QGMIX vs. DVRIX
QGMIX (AQR Macro Opportunities Fund) and DVRIX (MFS Global Alternative Strategy Fund) are both Multistrategy funds. Over the past 10 years, QGMIX returned 3.62%/yr vs 5.18%/yr for DVRIX. Their 0.01 correlation means their historical movements had little consistent relationship. QGMIX charges 1.20%/yr vs 1.05%/yr for DVRIX.
Performance
QGMIX vs. DVRIX - 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 DVRIX's 2.88% return. Over the past 10 years, QGMIX has underperformed DVRIX with an annualized return of 3.62%, while DVRIX has yielded a comparatively higher 5.18% 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%
DVRIX
- 1D
- 0.48%
- 1M
- 0.96%
- 6M
- 1.59%
- YTD
- 2.88%
- 1Y
- 5.69%
- 3Y*
- 9.01%
- 5Y*
- 5.42%
- 10Y*
- 5.18%
- ALL TIME*
- 3.72%
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. DVRIX - 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% |
DVRIX MFS Global Alternative Strategy Fund | 2.88% | 10.87% | 9.66% | 9.22% | -5.10% | 3.67% | 4.66% | 13.01% | -0.39% | 6.40% |
Correlation
The correlation between QGMIX and DVRIX is 0.09, meaning there was essentially no consistent relationship between their historical price movements. Each responded to its own set of market drivers.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.09 |
Correlation (3Y) Balances recent behavior with more history. | 0.07 |
Correlation (5Y) Shows whether the relationship held over a longer period. | -0.10 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.00 |
Correlation (All Time) Calculated using the full available price history since Jan 2, 2015 | 0.01 |
The correlation between QGMIX and DVRIX shifts across timeframes, from -0.10 (5 years) to 0.09 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
QGMIX vs. DVRIX — Risk / Return Rank
QGMIX
DVRIX
QGMIX vs. DVRIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Macro Opportunities Fund (QGMIX) and MFS Global Alternative Strategy Fund (DVRIX). 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 | DVRIX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.64 | ||
| Sortino ratioReturn per unit of downside risk | -2.32 | ||
| Omega ratioGain probability vs. loss probability | 0.97 | 1.26 | -0.29 |
| Calmar ratioReturn relative to maximum drawdown | -0.25 | 1.73 | -1.99 |
| Martin ratioReturn relative to average drawdown | -0.54 | 5.34 | -5.88 |
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Drawdowns
QGMIX vs. DVRIX - Drawdown Comparison
The maximum QGMIX drawdown since its inception was -13.48%, smaller than the maximum DVRIX drawdown of -36.61%. Use the drawdown chart below to compare losses from any high point for QGMIX and DVRIX.
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Drawdown Indicators
| QGMIX | DVRIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -13.48% | -36.61% | +23.13% |
Max Drawdown (1Y)Largest decline over 1 year | -5.47% | -3.08% | -2.39% |
Max Drawdown (3Y)Largest decline over 3 years | -13.48% | -3.57% | -9.91% |
Max Drawdown (5Y)Largest decline over 5 years | -13.48% | -9.88% | -3.60% |
Max Drawdown (10Y)Largest decline over 10 years | -13.48% | -12.80% | -0.68% |
Current DrawdownCurrent decline from peak | -5.24% | 0.00% | -5.24% |
Average DrawdownAverage peak-to-trough decline | -3.95% | -4.08% | +0.13% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.60% | 1.00% | +1.60% |
Volatility
QGMIX vs. DVRIX - Volatility Comparison
AQR Macro Opportunities Fund (QGMIX) has a higher volatility of 1.90% compared to MFS Global Alternative Strategy Fund (DVRIX) at 1.09%. This indicates that QGMIX's price experiences larger fluctuations and is considered to be riskier than DVRIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| QGMIX | DVRIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.90% | 1.09% | +0.81% |
Volatility (6M)Calculated over the trailing 6-month period | 4.17% | 3.15% | +1.02% |
Volatility (1Y)Calculated over the trailing 1-year period | 5.94% | 3.80% | +2.14% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.83% | 4.90% | +4.93% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 8.38% | 5.25% | +3.13% |
QGMIX vs. DVRIX - Expense Ratio Comparison
QGMIX has a 1.20% expense ratio, which is higher than DVRIX's 1.05% expense ratio.
Dividends
QGMIX vs. DVRIX - Dividend Comparison
QGMIX's dividend yield for the trailing twelve months is around 1.45%, more than DVRIX's 1.11% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DVRIX MFS Global Alternative Strategy Fund | 1.11% | 1.15% | 1.65% | 1.15% | 0.60% | 0.60% | 0.64% | 1.14% | 1.11% | 2.17% | 2.87% | 1.15% |
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 DVRIX have a correlation of 0.09, 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 DVRIX (1.09%). In terms of maximum drawdown, QGMIX dropped -13.48% vs DVRIX's -36.61%.
DVRIX currently has the higher Sharpe Ratio (1.41 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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