QGMIX vs. DVRIX
QGMIX (AQR Macro Opportunities Fund) and DVRIX (MFS Global Alternative Strategy Fund) are both Macro Trading funds. Over the past 10 years, QGMIX returned 4.08%/yr vs 5.04%/yr for DVRIX. At a 0.01 correlation, their price movements are largely independent. 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 0.72% return, which is significantly lower than DVRIX's 1.12% return. Over the past 10 years, QGMIX has underperformed DVRIX with an annualized return of 4.08%, while DVRIX has yielded a comparatively higher 5.04% annualized return.
QGMIX
- 1D
- 0.10%
- 1M
- -0.91%
- YTD
- 0.72%
- 6M
- 1.82%
- 1Y
- 1.35%
- 3Y*
- 2.13%
- 5Y*
- 4.68%
- 10Y*
- 4.08%
DVRIX
- 1D
- 0.21%
- 1M
- 0.56%
- YTD
- 1.12%
- 6M
- 1.19%
- 1Y
- 4.94%
- 3Y*
- 8.73%
- 5Y*
- 5.29%
- 10Y*
- 5.04%
QGMIX vs. DVRIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
QGMIX AQR Macro Opportunities Fund | 0.72% | 4.00% | -0.95% | 0.01% | 29.30% | -4.54% | 1.60% | 4.90% | 7.80% | -3.38% |
DVRIX MFS Global Alternative Strategy Fund | 1.12% | 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 0.13, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.13 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.09 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.08 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.01 |
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 -0.08 (5 years) to 0.13 (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 | -1.16 | ||
| Sortino ratioReturn per unit of downside risk | -1.64 | ||
| Omega ratioGain probability vs. loss probability | 1.02 | 1.23 | -0.21 |
| Calmar ratioReturn relative to maximum drawdown | 0.13 | 1.51 | -1.38 |
| Martin ratioReturn relative to average drawdown | 0.26 | 4.79 | -4.53 |
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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 | -4.11% | -3.08% | -1.03% |
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 | -3.97% | -1.30% | -2.67% |
Average DrawdownAverage peak-to-trough decline | -3.94% | -4.10% | +0.16% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.08% | 0.97% | +1.11% |
Volatility
QGMIX vs. DVRIX - Volatility Comparison
AQR Macro Opportunities Fund (QGMIX) and MFS Global Alternative Strategy Fund (DVRIX) have volatilities of 1.51% and 1.46%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. 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 | 1.51% | 1.46% | +0.05% |
Volatility (6M)Calculated over the trailing 6-month period | 4.18% | 3.12% | +1.06% |
Volatility (1Y)Calculated over the trailing 1-year period | 5.94% | 3.71% | +2.23% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.91% | 4.89% | +5.02% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 8.37% | 5.24% | +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 1.43%, more than DVRIX's 1.13% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
DVRIX MFS Global Alternative Strategy Fund | 1.13% | 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 | 1.43% | 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 0.13, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
QGMIX has higher volatility (1.51%) compared to DVRIX (1.46%). In terms of maximum drawdown, QGMIX dropped -13.48% vs DVRIX's -36.61%.
DVRIX currently has the higher Sharpe Ratio (1.25 vs 0.09), 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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