QMHIX vs. QRPIX

Last updated Apr 1, 2026

Compare and contrast key facts about AQR Managed Futures Strategy HV Fund (QMHIX) and AQR Alternative Risk Premia Fund (QRPIX).

QMHIX is managed by AQR Funds. It was launched on Jul 15, 2013. QRPIX is managed by AQR Funds. It was launched on Sep 18, 2017.

Performance

QMHIX vs. QRPIX - Performance Comparison

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

QMHIX vs. QRPIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018
QMHIX AQR Managed Futures Strategy HV Fund	14.62%	19.97%	10.78%	-0.17%	50.14%	-2.08%	-0.73%	1.82%	-10.53%
QRPIX AQR Alternative Risk Premia Fund	8.52%	23.39%	18.85%	7.23%	25.26%	14.27%	-21.04%	-2.98%	-4.46%

Returns By Period

In the year-to-date period, QMHIX achieves a 14.62% return, which is significantly higher than QRPIX's 8.52% 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%

QRPIX

• 1D: 0.00%
• 1M: -0.80%
• YTD: 8.52%
• 6M: 13.42%
• 1Y: 20.08%
• 3Y*: 19.92%
• 5Y*: 17.54%
• 10Y*: —

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

QMHIX vs. QRPIX - Expense Ratio Comparison

QMHIX has a 1.65% expense ratio, which is higher than QRPIX's 1.40% expense ratio.

QMHIX

AQR Managed Futures Strategy HV Fund

QRPIX

AQR Alternative Risk Premia Fund

Return for Risk

QMHIX vs. QRPIX — Risk / Return Rank

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

QMHIX

QMHIX Risk / Return Rank: 90
QMHIX Sharpe Ratio Rank: 93
QMHIX Sortino Ratio Rank: 89
QMHIX Omega Ratio Rank: 87
QMHIX Calmar Ratio Rank: 95
QMHIX Martin Ratio Rank: 85

QRPIX

QRPIX Risk / Return Rank: 82
QRPIX Sharpe Ratio Rank: 89
QRPIX Sortino Ratio Rank: 85
QRPIX Omega Ratio Rank: 87
QRPIX Calmar Ratio Rank: 79
QRPIX Martin Ratio Rank: 68

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. QRPIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for AQR Managed Futures Strategy HV Fund (QMHIX) and AQR Alternative Risk Premia Fund (QRPIX). 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	QRPIX	Difference
Sharpe ratio Return per unit of total volatility	2.01	1.82	+0.19
Sortino ratio Return per unit of downside risk	2.45	2.23	+0.22
Omega ratio Gain probability vs. loss probability	1.36	1.37	0.00
Calmar ratio Return relative to maximum drawdown	3.29	1.88	+1.42
Martin ratio Return relative to average drawdown	8.79	6.37	+2.42
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. QRPIX - Sharpe Ratio Comparison

The current QMHIX Sharpe Ratio is 2.01, which is comparable to the QRPIX Sharpe Ratio of 1.82. The chart below compares the historical Sharpe Ratios of QMHIX and QRPIX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Sharpe Ratios by Period

	QMHIX	QRPIX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.01	1.82	+0.19
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.96	1.50	-0.55
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.33	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.37	0.74	-0.37

Correlation

The correlation between QMHIX and QRPIX is 0.45, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.

Dividends

QMHIX vs. QRPIX - Dividend Comparison

QMHIX's dividend yield for the trailing twelve months is around 1.79%, more than QRPIX's 1.33% 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%
QRPIX AQR Alternative Risk Premia Fund	1.33%	1.45%	2.24%	4.52%	0.00%	4.08%	1.98%	0.85%	0.09%	0.00%	0.00%	0.00%

Drawdowns

QMHIX vs. QRPIX - Drawdown Comparison

The maximum QMHIX drawdown since its inception was -39.37%, which is greater than QRPIX's maximum drawdown of -28.45%. Use the drawdown chart below to compare losses from any high point for QMHIX and QRPIX.

Drawdown Indicators

	QMHIX	QRPIX	Difference
Max Drawdown Largest peak-to-trough decline	-39.37%	-28.45%	-10.92%
Max Drawdown (1Y) Largest decline over 1 year	-8.34%	-11.07%	+2.73%
Max Drawdown (5Y) Largest decline over 5 years	-19.06%	-11.29%	-7.77%
Max Drawdown (10Y) Largest decline over 10 years	-34.54%	—	—
Current Drawdown Current decline from peak	-0.62%	-0.93%	+0.31%
Average Drawdown Average peak-to-trough decline	-18.05%	-7.80%	-10.25%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.13%	3.26%	-0.13%

Volatility

QMHIX vs. QRPIX - Volatility Comparison

AQR Managed Futures Strategy HV Fund (QMHIX) has a higher volatility of 3.98% compared to AQR Alternative Risk Premia Fund (QRPIX) at 2.51%. This indicates that QMHIX's price experiences larger fluctuations and is considered to be riskier than QRPIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	QMHIX	QRPIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.98%	2.51%	+1.47%
Volatility (6M) Calculated over the trailing 6-month period	9.98%	6.47%	+3.51%
Volatility (1Y) Calculated over the trailing 1-year period	14.16%	11.44%	+2.72%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.26%	11.74%	+5.52%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	15.50%	10.36%	+5.14%