QGMIX vs. QMHIX

Last updated Jun 4, 2026

QGMIX (AQR Macro Opportunities Fund) and QMHIX (AQR Managed Futures Strategy HV Fund) are both mutual funds - QGMIX is a Macro Trading fund managed by AQR Funds, while QMHIX is a Systematic Trend fund managed by AQR Funds. Over the past 10 years, QGMIX returned 4.20%/yr vs 5.74%/yr for QMHIX. At a 0.44 correlation, their price movements are largely independent. QGMIX charges 1.20%/yr vs 1.65%/yr for QMHIX.

Performance

QGMIX vs. QMHIX - Performance Comparison

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

Returns By Period

In the year-to-date period, QGMIX achieves a 1.84% return, which is significantly lower than QMHIX's 17.77% return. Over the past 10 years, QGMIX has underperformed QMHIX with an annualized return of 4.20%, while QMHIX has yielded a comparatively higher 5.74% annualized return.

QGMIX

• 1D: 0.30%
• 1M: -0.60%
• YTD: 1.84%
• 6M: 2.38%
• 1Y: 2.58%
• 3Y*: 3.16%
• 5Y*: 4.62%
• 10Y*: 4.20%

QMHIX

• 1D: 0.78%
• 1M: 1.31%
• YTD: 17.77%
• 6M: 21.56%
• 1Y: 33.93%
• 3Y*: 16.36%
• 5Y*: 16.27%
• 10Y*: 5.74%

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

QGMIX vs. QMHIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
QGMIX AQR Macro Opportunities Fund	1.84%	4.00%	-0.95%	0.01%	29.30%	-4.54%	1.60%	4.90%	7.80%	-3.38%
QMHIX AQR Managed Futures Strategy HV Fund	17.77%	19.97%	10.78%	-0.17%	50.14%	-2.08%	-0.73%	1.82%	-14.44%	-1.72%

Correlation

The correlation between QGMIX and QMHIX is 0.58, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.58
Correlation (3Y) Calculated over the trailing 3-year period	0.44
Correlation (5Y) Calculated over the trailing 5-year period	0.51
Correlation (10Y) Calculated over the trailing 10-year period	0.43
Correlation (All Time) Calculated using the full available price history since Jan 5, 2015	0.44

The correlation between QGMIX and QMHIX shifts across timeframes, from 0.43 (10 years) to 0.58 (1 year), reflecting how their relationship changes across market environments.

Return for Risk

QGMIX vs. QMHIX — 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: 6
QGMIX Omega Ratio Rank: 5
QGMIX Calmar Ratio Rank: 7
QGMIX Martin Ratio Rank: 6

QMHIX

QMHIX Risk / Return Rank: 82
QMHIX Sharpe Ratio Rank: 84
QMHIX Sortino Ratio Rank: 70
QMHIX Omega Ratio Rank: 68
QMHIX Calmar Ratio Rank: 97
QMHIX Martin Ratio Rank: 94

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. QMHIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for AQR Macro Opportunities Fund (QGMIX) and AQR Managed Futures Strategy HV Fund (QMHIX). 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	QMHIX	Difference
Sharpe ratio: Return per unit of total volatility	0.49	2.70	-2.21
Sortino ratio: Return per unit of downside risk	0.72	3.48	-2.76
Omega ratio: Gain probability vs. loss probability	1.08	1.46	-0.38
Calmar ratio: Return relative to maximum drawdown	0.73	7.09	-6.36
Martin ratio: Return relative to average drawdown	1.48	20.87	-19.39
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. QMHIX - Sharpe Ratio Comparison

The current QGMIX Sharpe Ratio is 0.49, which is lower than the QMHIX Sharpe Ratio of 2.70. The chart below compares the historical Sharpe Ratios of QGMIX and QMHIX, 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	QMHIX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.49	2.70	-2.21
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.47	0.94	-0.48
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.50	0.37	+0.13
Sharpe Ratio (All Time) Calculated using the full available price history	0.41	0.38	+0.03

Drawdowns

QGMIX vs. QMHIX - Drawdown Comparison

The maximum QGMIX drawdown since its inception was -13.48%, smaller than the maximum QMHIX drawdown of -39.37%. Use the drawdown chart below to compare losses from any high point for QGMIX and QMHIX.

Drawdown Indicators

	QGMIX	QMHIX	Difference
Max Drawdown Largest peak-to-trough decline	-13.48%	-39.37%	+25.89%
Max Drawdown (1Y) Largest decline over 1 year	-4.01%	-4.83%	+0.82%
Max Drawdown (3Y) Largest decline over 3 years	-13.48%	-19.06%	+5.58%
Max Drawdown (5Y) Largest decline over 5 years	-13.48%	-19.06%	+5.58%
Max Drawdown (10Y) Largest decline over 10 years	-13.48%	-34.54%	+21.06%
Current Drawdown Current decline from peak	-2.90%	-1.02%	-1.88%
Average Drawdown Average peak-to-trough decline	-3.94%	-17.82%	+13.88%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.96%	1.63%	+0.33%

Volatility

QGMIX vs. QMHIX - Volatility Comparison

The current volatility for AQR Macro Opportunities Fund (QGMIX) is 1.58%, while AQR Managed Futures Strategy HV Fund (QMHIX) has a volatility of 3.69%. This indicates that QGMIX experiences smaller price fluctuations and is considered to be less risky than QMHIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	QGMIX	QMHIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.58%	3.69%	-2.11%
Volatility (6M) Calculated over the trailing 6-month period	4.22%	9.70%	-5.48%
Volatility (1Y) Calculated over the trailing 1-year period	5.97%	12.74%	-6.77%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	9.93%	17.35%	-7.42%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	8.37%	15.51%	-7.14%

QGMIX vs. QMHIX - Expense Ratio Comparison

QGMIX has a 1.20% expense ratio, which is lower than QMHIX's 1.65% expense ratio.

Dividends

QGMIX vs. QMHIX - Dividend Comparison

QGMIX's dividend yield for the trailing twelve months is around 1.41%, less than QMHIX's 1.74% yield.

Position	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%
QMHIX AQR Managed Futures Strategy HV Fund	1.74%	2.05%	2.31%	7.66%	9.34%	10.96%	9.52%	4.18%	0.00%	0.00%	0.01%	7.57%

Frequently Asked Questions

Can I hold both QGMIX and QMHIX in my portfolio?

QGMIX and QMHIX have a correlation of 0.58, 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 QMHIX?

QMHIX has higher volatility (3.69%) compared to QGMIX (1.58%). In terms of maximum drawdown, QGMIX dropped -13.48% vs QMHIX's -39.37%.

Which has better risk-adjusted returns?

QMHIX currently has the higher Sharpe Ratio (2.70 vs 0.49), 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.