QMHIX vs. QLEIX
QMHIX (AQR Managed Futures Strategy HV Fund) and QLEIX (AQR Long-Short Equity Fund) are both mutual funds - QMHIX is a Systematic Trend fund managed by AQR Funds, while QLEIX is a Long-Short fund actively managed by AQR Funds. Over the past 10 years, QMHIX returned 4.99%/yr vs 12.26%/yr for QLEIX. At a 0.17 correlation, their price movements are largely independent. QMHIX charges 1.65%/yr vs 1.30%/yr for QLEIX.
Performance
QMHIX vs. QLEIX - Performance Comparison
Loading charts...
Returns By Period
In the year-to-date period, QMHIX achieves a 15.33% return, which is significantly higher than QLEIX's -0.52% return. Over the past 10 years, QMHIX has underperformed QLEIX with an annualized return of 4.99%, while QLEIX has yielded a comparatively higher 12.26% annualized return.
QMHIX
- 1D
- 1.16%
- 1M
- -0.96%
- YTD
- 15.33%
- 6M
- 16.25%
- 1Y
- 34.04%
- 3Y*
- 15.28%
- 5Y*
- 17.07%
- 10Y*
- 4.99%
QLEIX
- 1D
- 0.19%
- 1M
- 1.15%
- YTD
- -0.52%
- 6M
- -1.13%
- 1Y
- 15.49%
- 3Y*
- 25.79%
- 5Y*
- 23.47%
- 10Y*
- 12.26%
QMHIX vs. QLEIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
QMHIX AQR Managed Futures Strategy HV Fund | 15.33% | 19.97% | 10.78% | -0.17% | 50.14% | -2.08% | -0.73% | 1.82% | -14.44% | -1.72% |
QLEIX AQR Long-Short Equity Fund | -0.52% | 34.43% | 30.50% | 23.95% | 19.18% | 31.10% | -13.92% | 1.19% | -16.33% | 15.74% |
Correlation
The correlation between QMHIX and QLEIX is 0.32, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.32 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.27 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.22 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.19 |
Correlation (All Time) Calculated using the full available price history since Jan 2, 2014 | 0.17 |
The correlation between QMHIX and QLEIX shifts across timeframes, from 0.17 (all time) to 0.32 (1 year), reflecting how their relationship changes across market environments.
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
Return for Risk
QMHIX vs. QLEIX — Risk / Return Rank
QMHIX
QLEIX
QMHIX vs. QLEIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Managed Futures Strategy HV Fund (QMHIX) and AQR Long-Short Equity Fund (QLEIX). 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 | QLEIX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.51 | ||
| Sortino ratioReturn per unit of downside risk | +0.29 | ||
| Omega ratioGain probability vs. loss probability | 1.45 | 1.40 | +0.05 |
| Calmar ratioReturn relative to maximum drawdown | 7.18 | 2.64 | +4.53 |
| Martin ratioReturn relative to average drawdown | 20.80 | 8.20 | +12.60 |
Loading charts...
Drawdowns
QMHIX vs. QLEIX - Drawdown Comparison
The maximum QMHIX drawdown since its inception was -39.37%, roughly equal to the maximum QLEIX drawdown of -38.11%. Use the drawdown chart below to compare losses from any high point for QMHIX and QLEIX.
Loading charts...
Drawdown Indicators
| QMHIX | QLEIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -39.37% | -38.11% | -1.26% |
Max Drawdown (1Y)Largest decline over 1 year | -4.83% | -6.01% | +1.18% |
Max Drawdown (3Y)Largest decline over 3 years | -19.06% | -7.07% | -11.99% |
Max Drawdown (5Y)Largest decline over 5 years | -19.06% | -17.07% | -1.99% |
Max Drawdown (10Y)Largest decline over 10 years | -34.54% | -38.11% | +3.57% |
Current DrawdownCurrent decline from peak | -3.15% | -1.13% | -2.02% |
Average DrawdownAverage peak-to-trough decline | -17.75% | -7.70% | -10.05% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.66% | 1.93% | -0.27% |
Volatility
QMHIX vs. QLEIX - Volatility Comparison
AQR Managed Futures Strategy HV Fund (QMHIX) has a higher volatility of 3.97% compared to AQR Long-Short Equity Fund (QLEIX) at 2.82%. This indicates that QMHIX's price experiences larger fluctuations and is considered to be riskier than QLEIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
Loading charts...
Volatility by Period
| QMHIX | QLEIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.97% | 2.82% | +1.15% |
Volatility (6M)Calculated over the trailing 6-month period | 9.92% | 5.76% | +4.16% |
Volatility (1Y)Calculated over the trailing 1-year period | 13.02% | 7.37% | +5.65% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 17.31% | 10.02% | +7.29% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 15.49% | 10.59% | +4.90% |
QMHIX vs. QLEIX - Expense Ratio Comparison
QMHIX has a 1.65% expense ratio, which is higher than QLEIX's 1.30% expense ratio.
Dividends
QMHIX vs. QLEIX - Dividend Comparison
QMHIX's dividend yield for the trailing twelve months is around 1.77%, which matches QLEIX's 1.76% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
QLEIX AQR Long-Short Equity Fund | 1.76% | 1.75% | 7.12% | 20.88% | 14.15% | 0.00% | 1.57% | 0.00% | 6.03% | 9.11% | 3.01% | 4.98% |
QMHIX AQR Managed Futures Strategy HV Fund | 1.77% | 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 QLEIX have a correlation of 0.32, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
QMHIX has higher volatility (3.97%) compared to QLEIX (2.82%). In terms of maximum drawdown, QMHIX dropped -39.37% vs QLEIX's -38.11%.
QMHIX currently has the higher Sharpe Ratio (2.67 vs 2.16), 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.
Find the right allocation for QMHIX and QLEIX
Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
Open Portfolio Optimizer