QMHIX vs. AMFAX
Compare and contrast key facts about AQR Managed Futures Strategy HV Fund (QMHIX) and AlphaSimplex Managed Futures Strategy Fund Class A (AMFAX).
QMHIX is managed by AQR Funds. It was launched on Jul 15, 2013. AMFAX is managed by BlackRock. It was launched on Jul 30, 2010.
Performance
QMHIX vs. AMFAX - Performance Comparison
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QMHIX vs. AMFAX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
QMHIX AQR Managed Futures Strategy HV Fund | 13.91% | 19.97% | 10.78% | -0.17% | 50.14% | -2.08% | -0.73% | 1.82% | -14.44% | -1.72% |
AMFAX AlphaSimplex Managed Futures Strategy Fund Class A | 6.69% | -9.75% | -3.56% | -10.59% | 35.38% | 3.28% | 13.29% | 8.03% | -12.87% | 6.54% |
Returns By Period
In the year-to-date period, QMHIX achieves a 13.91% return, which is significantly higher than AMFAX's 6.69% return. Over the past 10 years, QMHIX has outperformed AMFAX with an annualized return of 4.95%, while AMFAX has yielded a comparatively lower 1.57% annualized return.
QMHIX
- 1D
- -0.62%
- 1M
- 1.81%
- YTD
- 13.91%
- 6M
- 18.18%
- 1Y
- 26.26%
- 3Y*
- 17.80%
- 5Y*
- 16.32%
- 10Y*
- 4.95%
AMFAX
- 1D
- 0.25%
- 1M
- -0.85%
- YTD
- 6.69%
- 6M
- 10.56%
- 1Y
- 3.12%
- 3Y*
- -3.09%
- 5Y*
- 2.04%
- 10Y*
- 1.57%
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QMHIX vs. AMFAX - Expense Ratio Comparison
QMHIX has a 1.65% expense ratio, which is lower than AMFAX's 1.72% expense ratio.
Return for Risk
QMHIX vs. AMFAX — Risk / Return Rank
QMHIX
AMFAX
QMHIX vs. AMFAX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Managed Futures Strategy HV Fund (QMHIX) and AlphaSimplex Managed Futures Strategy Fund Class A (AMFAX). 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 | AMFAX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.91 | 0.26 | +1.65 |
Sortino ratioReturn per unit of downside risk | 2.35 | 0.40 | +1.94 |
Omega ratioGain probability vs. loss probability | 1.35 | 1.06 | +0.29 |
Calmar ratioReturn relative to maximum drawdown | 3.33 | 0.16 | +3.17 |
Martin ratioReturn relative to average drawdown | 8.90 | 0.27 | +8.63 |
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 | AMFAX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.91 | 0.26 | +1.65 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.95 | 0.15 | +0.80 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.32 | 0.12 | +0.20 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.37 | 0.29 | +0.08 |
Correlation
The correlation between QMHIX and AMFAX is 0.74, 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. AMFAX - Dividend Comparison
QMHIX's dividend yield for the trailing twelve months is around 1.80%, more than AMFAX's 1.72% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
QMHIX AQR Managed Futures Strategy HV Fund | 1.80% | 2.05% | 2.31% | 7.66% | 9.34% | 10.96% | 9.52% | 4.18% | 0.00% | 0.00% | 0.01% | 7.57% |
AMFAX AlphaSimplex Managed Futures Strategy Fund Class A | 1.72% | 1.84% | 1.28% | 0.30% | 32.70% | 5.74% | 3.14% | 4.71% | 1.31% | 0.00% | 0.00% | 4.92% |
Drawdowns
QMHIX vs. AMFAX - Drawdown Comparison
The maximum QMHIX drawdown since its inception was -39.37%, which is greater than AMFAX's maximum drawdown of -36.84%. Use the drawdown chart below to compare losses from any high point for QMHIX and AMFAX.
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Drawdown Indicators
| QMHIX | AMFAX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -39.37% | -36.84% | -2.53% |
Max Drawdown (1Y)Largest decline over 1 year | -8.34% | -13.54% | +5.20% |
Max Drawdown (5Y)Largest decline over 5 years | -19.06% | -36.84% | +17.78% |
Max Drawdown (10Y)Largest decline over 10 years | -34.54% | -36.84% | +2.30% |
Current DrawdownCurrent decline from peak | -1.23% | -24.86% | +23.63% |
Average DrawdownAverage peak-to-trough decline | -18.05% | -13.55% | -4.50% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.13% | 8.33% | -5.20% |
Volatility
QMHIX vs. AMFAX - Volatility Comparison
AQR Managed Futures Strategy HV Fund (QMHIX) and AlphaSimplex Managed Futures Strategy Fund Class A (AMFAX) have volatilities of 4.04% and 3.91%, 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.
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Volatility by Period
| QMHIX | AMFAX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.04% | 3.91% | +0.13% |
Volatility (6M)Calculated over the trailing 6-month period | 10.01% | 10.01% | 0.00% |
Volatility (1Y)Calculated over the trailing 1-year period | 14.15% | 13.03% | +1.12% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 17.26% | 13.68% | +3.58% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 15.50% | 12.67% | +2.83% |