QMHIX vs. SPY
Compare and contrast key facts about AQR Managed Futures Strategy HV Fund (QMHIX) and State Street SPDR S&P 500 ETF (SPY).
QMHIX is managed by AQR Funds. It was launched on Jul 15, 2013. SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993.
Performance
QMHIX vs. SPY - Performance Comparison
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QMHIX vs. SPY - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
QMHIX AQR Managed Futures Strategy HV Fund | 14.62% | 19.97% | 10.78% | -0.17% | 50.14% | -2.08% | -0.73% | 1.82% | -14.44% | -1.72% |
SPY State Street SPDR S&P 500 ETF | -4.37% | 17.72% | 24.89% | 26.18% | -18.18% | 28.73% | 18.33% | 31.22% | -4.57% | 21.71% |
Returns By Period
In the year-to-date period, QMHIX achieves a 14.62% return, which is significantly higher than SPY's -4.37% return. Over the past 10 years, QMHIX has underperformed SPY with an annualized return of 5.02%, while SPY has yielded a comparatively higher 13.98% annualized 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%
SPY
- 1D
- 2.91%
- 1M
- -4.94%
- YTD
- -4.37%
- 6M
- -1.82%
- 1Y
- 17.59%
- 3Y*
- 18.19%
- 5Y*
- 11.69%
- 10Y*
- 13.98%
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QMHIX vs. SPY - Expense Ratio Comparison
QMHIX has a 1.65% expense ratio, which is higher than SPY's 0.09% expense ratio.
Return for Risk
QMHIX vs. SPY — Risk / Return Rank
QMHIX
SPY
QMHIX vs. SPY - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Managed Futures Strategy HV Fund (QMHIX) and State Street SPDR S&P 500 ETF (SPY). 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 | SPY | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 2.01 | 0.93 | +1.08 |
Sortino ratioReturn per unit of downside risk | 2.45 | 1.45 | +1.00 |
Omega ratioGain probability vs. loss probability | 1.36 | 1.22 | +0.14 |
Calmar ratioReturn relative to maximum drawdown | 3.29 | 1.53 | +1.77 |
Martin ratioReturn relative to average drawdown | 8.79 | 7.30 | +1.49 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| QMHIX | SPY | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.01 | 0.93 | +1.08 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.96 | 0.69 | +0.27 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.33 | 0.78 | -0.46 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.37 | 0.56 | -0.19 |
Correlation
The correlation between QMHIX and SPY is 0.01, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Dividends
QMHIX vs. SPY - Dividend Comparison
QMHIX's dividend yield for the trailing twelve months is around 1.79%, more than SPY's 1.14% 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% |
SPY State Street SPDR S&P 500 ETF | 1.14% | 1.07% | 1.21% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% |
Drawdowns
QMHIX vs. SPY - Drawdown Comparison
The maximum QMHIX drawdown since its inception was -39.37%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for QMHIX and SPY.
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Drawdown Indicators
| QMHIX | SPY | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -39.37% | -55.19% | +15.82% |
Max Drawdown (1Y)Largest decline over 1 year | -8.34% | -12.05% | +3.71% |
Max Drawdown (5Y)Largest decline over 5 years | -19.06% | -24.50% | +5.44% |
Max Drawdown (10Y)Largest decline over 10 years | -34.54% | -33.72% | -0.82% |
Current DrawdownCurrent decline from peak | -0.62% | -6.24% | +5.62% |
Average DrawdownAverage peak-to-trough decline | -18.05% | -9.09% | -8.96% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.13% | 2.52% | +0.61% |
Volatility
QMHIX vs. SPY - Volatility Comparison
The current volatility for AQR Managed Futures Strategy HV Fund (QMHIX) is 3.98%, while State Street SPDR S&P 500 ETF (SPY) has a volatility of 5.31%. This indicates that QMHIX experiences smaller price fluctuations and is considered to be less risky than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| QMHIX | SPY | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.98% | 5.31% | -1.33% |
Volatility (6M)Calculated over the trailing 6-month period | 9.98% | 9.47% | +0.51% |
Volatility (1Y)Calculated over the trailing 1-year period | 14.16% | 19.05% | -4.89% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 17.26% | 17.06% | +0.20% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 15.50% | 17.92% | -2.42% |