QMHNX vs. AQMIX

Last updated Jun 4, 2026

QMHNX (AQR Managed Futures Strategy HV Fund Class N) and AQMIX (AQR Managed Futures Strategy Fund) are both Systematic Trend funds. Over the past 10 years, QMHNX returned 5.48%/yr vs 5.00%/yr for AQMIX. With a 0.99 correlation, they move nearly in lockstep. QMHNX charges 4.12%/yr vs 1.25%/yr for AQMIX.

Performance

QMHNX vs. AQMIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AQR Managed Futures Strategy HV Fund Class N (QMHNX) and AQR Managed Futures Strategy Fund (AQMIX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, QMHNX achieves a 17.66% return, which is significantly higher than AQMIX's 12.96% return. Over the past 10 years, QMHNX has outperformed AQMIX with an annualized return of 5.48%, while AQMIX has yielded a comparatively lower 5.00% annualized return.

QMHNX

• 1D: 0.78%
• 1M: 1.30%
• YTD: 17.66%
• 6M: 21.37%
• 1Y: 33.51%
• 3Y*: 16.03%
• 5Y*: 15.98%
• 10Y*: 5.48%

AQMIX

• 1D: 0.46%
• 1M: 1.22%
• YTD: 12.96%
• 6M: 14.94%
• 1Y: 24.94%
• 3Y*: 12.51%
• 5Y*: 12.71%
• 10Y*: 5.00%

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

QMHNX vs. AQMIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
QMHNX AQR Managed Futures Strategy HV Fund Class N	17.66%	19.65%	10.48%	-0.40%	49.64%	-2.30%	-0.85%	1.55%	-14.59%	-2.06%
AQMIX AQR Managed Futures Strategy Fund	12.96%	14.62%	8.13%	2.08%	35.47%	-1.04%	-0.43%	1.92%	-8.88%	-0.97%

Correlation

The correlation between QMHNX and AQMIX is 0.98 - these two move nearly in lockstep. At this level, holding both provides almost no diversification benefit. If you already own one, adding the other does little to reduce portfolio risk.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.98
Correlation (3Y) Calculated over the trailing 3-year period	0.99
Correlation (5Y) Calculated over the trailing 5-year period	0.99
Correlation (10Y) Calculated over the trailing 10-year period	0.99
Correlation (All Time) Calculated using the full available price history since Jan 3, 2014	0.99

The correlation between QMHNX and AQMIX has been stable across timeframes, ranging from 0.98 to 0.99 - a consistent structural relationship.

Return for Risk

QMHNX vs. AQMIX — Risk / Return Rank

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

QMHNX

QMHNX Risk / Return Rank: 82
QMHNX Sharpe Ratio Rank: 83
QMHNX Sortino Ratio Rank: 69
QMHNX Omega Ratio Rank: 66
QMHNX Calmar Ratio Rank: 97
QMHNX Martin Ratio Rank: 93

AQMIX

AQMIX Risk / Return Rank: 89
AQMIX Sharpe Ratio Rank: 89
AQMIX Sortino Ratio Rank: 84
AQMIX Omega Ratio Rank: 80
AQMIX Calmar Ratio Rank: 98
AQMIX Martin Ratio Rank: 97

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.

QMHNX vs. AQMIX - 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 AQR Managed Futures Strategy Fund (AQMIX). 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.

	QMHNX	AQMIX	Difference
Sharpe ratio Return per unit of total volatility	2.68	2.90	-0.23
Sortino ratio Return per unit of downside risk	3.46	3.96	-0.51
Omega ratio Gain probability vs. loss probability	1.46	1.52	-0.07
Calmar ratio Return relative to maximum drawdown	7.06	8.34	-1.27
Martin ratio Return relative to average drawdown	20.71	25.80	-5.09
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

QMHNX vs. AQMIX - Sharpe Ratio Comparison

The current QMHNX Sharpe Ratio is 2.68, which is comparable to the AQMIX Sharpe Ratio of 2.90. The chart below compares the historical Sharpe Ratios of QMHNX and AQMIX, 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

	QMHNX	AQMIX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.68	2.90	-0.23
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.93	1.10	-0.17
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.36	0.48	-0.13
Sharpe Ratio (All Time) Calculated using the full available price history	0.37	0.42	-0.06

Drawdowns

QMHNX vs. AQMIX - Drawdown Comparison

The maximum QMHNX drawdown since its inception was -40.29%, which is greater than AQMIX's maximum drawdown of -26.52%. Use the drawdown chart below to compare losses from any high point for QMHNX and AQMIX.

Drawdown Indicators

	QMHNX	AQMIX	Difference
Max Drawdown Largest peak-to-trough decline	-40.29%	-26.52%	-13.77%
Max Drawdown (1Y) Largest decline over 1 year	-4.81%	-3.02%	-1.79%
Max Drawdown (3Y) Largest decline over 3 years	-19.23%	-13.57%	-5.66%
Max Drawdown (5Y) Largest decline over 5 years	-19.23%	-13.57%	-5.66%
Max Drawdown (10Y) Largest decline over 10 years	-35.34%	-23.34%	-12.00%
Current Drawdown Current decline from peak	-1.02%	-0.64%	-0.38%
Average Drawdown Average peak-to-trough decline	-18.28%	-10.01%	-8.27%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.63%	0.97%	+0.66%

Volatility

QMHNX vs. AQMIX - Volatility Comparison

AQR Managed Futures Strategy HV Fund Class N (QMHNX) has a higher volatility of 3.68% compared to AQR Managed Futures Strategy Fund (AQMIX) at 2.59%. This indicates that QMHNX's price experiences larger fluctuations and is considered to be riskier than AQMIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	QMHNX	AQMIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.68%	2.59%	+1.09%
Volatility (6M) Calculated over the trailing 6-month period	9.63%	6.60%	+3.03%
Volatility (1Y) Calculated over the trailing 1-year period	12.72%	8.70%	+4.02%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.30%	11.62%	+5.68%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	15.47%	10.37%	+5.10%

QMHNX vs. AQMIX - Expense Ratio Comparison

QMHNX has a 4.12% expense ratio, which is higher than AQMIX's 1.25% expense ratio.

Dividends

QMHNX vs. AQMIX - Dividend Comparison

QMHNX's dividend yield for the trailing twelve months is around 1.61%, less than AQMIX's 2.00% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
AQMIX AQR Managed Futures Strategy Fund	2.00%	2.26%	3.83%	8.39%	12.76%	6.94%	5.31%	3.13%	0.00%	0.00%	0.02%	6.51%
QMHNX AQR Managed Futures Strategy HV Fund Class N	1.61%	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

Can I hold both QMHNX and AQMIX in my portfolio?

With a correlation of 0.98, QMHNX and AQMIX move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

Which is riskier, QMHNX or AQMIX?

QMHNX has higher volatility (3.68%) compared to AQMIX (2.59%). In terms of maximum drawdown, QMHNX dropped -40.29% vs AQMIX's -26.52%.

Which has better risk-adjusted returns?

AQMIX currently has the higher Sharpe Ratio (2.90 vs 2.67), 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.