QGMIX vs. QNZNX
QGMIX (AQR Macro Opportunities Fund) and QNZNX (AQR Trend Total Return Fund) are both mutual funds - QGMIX is a Macro Trading fund managed by AQR Funds, while QNZNX is a Systematic Trend fund actively managed by AQR Funds. Over the past 3 years, QGMIX returned 1.84%/yr vs 28.10%/yr for QNZNX. At a 0.18 correlation, their price movements are largely independent. QGMIX charges 1.20%/yr vs 1.52%/yr for QNZNX.
Performance
QGMIX vs. QNZNX - 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 QNZNX's 13.35% 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%
QNZNX
- 1D
- -0.76%
- 1M
- -1.09%
- 6M
- 9.46%
- YTD
- 13.35%
- 1Y
- 30.46%
- 3Y*
- 28.10%
- 5Y*
- —
- 10Y*
- —
QGMIX vs. QNZNX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | |
|---|---|---|---|---|---|
QGMIX AQR Macro Opportunities Fund | -0.72% | 4.00% | -0.95% | 0.01% | 15.81% |
QNZNX AQR Trend Total Return Fund | 13.35% | 22.88% | 34.96% | 22.73% | 1.37% |
Correlation
The correlation between QGMIX and QNZNX is 0.48, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.48 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.27 |
Correlation (All Time) Calculated using the full available price history since Mar 17, 2022 | 0.18 |
Over the past year, QGMIX and QNZNX have become more correlated (0.48) than their long-term average of 0.18, meaning their price movements have been converging.
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Return for Risk
QGMIX vs. QNZNX — Risk / Return Rank
QGMIX
QNZNX
QGMIX vs. QNZNX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Macro Opportunities Fund (QGMIX) and AQR Trend Total Return Fund (QNZNX). 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 | QNZNX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -2.85 | ||
| Sortino ratioReturn per unit of downside risk | -3.64 | ||
| Omega ratioGain probability vs. loss probability | 0.99 | 1.48 | -0.49 |
| Calmar ratioReturn relative to maximum drawdown | -0.13 | 4.77 | -4.90 |
| Martin ratioReturn relative to average drawdown | -0.29 | 16.58 | -16.87 |
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Drawdowns
QGMIX vs. QNZNX - Drawdown Comparison
The maximum QGMIX drawdown since its inception was -13.48%, smaller than the maximum QNZNX drawdown of -18.38%. Use the drawdown chart below to compare losses from any high point for QGMIX and QNZNX.
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Drawdown Indicators
| QGMIX | QNZNX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -13.48% | -18.38% | +4.90% |
Max Drawdown (1Y)Largest decline over 1 year | -5.28% | -6.58% | +1.30% |
Max Drawdown (3Y)Largest decline over 3 years | -13.48% | -13.48% | 0.00% |
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% | -4.42% | -0.92% |
Average DrawdownAverage peak-to-trough decline | -3.94% | -2.81% | -1.13% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.44% | 1.89% | +0.55% |
Volatility
QGMIX vs. QNZNX - Volatility Comparison
The current volatility for AQR Macro Opportunities Fund (QGMIX) is 1.32%, while AQR Trend Total Return Fund (QNZNX) has a volatility of 3.99%. This indicates that QGMIX experiences smaller price fluctuations and is considered to be less risky than QNZNX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| QGMIX | QNZNX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.32% | 3.99% | -2.67% |
Volatility (6M)Calculated over the trailing 6-month period | 4.08% | 7.95% | -3.87% |
Volatility (1Y)Calculated over the trailing 1-year period | 5.79% | 11.48% | -5.69% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.84% | 12.10% | -2.26% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 8.37% | 12.10% | -3.73% |
QGMIX vs. QNZNX - Expense Ratio Comparison
QGMIX has a 1.20% expense ratio, which is lower than QNZNX's 1.52% expense ratio.
Dividends
QGMIX vs. QNZNX - Dividend Comparison
QGMIX's dividend yield for the trailing twelve months is around 1.45%, more than QNZNX's 0.76% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
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% |
QNZNX AQR Trend Total Return Fund | 0.76% | 0.86% | 16.46% | 23.14% | 2.04% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
QGMIX and QNZNX have a correlation of 0.48, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
QNZNX has higher volatility (3.99%) compared to QGMIX (1.32%). In terms of maximum drawdown, QGMIX dropped -13.48% vs QNZNX's -18.38%.
QNZNX currently has the higher Sharpe Ratio (2.73 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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