QGMIX vs. FARYX
Compare and contrast key facts about AQR Macro Opportunities Fund (QGMIX) and Fulcrum Diversified Absolute Return Fund (FARYX).
QGMIX is managed by AQR Funds. It was launched on Apr 7, 2014. FARYX is managed by Fulcrum. It was launched on Jul 30, 2015.
Performance
QGMIX vs. FARYX - Performance Comparison
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QGMIX vs. FARYX - 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% |
FARYX Fulcrum Diversified Absolute Return Fund | 6.08% | 13.34% | 7.19% | 0.79% | 2.19% | 4.30% | 9.81% | 7.62% | -1.91% | 1.90% |
Returns By Period
In the year-to-date period, QGMIX achieves a 1.64% return, which is significantly lower than FARYX's 6.08% return. Over the past 10 years, QGMIX has underperformed FARYX with an annualized return of 3.62%, while FARYX has yielded a comparatively higher 5.27% 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%
FARYX
- 1D
- -0.19%
- 1M
- -1.60%
- YTD
- 6.08%
- 6M
- 9.13%
- 1Y
- 19.59%
- 3Y*
- 9.84%
- 5Y*
- 5.75%
- 10Y*
- 5.27%
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QGMIX vs. FARYX - Expense Ratio Comparison
QGMIX has a 1.20% expense ratio, which is higher than FARYX's 1.04% expense ratio.
Return for Risk
QGMIX vs. FARYX — Risk / Return Rank
QGMIX
FARYX
QGMIX vs. FARYX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Macro Opportunities Fund (QGMIX) and Fulcrum Diversified Absolute Return Fund (FARYX). 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 | FARYX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | -0.13 | 2.56 | -2.69 |
Sortino ratioReturn per unit of downside risk | -0.12 | 3.66 | -3.77 |
Omega ratioGain probability vs. loss probability | 0.98 | 1.47 | -0.49 |
Calmar ratioReturn relative to maximum drawdown | -0.18 | 6.28 | -6.46 |
Martin ratioReturn relative to average drawdown | -0.44 | 21.12 | -21.56 |
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 | FARYX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.13 | 2.56 | -2.69 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.45 | 0.92 | -0.46 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.43 | 0.92 | -0.48 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.41 | 0.87 | -0.46 |
Correlation
The correlation between QGMIX and FARYX is 0.17, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Dividends
QGMIX vs. FARYX - Dividend Comparison
QGMIX's dividend yield for the trailing twelve months is around 1.41%, less than FARYX's 6.77% 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% |
FARYX Fulcrum Diversified Absolute Return Fund | 6.77% | 7.18% | 4.39% | 0.89% | 1.28% | 8.96% | 7.79% | 0.63% | 8.88% | 3.39% | 0.40% | 0.00% |
Drawdowns
QGMIX vs. FARYX - Drawdown Comparison
The maximum QGMIX drawdown since its inception was -13.48%, which is greater than FARYX's maximum drawdown of -7.41%. Use the drawdown chart below to compare losses from any high point for QGMIX and FARYX.
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Drawdown Indicators
| QGMIX | FARYX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -13.48% | -7.41% | -6.07% |
Max Drawdown (1Y)Largest decline over 1 year | -8.68% | -3.26% | -5.42% |
Max Drawdown (5Y)Largest decline over 5 years | -13.48% | -6.87% | -6.61% |
Max Drawdown (10Y)Largest decline over 10 years | -13.48% | -7.41% | -6.07% |
Current DrawdownCurrent decline from peak | -3.09% | -2.42% | -0.67% |
Average DrawdownAverage peak-to-trough decline | -3.95% | -1.85% | -2.10% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.47% | 0.97% | +2.50% |
Volatility
QGMIX vs. FARYX - Volatility Comparison
The current volatility for AQR Macro Opportunities Fund (QGMIX) is 2.20%, while Fulcrum Diversified Absolute Return Fund (FARYX) has a volatility of 2.71%. This indicates that QGMIX experiences smaller price fluctuations and is considered to be less risky than FARYX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| QGMIX | FARYX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.20% | 2.71% | -0.51% |
Volatility (6M)Calculated over the trailing 6-month period | 4.32% | 6.46% | -2.14% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.83% | 7.89% | -0.06% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.98% | 6.30% | +3.68% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 8.37% | 5.75% | +2.62% |