QMHIX vs. QNZNX

Last updated Jun 3, 2026

QMHIX (AQR Managed Futures Strategy HV Fund) and QNZNX (AQR Trend Total Return Fund) are both Systematic Trend funds from AQR Funds. Over the past 3 years, QMHIX returned 16.06%/yr vs 32.03%/yr for QNZNX. At a 0.36 correlation, their price movements are largely independent. QMHIX charges 1.65%/yr vs 1.52%/yr for QNZNX.

Performance

QMHIX vs. QNZNX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AQR Managed Futures Strategy HV Fund (QMHIX) and AQR Trend Total Return Fund (QNZNX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

The year-to-date returns for both investments are quite close, with QMHIX having a 16.85% return and QNZNX slightly higher at 17.34%.

QMHIX

• 1D: 1.86%
• 1M: 1.14%
• YTD: 16.85%
• 6M: 19.75%
• 1Y: 32.89%
• 3Y*: 16.06%
• 5Y*: 16.03%
• 10Y*: 5.66%

QNZNX

• 1D: 1.29%
• 1M: 3.58%
• YTD: 17.34%
• 6M: 19.19%
• 1Y: 37.80%
• 3Y*: 32.03%
• 5Y*: —
• 10Y*: —

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

QMHIX vs. QNZNX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022
QMHIX AQR Managed Futures Strategy HV Fund	16.85%	19.97%	10.78%	-0.17%	21.27%
QNZNX AQR Trend Total Return Fund	17.34%	22.88%	34.96%	22.73%	1.37%

Correlation

The correlation between QMHIX and QNZNX is 0.81, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.81
Correlation (3Y) Calculated over the trailing 3-year period	0.54
Correlation (All Time) Calculated using the full available price history since Mar 18, 2022	0.36

Over the past year, QMHIX and QNZNX have become more correlated (0.81) than their long-term average of 0.36, meaning their price movements have been converging.

Return for Risk

QMHIX vs. QNZNX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

QMHIX

QMHIX Risk / Return Rank: 83
QMHIX Sharpe Ratio Rank: 84
QMHIX Sortino Ratio Rank: 71
QMHIX Omega Ratio Rank: 69
QMHIX Calmar Ratio Rank: 97
QMHIX Martin Ratio Rank: 94

QNZNX

QNZNX Risk / Return Rank: 95
QNZNX Sharpe Ratio Rank: 97
QNZNX Sortino Ratio Rank: 93
QNZNX Omega Ratio Rank: 90
QNZNX Calmar Ratio Rank: 98
QNZNX Martin Ratio Rank: 98

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

QMHIX vs. QNZNX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for AQR Managed Futures Strategy HV Fund (QMHIX) and AQR Trend Total Return Fund (QNZNX). 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	QNZNX	Difference
Sharpe ratio Return per unit of total volatility	2.72	3.64	-0.92
Sortino ratio Return per unit of downside risk	3.51	4.75	-1.24
Omega ratio Gain probability vs. loss probability	1.47	1.66	-0.19
Calmar ratio Return relative to maximum drawdown	7.15	7.99	-0.84
Martin ratio Return relative to average drawdown	21.17	32.21	-11.04
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

QMHIX vs. QNZNX - Sharpe Ratio Comparison

The current QMHIX Sharpe Ratio is 2.72, which is comparable to the QNZNX Sharpe Ratio of 3.64. The chart below compares the historical Sharpe Ratios of QMHIX and QNZNX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	QMHIX	QNZNX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.72	3.64	-0.92
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.93	—	—
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.37	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.38	1.95	-1.58

Drawdowns

QMHIX vs. QNZNX - Drawdown Comparison

The maximum QMHIX drawdown since its inception was -39.37%, which is greater than QNZNX's maximum drawdown of -18.38%. Use the drawdown chart below to compare losses from any high point for QMHIX and QNZNX.

Drawdown Indicators

	QMHIX	QNZNX	Difference
Max Drawdown Largest peak-to-trough decline	-39.37%	-18.38%	-20.99%
Max Drawdown (1Y) Largest decline over 1 year	-4.83%	-4.88%	+0.05%
Max Drawdown (3Y) Largest decline over 3 years	-19.06%	-13.48%	-5.58%
Max Drawdown (5Y) Largest decline over 5 years	-19.06%	—	—
Max Drawdown (10Y) Largest decline over 10 years	-34.54%	—	—
Current Drawdown Current decline from peak	-1.79%	0.00%	-1.79%
Average Drawdown Average peak-to-trough decline	-17.82%	-2.78%	-15.04%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.63%	1.21%	+0.42%

Volatility

QMHIX vs. QNZNX - Volatility Comparison

AQR Managed Futures Strategy HV Fund (QMHIX) has a higher volatility of 3.63% compared to AQR Trend Total Return Fund (QNZNX) at 2.24%. This indicates that QMHIX's price experiences larger fluctuations and is considered to be riskier than QNZNX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	QMHIX	QNZNX	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.63%	2.24%	+1.39%
Volatility (6M) Calculated over the trailing 6-month period	9.70%	7.10%	+2.60%
Volatility (1Y) Calculated over the trailing 1-year period	12.75%	10.80%	+1.95%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.35%	12.05%	+5.30%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	15.51%	12.05%	+3.46%

QMHIX vs. QNZNX - Expense Ratio Comparison

QMHIX has a 1.65% expense ratio, which is higher than QNZNX's 1.52% expense ratio.

Dividends

QMHIX vs. QNZNX - Dividend Comparison

QMHIX's dividend yield for the trailing twelve months is around 1.75%, more than QNZNX's 0.73% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
QMHIX AQR Managed Futures Strategy HV Fund	1.75%	2.05%	2.31%	7.66%	9.34%	10.96%	9.52%	4.18%	0.00%	0.00%	0.01%	7.57%
QNZNX AQR Trend Total Return Fund	0.73%	0.86%	16.46%	23.14%	2.04%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both QMHIX and QNZNX in my portfolio?

QMHIX and QNZNX have a correlation of 0.81, 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 QNZNX?

QMHIX has higher volatility (3.63%) compared to QNZNX (2.24%). In terms of maximum drawdown, QMHIX dropped -39.37% vs QNZNX's -18.38%.

Which has better risk-adjusted returns?

QNZNX currently has the higher Sharpe Ratio (3.64 vs 2.72), 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.