QMHNX vs. ABYAX
QMHNX (AQR Managed Futures Strategy HV Fund Class N) and ABYAX (Abbey Capital Futures Strategy Fund Class A) are both Systematic Trend funds. Over the past 10 years, QMHNX returned 4.37%/yr vs 2.66%/yr for ABYAX. Their 0.75 correlation means they have sometimes moved together and sometimes differently. QMHNX charges 4.12%/yr vs 2.04%/yr for ABYAX.
Performance
QMHNX vs. ABYAX - Performance Comparison
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Returns By Period
In the year-to-date period, QMHNX achieves a 12.31% return, which is significantly higher than ABYAX's 4.10% return. Over the past 10 years, QMHNX has outperformed ABYAX with an annualized return of 4.37%, while ABYAX has yielded a comparatively lower 2.66% annualized return.
QMHNX
- 1D
- 0.09%
- 1M
- 3.44%
- 6M
- 5.00%
- YTD
- 12.31%
- 1Y
- 30.37%
- 3Y*
- 15.03%
- 5Y*
- 17.32%
- 10Y*
- 4.37%
- ALL TIME*
- 5.11%
ABYAX
- 1D
- -0.70%
- 1M
- -1.04%
- 6M
- 1.06%
- YTD
- 4.10%
- 1Y
- 12.73%
- 3Y*
- 1.17%
- 5Y*
- 3.34%
- 10Y*
- 2.66%
- ALL TIME*
- 3.63%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $0.00 | $0.00 | $0.00 |
QMHNX vs. ABYAX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
QMHNX AQR Managed Futures Strategy HV Fund Class N | 12.31% | 19.65% | 10.48% | -0.40% | 49.64% | -2.30% | -0.85% | 1.55% | -14.59% | -2.06% |
ABYAX Abbey Capital Futures Strategy Fund Class A | 4.10% | 1.47% | 0.77% | -3.55% | 16.76% | 3.19% | 7.59% | 8.65% | -6.49% | -0.26% |
Correlation
The correlation between QMHNX and ABYAX is 0.66, 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. | 0.66 |
Correlation (3Y) Balances recent behavior with more history. | 0.69 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.69 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.73 |
Correlation (All Time) Calculated using the full available price history since Sep 2, 2014 | 0.75 |
The correlation between QMHNX and ABYAX has been stable across timeframes, ranging from 0.66 to 0.75 - a consistent structural relationship.
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Return for Risk
QMHNX vs. ABYAX — Risk / Return Rank
QMHNX
ABYAX
QMHNX vs. ABYAX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Managed Futures Strategy HV Fund Class N (QMHNX) and Abbey Capital Futures Strategy Fund Class A (ABYAX). 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.
| QMHNX | ABYAX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.53 | ||
| Sortino ratioReturn per unit of downside risk | +0.58 | ||
| Omega ratioGain probability vs. loss probability | 1.32 | 1.25 | +0.07 |
| Calmar ratioReturn relative to maximum drawdown | 3.10 | 2.69 | +0.42 |
| Martin ratioReturn relative to average drawdown | 10.65 | 7.70 | +2.95 |
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Drawdowns
QMHNX vs. ABYAX - Drawdown Comparison
The maximum QMHNX drawdown since its inception was -40.29%, which is greater than ABYAX's maximum drawdown of -17.96%. Use the drawdown chart below to compare losses from any high point for QMHNX and ABYAX.
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Drawdown Indicators
| QMHNX | ABYAX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -40.29% | -17.96% | -22.33% |
Max Drawdown (1Y)Largest decline over 1 year | -8.74% | -4.11% | -4.63% |
Max Drawdown (3Y)Largest decline over 3 years | -19.23% | -14.21% | -5.02% |
Max Drawdown (5Y)Largest decline over 5 years | -19.23% | -15.23% | -4.00% |
Max Drawdown (10Y)Largest decline over 10 years | -33.81% | -15.23% | -18.58% |
Current DrawdownCurrent decline from peak | -5.60% | -4.26% | -1.34% |
Average DrawdownAverage peak-to-trough decline | -18.10% | -7.16% | -10.94% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.54% | 1.44% | +1.10% |
Volatility
QMHNX vs. ABYAX - Volatility Comparison
AQR Managed Futures Strategy HV Fund Class N (QMHNX) has a higher volatility of 5.28% compared to Abbey Capital Futures Strategy Fund Class A (ABYAX) at 1.77%. This indicates that QMHNX's price experiences larger fluctuations and is considered to be riskier than ABYAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| QMHNX | ABYAX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.28% | 1.77% | +3.51% |
Volatility (6M)Calculated over the trailing 6-month period | 10.96% | 5.55% | +5.41% |
Volatility (1Y)Calculated over the trailing 1-year period | 14.14% | 7.93% | +6.21% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 17.27% | 7.88% | +9.39% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 15.29% | 7.96% | +7.33% |
QMHNX vs. ABYAX - Expense Ratio Comparison
QMHNX has a 4.12% expense ratio, which is higher than ABYAX's 2.04% expense ratio.
Dividends
QMHNX vs. ABYAX - Dividend Comparison
QMHNX's dividend yield for the trailing twelve months is around 1.68%, more than ABYAX's 1.22% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ABYAX Abbey Capital Futures Strategy Fund Class A | 1.22% | 1.27% | 1.68% | 0.99% | 15.33% | 3.57% | 1.36% | 8.50% | 0.00% | 0.00% | 0.00% | 0.06% |
QMHNX AQR Managed Futures Strategy HV Fund Class N | 1.68% | 1.89% | 2.09% | 7.36% | 8.75% | 10.64% | 7.79% | 3.80% | 0.00% | 0.00% | 0.01% | 7.47% |
Frequently Asked Questions
QMHNX and ABYAX have a correlation of 0.66, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
QMHNX has higher volatility (5.28%) compared to ABYAX (1.77%). In terms of maximum drawdown, QMHNX dropped -40.29% vs ABYAX's -17.96%.
QMHNX currently has the higher Sharpe Ratio (1.92 vs 1.39), 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.
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