QGMIX vs. PCBAX

Last updated Jun 5, 2026

QGMIX (AQR Macro Opportunities Fund) and PCBAX (BlackRock Tactical Opportunities Fund) are both Macro Trading funds. Over the past 10 years, QGMIX returned 4.21%/yr vs 5.80%/yr for PCBAX. At a 0.12 correlation, their price movements are largely independent. QGMIX charges 1.20%/yr vs 1.08%/yr for PCBAX.

Performance

QGMIX vs. PCBAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AQR Macro Opportunities Fund (QGMIX) and BlackRock Tactical Opportunities Fund (PCBAX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, QGMIX achieves a 1.94% return, which is significantly lower than PCBAX's 9.79% return. Over the past 10 years, QGMIX has underperformed PCBAX with an annualized return of 4.21%, while PCBAX has yielded a comparatively higher 5.80% annualized return.

QGMIX

• 1D: 0.10%
• 1M: 0.00%
• YTD: 1.94%
• 6M: 2.17%
• 1Y: 2.48%
• 3Y*: 3.20%
• 5Y*: 4.75%
• 10Y*: 4.21%

PCBAX

• 1D: 0.12%
• 1M: 1.01%
• YTD: 9.79%
• 6M: 10.65%
• 1Y: 12.92%
• 3Y*: 9.94%
• 5Y*: 6.97%
• 10Y*: 5.80%

*Multi-year figures are annualized to reflect compound growth (CAGR)

QGMIX vs. PCBAX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
QGMIX AQR Macro Opportunities Fund	1.94%	4.00%	-0.95%	0.01%	29.30%	-4.54%	1.60%	4.90%	7.80%	-3.38%
PCBAX BlackRock Tactical Opportunities Fund	9.79%	6.16%	11.77%	2.37%	5.77%	0.29%	6.50%	1.41%	4.32%	7.71%

Correlation

The correlation between QGMIX and PCBAX is 0.04, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.04
Correlation (3Y) Calculated over the trailing 3-year period	0.14
Correlation (5Y) Calculated over the trailing 5-year period	0.19
Correlation (10Y) Calculated over the trailing 10-year period	0.14
Correlation (All Time) Calculated using the full available price history since Jan 5, 2015	0.12

The correlation between QGMIX and PCBAX shifts across timeframes, from 0.04 (1 year) to 0.19 (5 years), reflecting how their relationship changes across market environments.

Return for Risk

QGMIX vs. PCBAX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

QGMIX

QGMIX Risk / Return Rank: 6
QGMIX Sharpe Ratio Rank: 6
QGMIX Sortino Ratio Rank: 5
QGMIX Omega Ratio Rank: 5
QGMIX Calmar Ratio Rank: 7
QGMIX Martin Ratio Rank: 6

PCBAX

PCBAX Risk / Return Rank: 63
PCBAX Sharpe Ratio Rank: 57
PCBAX Sortino Ratio Rank: 63
PCBAX Omega Ratio Rank: 60
PCBAX Calmar Ratio Rank: 87
PCBAX Martin Ratio Rank: 50

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

QGMIX vs. PCBAX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for AQR Macro Opportunities Fund (QGMIX) and BlackRock Tactical Opportunities Fund (PCBAX). 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	PCBAX	Difference
Sharpe ratio: Return per unit of total volatility	0.45	2.20	-1.75
Sortino ratio: Return per unit of downside risk	0.67	3.29	-2.62
Omega ratio: Gain probability vs. loss probability	1.08	1.43	-0.35
Calmar ratio: Return relative to maximum drawdown	0.67	4.20	-3.52
Martin ratio: Return relative to average drawdown	1.37	10.15	-8.78
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

QGMIX vs. PCBAX - Sharpe Ratio Comparison

The current QGMIX Sharpe Ratio is 0.45, which is lower than the PCBAX Sharpe Ratio of 2.20. The chart below compares the historical Sharpe Ratios of QGMIX and PCBAX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	QGMIX	PCBAX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.45	2.20	-1.75
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.48	1.08	-0.60
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.50	0.95	-0.44
Sharpe Ratio (All Time) Calculated using the full available price history	0.41	0.58	-0.17

Drawdowns

QGMIX vs. PCBAX - Drawdown Comparison

The maximum QGMIX drawdown since its inception was -13.48%, smaller than the maximum PCBAX drawdown of -39.55%. Use the drawdown chart below to compare losses from any high point for QGMIX and PCBAX.

Drawdown Indicators

	QGMIX	PCBAX	Difference
Max Drawdown Largest peak-to-trough decline	-13.48%	-39.55%	+26.07%
Max Drawdown (1Y) Largest decline over 1 year	-4.01%	-3.04%	-0.97%
Max Drawdown (3Y) Largest decline over 3 years	-13.48%	-6.75%	-6.73%
Max Drawdown (5Y) Largest decline over 5 years	-13.48%	-6.75%	-6.73%
Max Drawdown (10Y) Largest decline over 10 years	-13.48%	-9.00%	-4.48%
Current Drawdown Current decline from peak	-2.80%	-0.35%	-2.45%
Average Drawdown Average peak-to-trough decline	-3.94%	-4.37%	+0.43%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.96%	1.25%	+0.71%

Volatility

QGMIX vs. PCBAX - Volatility Comparison

AQR Macro Opportunities Fund (QGMIX) and BlackRock Tactical Opportunities Fund (PCBAX) have volatilities of 1.46% and 1.41%, 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.

Volatility by Period

	QGMIX	PCBAX	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.46%	1.41%	+0.05%
Volatility (6M) Calculated over the trailing 6-month period	4.22%	4.83%	-0.61%
Volatility (1Y) Calculated over the trailing 1-year period	5.95%	5.79%	+0.16%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	9.92%	6.47%	+3.45%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	8.37%	6.13%	+2.24%

QGMIX vs. PCBAX - Expense Ratio Comparison

QGMIX has a 1.20% expense ratio, which is higher than PCBAX's 1.08% expense ratio.

Dividends

QGMIX vs. PCBAX - Dividend Comparison

QGMIX's dividend yield for the trailing twelve months is around 1.41%, while PCBAX has not paid dividends to shareholders.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
PCBAX BlackRock Tactical Opportunities Fund	0.00%	0.00%	0.00%	11.67%	3.36%	0.00%	2.44%	3.08%	9.91%	0.80%	1.41%	4.86%
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%

Frequently Asked Questions

Can I hold both QGMIX and PCBAX in my portfolio?

QGMIX and PCBAX have a correlation of 0.04, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, QGMIX or PCBAX?

QGMIX has higher volatility (1.46%) compared to PCBAX (1.41%). In terms of maximum drawdown, QGMIX dropped -13.48% vs PCBAX's -39.55%.

Which has better risk-adjusted returns?

PCBAX currently has the higher Sharpe Ratio (2.20 vs 0.45), 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.