QMHIX vs. AHLIX

Last updated Jun 24, 2026

QMHIX (AQR Managed Futures Strategy HV Fund) and AHLIX (American Beacon AHL Managed Futures Strategy Fund Class R5) are both Systematic Trend funds. Over the past 10 years, QMHIX returned 4.99%/yr vs 5.12%/yr for AHLIX. A 0.68 correlation means they provide meaningful diversification when combined. QMHIX charges 1.65%/yr vs 1.53%/yr for AHLIX.

Performance

QMHIX vs. AHLIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AQR Managed Futures Strategy HV Fund (QMHIX) and American Beacon AHL Managed Futures Strategy Fund Class R5 (AHLIX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, QMHIX achieves a 15.33% return, which is significantly higher than AHLIX's 12.70% return. Both investments have delivered pretty close results over the past 10 years, with QMHIX having a 4.99% annualized return and AHLIX not far ahead at 5.12%.

QMHIX

• 1D: 1.16%
• 1M: -0.96%
• YTD: 15.33%
• 6M: 16.25%
• 1Y: 34.04%
• 3Y*: 15.28%
• 5Y*: 17.07%
• 10Y*: 4.99%

AHLIX

• 1D: 0.75%
• 1M: 0.66%
• YTD: 12.70%
• 6M: 12.46%
• 1Y: 30.98%
• 3Y*: 4.98%
• 5Y*: 5.20%
• 10Y*: 5.12%

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

QMHIX vs. AHLIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
QMHIX AQR Managed Futures Strategy HV Fund	15.33%	19.97%	10.78%	-0.17%	50.14%	-2.08%	-0.73%	1.82%	-14.44%	-1.72%
AHLIX American Beacon AHL Managed Futures Strategy Fund Class R5	12.70%	2.59%	2.07%	-3.85%	16.94%	5.09%	10.71%	0.44%	2.52%	5.23%

Correlation

The correlation between QMHIX and AHLIX is 0.56, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.56
Correlation (3Y) Calculated over the trailing 3-year period	0.63
Correlation (5Y) Calculated over the trailing 5-year period	0.60
Correlation (10Y) Calculated over the trailing 10-year period	0.66
Correlation (All Time) Calculated using the full available price history since Jan 2, 2015	0.68

The correlation between QMHIX and AHLIX shifts across timeframes, from 0.56 (1 year) to 0.68 (all time), reflecting how their relationship changes across market environments.

Return for Risk

QMHIX vs. AHLIX — Risk / Return Rank

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

QMHIX

QMHIX Risk / Return Rank: 87
QMHIX Sharpe Ratio Rank: 88
QMHIX Sortino Ratio Rank: 79
QMHIX Omega Ratio Rank: 76
QMHIX Calmar Ratio Rank: 98
QMHIX Martin Ratio Rank: 95

AHLIX

AHLIX Risk / Return Rank: 91
AHLIX Sharpe Ratio Rank: 93
AHLIX Sortino Ratio Rank: 88
AHLIX Omega Ratio Rank: 85
AHLIX Calmar Ratio Rank: 97
AHLIX Martin Ratio Rank: 95

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.

QMHIX vs. AHLIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for AQR Managed Futures Strategy HV Fund (QMHIX) and American Beacon AHL Managed Futures Strategy Fund Class R5 (AHLIX). 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.

	QMHIX	AHLIX	Difference
Sharpe ratio: Return per unit of total volatility	2.67	2.90	-0.23
Sortino ratio: Return per unit of downside risk	3.44	3.88	-0.44
Omega ratio: Gain probability vs. loss probability	1.45	1.53	-0.08
Calmar ratio: Return relative to maximum drawdown	7.18	6.39	+0.78
Martin ratio: Return relative to average drawdown	20.80	20.09	+0.71

QMHIX vs. AHLIX - Sharpe Ratio Comparison

The current QMHIX Sharpe Ratio is 2.67, which is comparable to the AHLIX Sharpe Ratio of 2.90. The chart below compares the historical Sharpe Ratios of QMHIX and AHLIX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

QMHIX vs. AHLIX - Drawdown Comparison

The maximum QMHIX drawdown since its inception was -39.37%, which is greater than AHLIX's maximum drawdown of -21.62%. Use the drawdown chart below to compare losses from any high point for QMHIX and AHLIX.

Drawdown Indicators

	QMHIX	AHLIX	Difference
Max Drawdown Largest peak-to-trough decline	-39.37%	-21.62%	-17.75%
Max Drawdown (1Y) Largest decline over 1 year	-4.83%	-4.91%	+0.08%
Max Drawdown (3Y) Largest decline over 3 years	-19.06%	-21.62%	+2.56%
Max Drawdown (5Y) Largest decline over 5 years	-19.06%	-21.62%	+2.56%
Max Drawdown (10Y) Largest decline over 10 years	-34.54%	-21.62%	-12.92%
Current Drawdown Current decline from peak	-3.15%	-0.19%	-2.96%
Average Drawdown Average peak-to-trough decline	-17.75%	-6.54%	-11.21%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.66%	1.56%	+0.10%

Volatility

QMHIX vs. AHLIX - Volatility Comparison

AQR Managed Futures Strategy HV Fund (QMHIX) has a higher volatility of 3.97% compared to American Beacon AHL Managed Futures Strategy Fund Class R5 (AHLIX) at 2.48%. This indicates that QMHIX's price experiences larger fluctuations and is considered to be riskier than AHLIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	QMHIX	AHLIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.97%	2.48%	+1.49%
Volatility (6M) Calculated over the trailing 6-month period	9.92%	7.81%	+2.11%
Volatility (1Y) Calculated over the trailing 1-year period	13.02%	10.85%	+2.17%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.31%	9.61%	+7.70%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	15.49%	9.48%	+6.01%

QMHIX vs. AHLIX - Expense Ratio Comparison

QMHIX has a 1.65% expense ratio, which is higher than AHLIX's 1.53% expense ratio.

Dividends

QMHIX vs. AHLIX - Dividend Comparison

QMHIX's dividend yield for the trailing twelve months is around 1.77%, less than AHLIX's 7.32% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
AHLIX American Beacon AHL Managed Futures Strategy Fund Class R5	7.32%	8.25%	0.55%	1.10%	17.63%	7.44%	5.33%	4.47%	1.83%	4.01%	0.00%	3.51%
QMHIX AQR Managed Futures Strategy HV Fund	1.77%	2.05%	2.31%	7.66%	9.34%	10.96%	9.52%	4.18%	0.00%	0.00%	0.01%	7.57%

Frequently Asked Questions

Can I hold both QMHIX and AHLIX in my portfolio?

QMHIX and AHLIX have a correlation of 0.56, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, QMHIX or AHLIX?

QMHIX has higher volatility (3.97%) compared to AHLIX (2.48%). In terms of maximum drawdown, QMHIX dropped -39.37% vs AHLIX's -21.62%.

Which has better risk-adjusted returns?

AHLIX currently has the higher Sharpe Ratio (2.90 vs 2.67), 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.