QMHIX vs. ABYIX
Compare and contrast key facts about AQR Managed Futures Strategy HV Fund (QMHIX) and Abbey Capital Futures Strategy Fund Class I (ABYIX).
QMHIX is managed by AQR Funds. It was launched on Jul 15, 2013. ABYIX is managed by Abbey Capital. It was launched on Jul 1, 2014.
Performance
QMHIX vs. ABYIX - Performance Comparison
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QMHIX vs. ABYIX - 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% |
ABYIX Abbey Capital Futures Strategy Fund Class I | 4.62% | 1.62% | 1.11% | -3.29% | 17.06% | 3.39% | 7.92% | 8.84% | -6.15% | -0.09% |
Returns By Period
In the year-to-date period, QMHIX achieves a 14.62% return, which is significantly higher than ABYIX's 4.62% return. Over the past 10 years, QMHIX has outperformed ABYIX with an annualized return of 5.02%, while ABYIX has yielded a comparatively lower 2.84% 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%
ABYIX
- 1D
- 0.00%
- 1M
- -1.28%
- YTD
- 4.62%
- 6M
- 7.68%
- 1Y
- 8.38%
- 3Y*
- 2.42%
- 5Y*
- 3.73%
- 10Y*
- 2.84%
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QMHIX vs. ABYIX - Expense Ratio Comparison
QMHIX has a 1.65% expense ratio, which is lower than ABYIX's 1.79% expense ratio.
Return for Risk
QMHIX vs. ABYIX — Risk / Return Rank
QMHIX
ABYIX
QMHIX vs. ABYIX - 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 I (ABYIX). 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 | ABYIX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 2.01 | 1.06 | +0.95 |
Sortino ratioReturn per unit of downside risk | 2.45 | 1.51 | +0.95 |
Omega ratioGain probability vs. loss probability | 1.36 | 1.20 | +0.17 |
Calmar ratioReturn relative to maximum drawdown | 3.29 | 1.59 | +1.70 |
Martin ratioReturn relative to average drawdown | 8.79 | 3.20 | +5.59 |
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 | ABYIX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.01 | 1.06 | +0.95 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.96 | 0.47 | +0.49 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.33 | 0.36 | -0.03 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.37 | 0.53 | -0.16 |
Correlation
The correlation between QMHIX and ABYIX 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. ABYIX - Dividend Comparison
QMHIX's dividend yield for the trailing twelve months is around 1.79%, more than ABYIX's 1.27% 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% |
ABYIX Abbey Capital Futures Strategy Fund Class I | 1.27% | 1.33% | 2.10% | 2.03% | 15.24% | 3.68% | 1.54% | 8.70% | 0.14% | 0.00% | 0.00% | 0.24% |
Drawdowns
QMHIX vs. ABYIX - Drawdown Comparison
The maximum QMHIX drawdown since its inception was -39.37%, which is greater than ABYIX's maximum drawdown of -17.13%. Use the drawdown chart below to compare losses from any high point for QMHIX and ABYIX.
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Drawdown Indicators
| QMHIX | ABYIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -39.37% | -17.13% | -22.24% |
Max Drawdown (1Y)Largest decline over 1 year | -8.34% | -4.36% | -3.98% |
Max Drawdown (5Y)Largest decline over 5 years | -19.06% | -14.66% | -4.40% |
Max Drawdown (10Y)Largest decline over 10 years | -34.54% | -14.74% | -19.80% |
Current DrawdownCurrent decline from peak | -0.62% | -3.02% | +2.40% |
Average DrawdownAverage peak-to-trough decline | -18.05% | -6.74% | -11.31% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.13% | 2.43% | +0.70% |
Volatility
QMHIX vs. ABYIX - Volatility Comparison
AQR Managed Futures Strategy HV Fund (QMHIX) has a higher volatility of 3.98% compared to Abbey Capital Futures Strategy Fund Class I (ABYIX) at 1.96%. This indicates that QMHIX's price experiences larger fluctuations and is considered to be riskier than ABYIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| QMHIX | ABYIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.98% | 1.96% | +2.02% |
Volatility (6M)Calculated over the trailing 6-month period | 9.98% | 6.43% | +3.55% |
Volatility (1Y)Calculated over the trailing 1-year period | 14.16% | 7.65% | +6.51% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 17.26% | 8.01% | +9.25% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 15.50% | 8.00% | +7.50% |