QMHIX vs. KMLM

In the year-to-date period, QMHIX achieves a 4.42% return, which is significantly higher than KMLM's -5.84% return.

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QMHIX has a 1.65% expense ratio, which is higher than KMLM's 0.90% expense ratio.

This table presents a comparison of risk-adjusted performance metrics for AQR Managed Futures Strategy HV Fund (QMHIX) and KFA Mount Lucas Index Strategy ETF (KMLM). 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.

The current QMHIX Sharpe Ratio is -0.10, which is higher than the KMLM Sharpe Ratio of -1.01. The chart below compares the historical Sharpe Ratios of QMHIX and KMLM, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

QMHIX's dividend yield for the trailing twelve months is around 2.21%, more than KMLM's 0.87% yield.

The maximum QMHIX drawdown since its inception was -39.41%, which is greater than KMLM's maximum drawdown of -29.26%. Use the drawdown chart below to compare losses from any high point for QMHIX and KMLM.

AQR Managed Futures Strategy HV Fund (QMHIX) has a higher volatility of 5.03% compared to KFA Mount Lucas Index Strategy ETF (KMLM) at 1.99%. This indicates that QMHIX's price experiences larger fluctuations and is considered to be riskier than KMLM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.