QMHIX vs. AQGRX
QMHIX (AQR Managed Futures Strategy HV Fund) and AQGRX (AQR Global Equity Fund Class R6) are both mutual funds - QMHIX is a Systematic Trend fund managed by AQR, while AQGRX is a Global Equities fund tracking the MSCI World Net Total Return USD Index. Over the past 10 years, QMHIX returned 4.67%/yr vs 13.52%/yr for AQGRX. Their 0.02 correlation means their historical movements had little consistent relationship. QMHIX charges 1.65%/yr vs 0.72%/yr for AQGRX.
Performance
QMHIX vs. AQGRX - Performance Comparison
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Returns By Period
In the year-to-date period, QMHIX achieves a 12.79% return, which is significantly lower than AQGRX's 13.63% return. Over the past 10 years, QMHIX has underperformed AQGRX with an annualized return of 4.67%, while AQGRX has yielded a comparatively higher 13.52% annualized return.
QMHIX
- 1D
- 0.27%
- 1M
- 3.83%
- 6M
- 5.91%
- YTD
- 12.79%
- 1Y
- 30.94%
- 3Y*
- 14.84%
- 5Y*
- 17.70%
- 10Y*
- 4.67%
- ALL TIME*
- 5.40%
AQGRX
- 1D
- 0.50%
- 1M
- 2.19%
- 6M
- 10.58%
- YTD
- 13.63%
- 1Y
- 29.64%
- 3Y*
- 24.69%
- 5Y*
- 15.58%
- 10Y*
- 13.52%
- ALL TIME*
- 11.47%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $0.00 | $0.00 | $0.00 |
QMHIX vs. AQGRX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
QMHIX AQR Managed Futures Strategy HV Fund | 12.79% | 19.97% | 10.78% | -0.17% | 50.14% | -2.08% | -0.73% | 1.82% | -14.44% | -1.72% |
AQGRX AQR Global Equity Fund Class R6 | 13.63% | 31.87% | 24.60% | 23.14% | -14.13% | 18.43% | 9.47% | 23.85% | -14.46% | 25.57% |
Correlation
The correlation between QMHIX and AQGRX is 0.22, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.22 |
Correlation (3Y) Balances recent behavior with more history. | 0.15 |
Correlation (5Y) Shows whether the relationship held over a longer period. | -0.02 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.07 |
Correlation (All Time) Calculated using the full available price history since Jan 2, 2015 | 0.02 |
Over the past year, QMHIX and AQGRX have become more correlated (0.22) than their long-term average of 0.02, meaning their price movements have been converging.
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Return for Risk
QMHIX vs. AQGRX — Risk / Return Rank
QMHIX
AQGRX
QMHIX vs. AQGRX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Managed Futures Strategy HV Fund (QMHIX) and AQR Global Equity Fund Class R6 (AQGRX). 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 | AQGRX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.05 | ||
| Sortino ratioReturn per unit of downside risk | -0.13 | ||
| Omega ratioGain probability vs. loss probability | 1.34 | 1.34 | -0.01 |
| Calmar ratioReturn relative to maximum drawdown | 3.23 | 2.88 | +0.35 |
| Martin ratioReturn relative to average drawdown | 11.10 | 12.07 | -0.97 |
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Drawdowns
QMHIX vs. AQGRX - Drawdown Comparison
The maximum QMHIX drawdown since its inception was -39.37%, which is greater than AQGRX's maximum drawdown of -34.25%. Use the drawdown chart below to compare losses from any high point for QMHIX and AQGRX.
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Drawdown Indicators
| QMHIX | AQGRX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -39.37% | -34.25% | -5.12% |
Max Drawdown (1Y)Largest decline over 1 year | -8.78% | -9.79% | +1.01% |
Max Drawdown (3Y)Largest decline over 3 years | -19.06% | -18.51% | -0.55% |
Max Drawdown (5Y)Largest decline over 5 years | -19.06% | -29.59% | +10.53% |
Max Drawdown (10Y)Largest decline over 10 years | -33.06% | -34.25% | +1.19% |
Current DrawdownCurrent decline from peak | -5.29% | -0.28% | -5.01% |
Average DrawdownAverage peak-to-trough decline | -17.64% | -6.81% | -10.83% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.56% | 2.33% | +0.23% |
Volatility
QMHIX vs. AQGRX - Volatility Comparison
AQR Managed Futures Strategy HV Fund (QMHIX) has a higher volatility of 5.33% compared to AQR Global Equity Fund Class R6 (AQGRX) at 4.00%. This indicates that QMHIX's price experiences larger fluctuations and is considered to be riskier than AQGRX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| QMHIX | AQGRX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.33% | 4.00% | +1.33% |
Volatility (6M)Calculated over the trailing 6-month period | 11.00% | 11.63% | -0.63% |
Volatility (1Y)Calculated over the trailing 1-year period | 14.16% | 14.45% | -0.29% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 17.30% | 18.38% | -1.08% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 15.34% | 17.78% | -2.44% |
QMHIX vs. AQGRX - Expense Ratio Comparison
QMHIX has a 1.65% expense ratio, which is higher than AQGRX's 0.72% expense ratio.
Dividends
QMHIX vs. AQGRX - Dividend Comparison
QMHIX's dividend yield for the trailing twelve months is around 1.81%, less than AQGRX's 11.55% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
AQGRX AQR Global Equity Fund Class R6 | 11.55% | 13.12% | 13.59% | 6.03% | 4.51% | 12.19% | 1.34% | 2.41% | 4.88% | 5.03% | 10.54% | 0.09% |
QMHIX AQR Managed Futures Strategy HV Fund | 1.81% | 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
QMHIX and AQGRX have a correlation of 0.22, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
QMHIX has higher volatility (5.33%) compared to AQGRX (4.00%). In terms of maximum drawdown, QMHIX dropped -39.37% vs AQGRX's -34.25%.
QMHIX currently has the higher Sharpe Ratio (2.01 vs 1.95), 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.
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