QMHIX vs. ARCIX
Compare and contrast key facts about AQR Managed Futures Strategy HV Fund (QMHIX) and AQR Risk-Balanced Commodities Strategy Fund (ARCIX).
QMHIX is managed by AQR Funds. It was launched on Jul 15, 2013. ARCIX is managed by AQR Funds. It was launched on Jul 8, 2012.
Performance
QMHIX vs. ARCIX - Performance Comparison
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QMHIX vs. ARCIX - 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% |
ARCIX AQR Risk-Balanced Commodities Strategy Fund | 17.04% | 20.99% | 7.43% | -0.22% | 21.39% | 39.74% | 8.15% | 18.15% | -17.56% | 10.41% |
Returns By Period
In the year-to-date period, QMHIX achieves a 14.62% return, which is significantly lower than ARCIX's 17.04% return. Over the past 10 years, QMHIX has underperformed ARCIX with an annualized return of 5.02%, while ARCIX has yielded a comparatively higher 12.98% 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%
ARCIX
- 1D
- 0.56%
- 1M
- 6.06%
- YTD
- 17.04%
- 6M
- 26.39%
- 1Y
- 30.67%
- 3Y*
- 14.38%
- 5Y*
- 18.72%
- 10Y*
- 12.98%
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QMHIX vs. ARCIX - Expense Ratio Comparison
QMHIX has a 1.65% expense ratio, which is higher than ARCIX's 1.00% expense ratio.
Return for Risk
QMHIX vs. ARCIX — Risk / Return Rank
QMHIX
ARCIX
QMHIX vs. ARCIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Managed Futures Strategy HV Fund (QMHIX) and AQR Risk-Balanced Commodities Strategy Fund (ARCIX). 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 | ARCIX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 2.01 | 1.98 | +0.04 |
Sortino ratioReturn per unit of downside risk | 2.45 | 2.48 | -0.03 |
Omega ratioGain probability vs. loss probability | 1.36 | 1.37 | 0.00 |
Calmar ratioReturn relative to maximum drawdown | 3.29 | 3.08 | +0.21 |
Martin ratioReturn relative to average drawdown | 8.79 | 9.79 | -1.00 |
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 | ARCIX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.01 | 1.98 | +0.04 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.96 | 0.98 | -0.02 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.33 | 0.75 | -0.42 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.37 | 0.31 | +0.06 |
Correlation
The correlation between QMHIX and ARCIX is -0.02. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.
Dividends
QMHIX vs. ARCIX - Dividend Comparison
QMHIX's dividend yield for the trailing twelve months is around 1.79%, less than ARCIX's 11.48% 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% |
ARCIX AQR Risk-Balanced Commodities Strategy Fund | 11.48% | 13.44% | 2.11% | 7.56% | 9.51% | 18.23% | 0.09% | 5.19% | 0.67% | 0.01% | 4.82% | 0.00% |
Drawdowns
QMHIX vs. ARCIX - Drawdown Comparison
The maximum QMHIX drawdown since its inception was -39.37%, smaller than the maximum ARCIX drawdown of -54.25%. Use the drawdown chart below to compare losses from any high point for QMHIX and ARCIX.
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Drawdown Indicators
| QMHIX | ARCIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -39.37% | -54.25% | +14.88% |
Max Drawdown (1Y)Largest decline over 1 year | -8.34% | -10.19% | +1.85% |
Max Drawdown (5Y)Largest decline over 5 years | -19.06% | -20.29% | +1.23% |
Max Drawdown (10Y)Largest decline over 10 years | -34.54% | -32.45% | -2.09% |
Current DrawdownCurrent decline from peak | -0.62% | -1.09% | +0.47% |
Average DrawdownAverage peak-to-trough decline | -18.05% | -25.68% | +7.63% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.13% | 3.21% | -0.08% |
Volatility
QMHIX vs. ARCIX - Volatility Comparison
The current volatility for AQR Managed Futures Strategy HV Fund (QMHIX) is 3.98%, while AQR Risk-Balanced Commodities Strategy Fund (ARCIX) has a volatility of 5.41%. This indicates that QMHIX experiences smaller price fluctuations and is considered to be less risky than ARCIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| QMHIX | ARCIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.98% | 5.41% | -1.43% |
Volatility (6M)Calculated over the trailing 6-month period | 9.98% | 12.64% | -2.66% |
Volatility (1Y)Calculated over the trailing 1-year period | 14.16% | 15.98% | -1.82% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 17.26% | 19.17% | -1.91% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 15.50% | 17.46% | -1.96% |