QLEIX vs. AQMIX
QLEIX (AQR Long-Short Equity Fund) and AQMIX (AQR Managed Futures Strategy Fund) are both mutual funds - QLEIX is a Long-Short fund actively managed by AQR Funds, while AQMIX is a Systematic Trend fund managed by AQR Funds. Over the past 10 years, QLEIX returned 12.26%/yr vs 4.55%/yr for AQMIX. At a 0.17 correlation, their price movements are largely independent. QLEIX charges 1.30%/yr vs 1.25%/yr for AQMIX.
Performance
QLEIX vs. AQMIX - Performance Comparison
Loading charts...
Returns By Period
In the year-to-date period, QLEIX achieves a -0.52% return, which is significantly lower than AQMIX's 11.91% return. Over the past 10 years, QLEIX has outperformed AQMIX with an annualized return of 12.26%, while AQMIX has yielded a comparatively lower 4.55% annualized return.
QLEIX
- 1D
- 0.19%
- 1M
- 1.15%
- YTD
- -0.52%
- 6M
- -1.13%
- 1Y
- 15.49%
- 3Y*
- 25.79%
- 5Y*
- 23.47%
- 10Y*
- 12.26%
AQMIX
- 1D
- 1.13%
- 1M
- -0.37%
- YTD
- 11.91%
- 6M
- 12.39%
- 1Y
- 25.63%
- 3Y*
- 11.91%
- 5Y*
- 13.30%
- 10Y*
- 4.55%
QLEIX vs. AQMIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
QLEIX AQR Long-Short Equity Fund | -0.52% | 34.43% | 30.50% | 23.95% | 19.18% | 31.10% | -13.92% | 1.19% | -16.33% | 15.74% |
AQMIX AQR Managed Futures Strategy Fund | 11.91% | 14.62% | 8.13% | 2.08% | 35.47% | -1.04% | -0.43% | 1.92% | -8.88% | -0.97% |
Correlation
The correlation between QLEIX and AQMIX is 0.33, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.33 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.27 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.22 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.19 |
Correlation (All Time) Calculated using the full available price history since Jan 2, 2014 | 0.17 |
The correlation between QLEIX and AQMIX shifts across timeframes, from 0.17 (all time) to 0.33 (1 year), reflecting how their relationship changes across market environments.
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
Return for Risk
QLEIX vs. AQMIX — Risk / Return Rank
QLEIX
AQMIX
QLEIX vs. AQMIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Long-Short Equity Fund (QLEIX) and AQR Managed Futures Strategy Fund (AQMIX). 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.
| QLEIX | AQMIX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.77 | ||
| Sortino ratioReturn per unit of downside risk | -0.85 | ||
| Omega ratioGain probability vs. loss probability | 1.40 | 1.52 | -0.12 |
| Calmar ratioReturn relative to maximum drawdown | 2.64 | 8.58 | -5.94 |
| Martin ratioReturn relative to average drawdown | 8.20 | 25.60 | -17.40 |
Loading charts...
Drawdowns
QLEIX vs. AQMIX - Drawdown Comparison
The maximum QLEIX drawdown since its inception was -38.11%, which is greater than AQMIX's maximum drawdown of -26.52%. Use the drawdown chart below to compare losses from any high point for QLEIX and AQMIX.
Loading charts...
Drawdown Indicators
| QLEIX | AQMIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -38.11% | -26.52% | -11.59% |
Max Drawdown (1Y)Largest decline over 1 year | -6.01% | -3.03% | -2.98% |
Max Drawdown (3Y)Largest decline over 3 years | -7.07% | -13.57% | +6.50% |
Max Drawdown (5Y)Largest decline over 5 years | -17.07% | -13.57% | -3.50% |
Max Drawdown (10Y)Largest decline over 10 years | -38.11% | -23.34% | -14.77% |
Current DrawdownCurrent decline from peak | -1.13% | -1.65% | +0.52% |
Average DrawdownAverage peak-to-trough decline | -7.70% | -9.98% | +2.28% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.93% | 1.01% | +0.92% |
Volatility
QLEIX vs. AQMIX - Volatility Comparison
AQR Long-Short Equity Fund (QLEIX) and AQR Managed Futures Strategy Fund (AQMIX) have volatilities of 2.82% and 2.83%, 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.
Loading charts...
Volatility by Period
| QLEIX | AQMIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.82% | 2.83% | -0.01% |
Volatility (6M)Calculated over the trailing 6-month period | 5.76% | 6.82% | -1.06% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.37% | 8.90% | -1.53% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 10.02% | 11.60% | -1.58% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 10.59% | 10.36% | +0.23% |
QLEIX vs. AQMIX - Expense Ratio Comparison
QLEIX has a 1.30% expense ratio, which is higher than AQMIX's 1.25% expense ratio.
Dividends
QLEIX vs. AQMIX - Dividend Comparison
QLEIX's dividend yield for the trailing twelve months is around 1.76%, less than AQMIX's 2.02% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
AQMIX AQR Managed Futures Strategy Fund | 2.02% | 2.26% | 3.83% | 8.39% | 12.76% | 6.94% | 5.31% | 3.13% | 0.00% | 0.00% | 0.02% | 6.51% |
QLEIX AQR Long-Short Equity Fund | 1.76% | 1.75% | 7.12% | 20.88% | 14.15% | 0.00% | 1.57% | 0.00% | 6.03% | 9.11% | 3.01% | 4.98% |
Frequently Asked Questions
QLEIX and AQMIX have a correlation of 0.33, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
AQMIX has higher volatility (2.83%) compared to QLEIX (2.82%). In terms of maximum drawdown, QLEIX dropped -38.11% vs AQMIX's -26.52%.
AQMIX currently has the higher Sharpe Ratio (2.93 vs 2.16), 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.
Find the right allocation for QLEIX and AQMIX
Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
Open Portfolio Optimizer