QMHIX vs. ABYAX
Compare and contrast key facts about AQR Managed Futures Strategy HV Fund (QMHIX) and Abbey Capital Futures Strategy Fund Class A (ABYAX).
QMHIX is managed by AQR Funds. It was launched on Jul 15, 2013. ABYAX is managed by Abbey Capital. It was launched on Aug 29, 2014.
Performance
QMHIX vs. ABYAX - Performance Comparison
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QMHIX vs. ABYAX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
QMHIX AQR Managed Futures Strategy HV Fund | 14.62% | 19.97% | 10.78% | -0.17% | 50.14% | -2.08% | -0.73% | 1.82% | -14.44% | -1.72% |
ABYAX Abbey Capital Futures Strategy Fund Class A | 4.46% | 1.47% | 0.77% | -3.55% | 16.76% | 3.19% | 7.59% | 8.65% | -6.49% | -0.26% |
Returns By Period
In the year-to-date period, QMHIX achieves a 14.62% return, which is significantly higher than ABYAX's 4.46% return. Over the past 10 years, QMHIX has outperformed ABYAX with an annualized return of 5.02%, while ABYAX has yielded a comparatively lower 2.58% annualized return.
QMHIX
- 1D
- -0.62%
- 1M
- 2.92%
- YTD
- 14.62%
- 6M
- 19.29%
- 1Y
- 27.61%
- 3Y*
- 18.04%
- 5Y*
- 16.43%
- 10Y*
- 5.02%
ABYAX
- 1D
- 0.00%
- 1M
- -1.38%
- YTD
- 4.46%
- 6M
- 7.57%
- 1Y
- 8.17%
- 3Y*
- 2.13%
- 5Y*
- 3.46%
- 10Y*
- 2.58%
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QMHIX vs. ABYAX - Expense Ratio Comparison
QMHIX has a 1.65% expense ratio, which is lower than ABYAX's 2.04% expense ratio.
Return for Risk
QMHIX vs. ABYAX — Risk / Return Rank
QMHIX
ABYAX
QMHIX vs. ABYAX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Managed Futures Strategy HV Fund (QMHIX) and Abbey Capital Futures Strategy Fund Class A (ABYAX). 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.
| QMHIX | ABYAX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 2.01 | 1.02 | +0.99 |
Sortino ratioReturn per unit of downside risk | 2.45 | 1.45 | +1.00 |
Omega ratioGain probability vs. loss probability | 1.36 | 1.19 | +0.18 |
Calmar ratioReturn relative to maximum drawdown | 3.29 | 1.54 | +1.75 |
Martin ratioReturn relative to average drawdown | 8.79 | 3.04 | +5.75 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| QMHIX | ABYAX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.01 | 1.02 | +0.99 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.96 | 0.44 | +0.52 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.33 | 0.32 | 0.00 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.37 | 0.45 | -0.08 |
Correlation
The correlation between QMHIX and ABYAX is 0.75, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Dividends
QMHIX vs. ABYAX - Dividend Comparison
QMHIX's dividend yield for the trailing twelve months is around 1.79%, more than ABYAX's 1.22% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
QMHIX AQR Managed Futures Strategy HV Fund | 1.79% | 2.05% | 2.31% | 7.66% | 9.34% | 10.96% | 9.52% | 4.18% | 0.00% | 0.00% | 0.01% | 7.57% |
ABYAX Abbey Capital Futures Strategy Fund Class A | 1.22% | 1.27% | 1.68% | 0.99% | 15.33% | 3.57% | 1.36% | 8.50% | 0.00% | 0.00% | 0.00% | 0.06% |
Drawdowns
QMHIX vs. ABYAX - Drawdown Comparison
The maximum QMHIX drawdown since its inception was -39.37%, which is greater than ABYAX's maximum drawdown of -17.96%. Use the drawdown chart below to compare losses from any high point for QMHIX and ABYAX.
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Drawdown Indicators
| QMHIX | ABYAX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -39.37% | -17.96% | -21.41% |
Max Drawdown (1Y)Largest decline over 1 year | -8.34% | -4.30% | -4.04% |
Max Drawdown (5Y)Largest decline over 5 years | -19.06% | -15.23% | -3.83% |
Max Drawdown (10Y)Largest decline over 10 years | -34.54% | -15.23% | -19.31% |
Current DrawdownCurrent decline from peak | -0.62% | -3.92% | +3.30% |
Average DrawdownAverage peak-to-trough decline | -18.05% | -7.30% | -10.75% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.13% | 2.49% | +0.64% |
Volatility
QMHIX vs. ABYAX - Volatility Comparison
AQR Managed Futures Strategy HV Fund (QMHIX) has a higher volatility of 3.98% compared to Abbey Capital Futures Strategy Fund Class A (ABYAX) at 1.85%. This indicates that QMHIX's price experiences larger fluctuations and is considered to be riskier than ABYAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| QMHIX | ABYAX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.98% | 1.85% | +2.13% |
Volatility (6M)Calculated over the trailing 6-month period | 9.98% | 6.40% | +3.58% |
Volatility (1Y)Calculated over the trailing 1-year period | 14.16% | 7.63% | +6.53% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 17.26% | 7.98% | +9.28% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 15.50% | 7.98% | +7.52% |