QGMIX vs. HFGM
QGMIX (AQR Macro Opportunities Fund) and HFGM (Unlimited HFGM Global Macro ETF) are both Macro Trading funds. Over the past year, QGMIX returned -0.50% vs 24.94% for HFGM. At a 0.21 correlation, their price movements are largely independent. QGMIX charges 1.20%/yr vs 0.95%/yr for HFGM.
Performance
QGMIX vs. HFGM - 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 HFGM's 6.10% return.
QGMIX
- 1D
- 0.10%
- 1M
- -1.32%
- 6M
- -2.90%
- YTD
- -0.72%
- 1Y
- -0.50%
- 3Y*
- 1.84%
- 5Y*
- 4.56%
- 10Y*
- 3.63%
HFGM
- 1D
- -0.01%
- 1M
- -2.83%
- 6M
- -1.41%
- YTD
- 6.10%
- 1Y
- 24.94%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
QGMIX vs. HFGM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | |
|---|---|---|
QGMIX AQR Macro Opportunities Fund | -0.72% | 4.99% |
HFGM Unlimited HFGM Global Macro ETF | 6.10% | 26.88% |
Correlation
The correlation between QGMIX and HFGM is 0.21, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.21 |
Correlation (All Time) Calculated using the full available price history since Apr 15, 2025 | 0.21 |
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Return for Risk
QGMIX vs. HFGM — Risk / Return Rank
QGMIX
HFGM
QGMIX vs. HFGM - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Macro Opportunities Fund (QGMIX) and Unlimited HFGM Global Macro ETF (HFGM). 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 | HFGM | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.20 | ||
| Sortino ratioReturn per unit of downside risk | -1.67 | ||
| Omega ratioGain probability vs. loss probability | 0.99 | 1.20 | -0.21 |
| Calmar ratioReturn relative to maximum drawdown | -0.13 | 1.66 | -1.79 |
| Martin ratioReturn relative to average drawdown | -0.29 | 4.48 | -4.77 |
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Drawdowns
QGMIX vs. HFGM - Drawdown Comparison
The maximum QGMIX drawdown since its inception was -13.48%, smaller than the maximum HFGM drawdown of -15.09%. Use the drawdown chart below to compare losses from any high point for QGMIX and HFGM.
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Drawdown Indicators
| QGMIX | HFGM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -13.48% | -15.09% | +1.61% |
Max Drawdown (1Y)Largest decline over 1 year | -5.28% | -15.09% | +9.81% |
Max Drawdown (3Y)Largest decline over 3 years | -13.48% | — | — |
Max Drawdown (5Y)Largest decline over 5 years | -13.48% | — | — |
Max Drawdown (10Y)Largest decline over 10 years | -13.48% | — | — |
Current DrawdownCurrent decline from peak | -5.34% | -12.58% | +7.24% |
Average DrawdownAverage peak-to-trough decline | -3.94% | -3.49% | -0.45% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.44% | 5.58% | -3.14% |
Volatility
QGMIX vs. HFGM - Volatility Comparison
The current volatility for AQR Macro Opportunities Fund (QGMIX) is 1.32%, while Unlimited HFGM Global Macro ETF (HFGM) has a volatility of 6.26%. This indicates that QGMIX experiences smaller price fluctuations and is considered to be less risky than HFGM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| QGMIX | HFGM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.32% | 6.26% | -4.94% |
Volatility (6M)Calculated over the trailing 6-month period | 4.08% | 17.34% | -13.26% |
Volatility (1Y)Calculated over the trailing 1-year period | 5.79% | 23.31% | -17.52% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.84% | 21.71% | -11.87% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 8.37% | 21.71% | -13.34% |
QGMIX vs. HFGM - Expense Ratio Comparison
QGMIX has a 1.20% expense ratio, which is higher than HFGM's 0.95% expense ratio.
Dividends
QGMIX vs. HFGM - Dividend Comparison
QGMIX's dividend yield for the trailing twelve months is around 1.45%, less than HFGM's 10.59% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
HFGM Unlimited HFGM Global Macro ETF | 10.59% | 11.23% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
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 HFGM have a correlation of 0.21, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
HFGM has higher volatility (6.26%) compared to QGMIX (1.32%). In terms of maximum drawdown, QGMIX dropped -13.48% vs HFGM's -15.09%.
HFGM currently has the higher Sharpe Ratio (1.07 vs -0.12), 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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