QMHIX vs. QDSIX

Last updated Aug 4, 2026

QMHIX (AQR Managed Futures Strategy HV Fund) and QDSIX (AQR Diversifying Strategies Fund - Class I) are both mutual funds - QMHIX is a Systematic Trend fund managed by AQR, while QDSIX is a Multistrategy fund managed by AQR. Over the past 5 years, QMHIX returned 17.70%/yr vs 11.28%/yr for QDSIX. Their 0.54 correlation means they have sometimes moved together and sometimes differently. QMHIX charges 1.65%/yr vs 1.23%/yr for QDSIX.

Performance

QMHIX vs. QDSIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AQR Managed Futures Strategy HV Fund (QMHIX) and AQR Diversifying Strategies Fund - Class I (QDSIX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, QMHIX achieves a 12.79% return, which is significantly higher than QDSIX's 5.71% 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%

QDSIX

• 1D: 0.20%
• 1M: 2.42%
• 6M: 3.49%
• YTD: 5.71%
• 1Y: 14.11%
• 3Y*: 12.11%
• 5Y*: 11.28%
• 10Y*: —
• ALL TIME*: 11.65%

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

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
QDSIX AQR Diversifying Strategies Fund - Class I	$0.00	$0.00	$0.00
QMHIX AQR Managed Futures Strategy HV Fund	$0.00	$0.00	$0.00

QMHIX vs. QDSIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
QMHIX AQR Managed Futures Strategy HV Fund	12.79%	19.97%	10.78%	-0.17%	50.14%	-2.08%	1.80%
QDSIX AQR Diversifying Strategies Fund - Class I	5.71%	16.36%	9.71%	8.88%	14.69%	10.64%	5.50%

Correlation

The correlation between QMHIX and QDSIX is 0.67, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.67
Correlation (3Y) Balances recent behavior with more history.	0.59
Correlation (5Y) Shows whether the relationship held over a longer period.	0.53
Correlation (All Time) Calculated using the full available price history since Jun 10, 2020	0.54

The correlation between QMHIX and QDSIX shifts across timeframes, from 0.53 (5 years) to 0.67 (1 year), reflecting how their relationship changes across market environments.

Return for Risk

QMHIX vs. QDSIX — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

QMHIX

QMHIX Risk / Return Rank: 81
QMHIX Sharpe Ratio Rank: 82
QMHIX Sortino Ratio Rank: 75
QMHIX Omega Ratio Rank: 74
QMHIX Calmar Ratio Rank: 87
QMHIX Martin Ratio Rank: 85

QDSIX

QDSIX Risk / Return Rank: 93
QDSIX Sharpe Ratio Rank: 94
QDSIX Sortino Ratio Rank: 93
QDSIX Omega Ratio Rank: 89
QDSIX Calmar Ratio Rank: 95
QDSIX Martin Ratio Rank: 93

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

QMHIX vs. QDSIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for AQR Managed Futures Strategy HV Fund (QMHIX) and AQR Diversifying Strategies Fund - Class I (QDSIX). 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	QDSIX	Difference
Sharpe ratio: Return per unit of total volatility	2.01	2.51	-0.50
Sortino ratio: Return per unit of downside risk	2.62	3.66	-1.05
Omega ratio: Gain probability vs. loss probability	1.34	1.47	-0.13
Calmar ratio: Return relative to maximum drawdown	3.23	4.34	-1.11
Martin ratio: Return relative to average drawdown	11.10	14.36	-3.26

QMHIX vs. QDSIX - Sharpe Ratio Comparison

The current QMHIX Sharpe Ratio is 2.01, which is comparable to the QDSIX Sharpe Ratio of 2.51. The chart below compares the historical Sharpe Ratios of QMHIX and QDSIX, 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. QDSIX - Drawdown Comparison

The maximum QMHIX drawdown since its inception was -39.37%, which is greater than QDSIX's maximum drawdown of -7.06%. Use the drawdown chart below to compare losses from any high point for QMHIX and QDSIX.

Drawdown Indicators

	QMHIX	QDSIX	Difference
Max Drawdown Largest peak-to-trough decline	-39.37%	-7.06%	-32.31%
Max Drawdown (1Y) Largest decline over 1 year	-8.78%	-3.08%	-5.70%
Max Drawdown (3Y) Largest decline over 3 years	-19.06%	-6.90%	-12.16%
Max Drawdown (5Y) Largest decline over 5 years	-19.06%	-7.06%	-12.00%
Max Drawdown (10Y) Largest decline over 10 years	-33.06%	—	—
Current Drawdown Current decline from peak	-5.29%	-0.74%	-4.55%
Average Drawdown Average peak-to-trough decline	-17.64%	-1.44%	-16.20%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.56%	0.93%	+1.63%

Volatility

QMHIX vs. QDSIX - Volatility Comparison

AQR Managed Futures Strategy HV Fund (QMHIX) has a higher volatility of 5.33% compared to AQR Diversifying Strategies Fund - Class I (QDSIX) at 1.79%. This indicates that QMHIX's price experiences larger fluctuations and is considered to be riskier than QDSIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	QMHIX	QDSIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.33%	1.79%	+3.54%
Volatility (6M) Calculated over the trailing 6-month period	11.00%	3.93%	+7.07%
Volatility (1Y) Calculated over the trailing 1-year period	14.16%	5.35%	+8.81%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.30%	7.63%	+9.67%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	15.34%	7.29%	+8.05%

QMHIX vs. QDSIX - Expense Ratio Comparison

QMHIX has a 1.65% expense ratio, which is higher than QDSIX's 1.23% expense ratio.

Dividends

QMHIX vs. QDSIX - Dividend Comparison

QMHIX's dividend yield for the trailing twelve months is around 1.81%, less than QDSIX's 2.11% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
QDSIX AQR Diversifying Strategies Fund - Class I	2.11%	2.23%	0.00%	11.35%	8.22%	6.07%	1.93%	0.00%	0.00%	0.00%	0.00%	0.00%
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

Can I hold both QMHIX and QDSIX in my portfolio?

QMHIX and QDSIX have a correlation of 0.67, 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 QDSIX?

QMHIX has higher volatility (5.33%) compared to QDSIX (1.79%). In terms of maximum drawdown, QMHIX dropped -39.37% vs QDSIX's -7.06%.

Which has better risk-adjusted returns?

QDSIX currently has the higher Sharpe Ratio (2.51 vs 2.01), 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.