lower than CGFIX's 0.33% return. Over the past 10 years, QGMIX has outperformed CGFIX with an annualized return of 3.62%, while CGFIX has yielded a comparatively lower 1.63% annualized return.
QGMIX
- 1D
- -0.21%
- 1M
- 0.21%
- 6M
- -4.05%
- YTD
- -0.61%
- 1Y
- 0.52%
- 3Y*
- 1.87%
- 5Y*
- 4.93%
- 10Y*
- 3.62%
- ALL TIME*
- 3.08%
CGFIX
- 1D
- 0.12%
- 1M
- -1.42%
- 6M
- -0.43%
- YTD
- 0.33%
- 1Y
- 3.20%
- 3Y*
- 5.07%
- 5Y*
- 0.27%
- 10Y*
- 1.63%
- ALL TIME*
- 4.57%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $0.00 | $0.00 | $0.00 |
QGMIX vs. CGFIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
QGMIX AQR Macro Opportunities Fund | -0.61% | 4.00% | -0.95% | 0.01% | 29.30% | -4.54% | 1.60% | 4.90% | 7.80% | -3.38% |
CGFIX abrdn Global Absolute Return Strategies Fund | 0.33% | 5.79% | 4.85% | -2.54% | -9.99% | 1.39% | 6.37% | 7.26% | 0.97% | 1.62% |
Correlation
The correlation between QGMIX and CGFIX is -0.11, meaning they have often moved in opposite directions in the past. This relationship can weaken or reverse as market conditions change.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | -0.11 |
Correlation (3Y) Balances recent behavior with more history. | 0.06 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.06 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.07 |
Correlation (All Time) Calculated using the full available price history since Jan 2, 2015 | 0.08 |
The correlation between QGMIX and CGFIX shifts across timeframes, from -0.11 (1 year) to 0.08 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
QGMIX vs. CGFIX — Risk / Return Rank
QGMIX
CGFIX
QGMIX vs. CGFIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Macro Opportunities Fund (QGMIX) and abrdn Global Absolute Return Strategies Fund (CGFIX). 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 | CGFIX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.47 | ||
| Sortino ratioReturn per unit of downside risk | -2.01 | ||
| Omega ratioGain probability vs. loss probability | 0.97 | 1.23 | -0.26 |
| Calmar ratioReturn relative to maximum drawdown | -0.25 | 1.38 | -1.63 |
| Martin ratioReturn relative to average drawdown | -0.54 | 4.54 | -5.08 |
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Drawdowns
QGMIX vs. CGFIX - Drawdown Comparison
The maximum QGMIX drawdown since its inception was -13.48%, smaller than the maximum CGFIX drawdown of -20.28%. Use the drawdown chart below to compare losses from any high point for QGMIX and CGFIX.
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Drawdown Indicators
| QGMIX | CGFIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -13.48% | -20.28% | +6.80% |
Max Drawdown (1Y)Largest decline over 1 year | -5.47% | -2.78% | -2.69% |
Max Drawdown (3Y)Largest decline over 3 years | -13.48% | -5.01% | -8.47% |
Max Drawdown (5Y)Largest decline over 5 years | -13.48% | -20.28% | +6.80% |
Max Drawdown (10Y)Largest decline over 10 years | -13.48% | -20.28% | +6.80% |
Current DrawdownCurrent decline from peak | -5.24% | -2.65% | -2.59% |
Average DrawdownAverage peak-to-trough decline | -3.95% | -3.19% | -0.76% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.60% | 0.84% | +1.76% |
Volatility
QGMIX vs. CGFIX - Volatility Comparison
AQR Macro Opportunities Fund (QGMIX) has a higher volatility of 1.90% compared to abrdn Global Absolute Return Strategies Fund (CGFIX) at 0.84%. This indicates that QGMIX's price experiences larger fluctuations and is considered to be riskier than CGFIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| QGMIX | CGFIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.90% | 0.84% | +1.06% |
Volatility (6M)Calculated over the trailing 6-month period | 4.17% | 2.48% | +1.69% |
Volatility (1Y)Calculated over the trailing 1-year period | 5.94% | 3.11% | +2.83% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.83% | 5.74% | +4.09% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 8.38% | 4.69% | +3.69% |
QGMIX vs. CGFIX - Expense Ratio Comparison
QGMIX has a 1.20% expense ratio, which is higher than CGFIX's 0.78% expense ratio.
Dividends
QGMIX vs. CGFIX - Dividend Comparison
QGMIX's dividend yield for the trailing twelve months is around 1.45%, less than CGFIX's 5.66% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
CGFIX abrdn Global Absolute Return Strategies Fund | 5.66% | 5.51% | 6.43% | 2.08% | 0.00% | 7.49% | 0.23% | 3.29% | 6.05% | 0.33% | 1.12% | 0.35% |
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 CGFIX have a correlation of -0.11, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
QGMIX has higher volatility (1.90%) compared to CGFIX (0.84%). In terms of maximum drawdown, QGMIX dropped -13.48% vs CGFIX's -20.28%.
CGFIX currently has the higher Sharpe Ratio (1.23 vs -0.24), 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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