QMFIX vs. GAAVX

Last updated Jun 4, 2026

QMFIX (AQR MS Fusion Fund Class I) and GAAVX (GMO Alternative Allocation Fund) are both Multistrategy funds. At a 0.03 correlation, their price movements are largely independent. QMFIX charges 3.55%/yr vs 0.61%/yr for GAAVX.

Performance

QMFIX vs. GAAVX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AQR MS Fusion Fund Class I (QMFIX) and GMO Alternative Allocation Fund (GAAVX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, QMFIX achieves a 11.51% return, which is significantly higher than GAAVX's 1.26% return.

QMFIX

• 1D: 0.16%
• 1M: 8.39%
• YTD: 11.51%
• 6M: 13.71%
• 1Y: —
• 3Y*: —
• 5Y*: —
• 10Y*: —

GAAVX

• 1D: -0.05%
• 1M: -0.22%
• YTD: 1.26%
• 6M: 3.25%
• 1Y: 13.95%
• 3Y*: 5.68%
• 5Y*: 2.38%
• 10Y*: —

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

QMFIX vs. GAAVX - Yearly Performance Comparison

	2026 (YTD)	2025
QMFIX AQR MS Fusion Fund Class I	11.51%	3.63%
GAAVX GMO Alternative Allocation Fund	1.26%	5.71%

Correlation

The correlation between QMFIX and GAAVX is 0.03, 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 (All Time) Calculated using the full available price history since Nov 7, 2025	0.03

Return for Risk

QMFIX vs. GAAVX — Risk / Return Rank

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

GAAVX

GAAVX Risk / Return Rank: 66
GAAVX Sharpe Ratio Rank: 56
GAAVX Sortino Ratio Rank: 74
GAAVX Omega Ratio Rank: 56
GAAVX Calmar Ratio Rank: 87
GAAVX Martin Ratio Rank: 60

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.

QMFIX vs. GAAVX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for AQR MS Fusion Fund Class I (QMFIX) and GMO Alternative Allocation Fund (GAAVX). 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.

Risk / return metrics aren't available yet — we need at least 12 months of trading data to calculate them.

Sharpe Ratios by Period

	QMFIX	GAAVX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	—	2.19	—
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	—	0.41	—
Sharpe Ratio (All Time) Calculated using the full available price history	2.17	0.41	+1.76

Drawdowns

QMFIX vs. GAAVX - Drawdown Comparison

The maximum QMFIX drawdown since its inception was -10.27%, which is greater than GAAVX's maximum drawdown of -9.59%. Use the drawdown chart below to compare losses from any high point for QMFIX and GAAVX.

Drawdown Indicators

	QMFIX	GAAVX	Difference
Max Drawdown Largest peak-to-trough decline	-10.27%	-9.59%	-0.68%
Max Drawdown (1Y) Largest decline over 1 year	—	-3.39%	—
Max Drawdown (3Y) Largest decline over 3 years	—	-7.73%	—
Max Drawdown (5Y) Largest decline over 5 years	—	-9.59%	—
Current Drawdown Current decline from peak	0.00%	-3.18%	+3.18%
Average Drawdown Average peak-to-trough decline	-2.25%	-3.08%	+0.83%
Ulcer Index Depth and duration of drawdowns from previous peaks	—	1.20%	—

Volatility

Volatility by Period

	QMFIX	GAAVX	Difference
Volatility (1M) Calculated over the trailing 1-month period	—	1.95%	—
Volatility (6M) Calculated over the trailing 6-month period	—	4.92%	—
Volatility (1Y) Calculated over the trailing 1-year period	14.32%	6.51%	+7.81%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	14.32%	5.88%	+8.44%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	14.32%	5.90%	+8.42%

QMFIX vs. GAAVX - Expense Ratio Comparison

QMFIX has a 3.55% expense ratio, which is higher than GAAVX's 0.61% expense ratio.

Dividends

QMFIX vs. GAAVX - Dividend Comparison

QMFIX's dividend yield for the trailing twelve months is around 0.41%, less than GAAVX's 8.67% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019
GAAVX GMO Alternative Allocation Fund	8.67%	8.78%	0.00%	5.18%	0.91%	4.10%	2.41%	2.61%
QMFIX AQR MS Fusion Fund Class I	0.41%	0.46%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both QMFIX and GAAVX in my portfolio?

QMFIX and GAAVX have a correlation of 0.03, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.