QMHNX vs. ARCNX
Compare and contrast key facts about AQR Managed Futures Strategy HV Fund Class N (QMHNX) and AQR Risk-Balanced Commodities Strategy Fund Class N (ARCNX).
QMHNX is an actively managed fund by AQR. It was launched on Jul 16, 2013. ARCNX is managed by AQR.
Performance
QMHNX vs. ARCNX - Performance Comparison
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QMHNX vs. ARCNX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
QMHNX AQR Managed Futures Strategy HV Fund Class N | 14.33% | 19.65% | 10.48% | -0.40% | 49.64% | -2.30% | -0.85% | 1.55% | -14.59% | -2.06% |
ARCNX AQR Risk-Balanced Commodities Strategy Fund Class N | 17.70% | 20.76% | 7.19% | -0.50% | 20.97% | 39.48% | 8.11% | 17.68% | -17.83% | 10.20% |
Returns By Period
In the year-to-date period, QMHNX achieves a 14.33% return, which is significantly lower than ARCNX's 17.70% return. Over the past 10 years, QMHNX has underperformed ARCNX with an annualized return of 4.74%, while ARCNX has yielded a comparatively higher 12.77% annualized return.
QMHNX
- 1D
- 0.44%
- 1M
- 3.28%
- YTD
- 14.33%
- 6M
- 18.42%
- 1Y
- 27.16%
- 3Y*
- 17.67%
- 5Y*
- 16.13%
- 10Y*
- 4.74%
ARCNX
- 1D
- 0.09%
- 1M
- 5.45%
- YTD
- 17.70%
- 6M
- 26.42%
- 1Y
- 30.22%
- 3Y*
- 14.35%
- 5Y*
- 18.43%
- 10Y*
- 12.77%
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QMHNX vs. ARCNX - Expense Ratio Comparison
QMHNX has a 4.12% expense ratio, which is higher than ARCNX's 1.28% expense ratio.
Return for Risk
QMHNX vs. ARCNX — Risk / Return Rank
QMHNX
ARCNX
QMHNX vs. ARCNX - 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 Risk-Balanced Commodities Strategy Fund Class N (ARCNX). 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 | ARCNX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.88 | 1.93 | -0.04 |
Sortino ratioReturn per unit of downside risk | 2.31 | 2.42 | -0.10 |
Omega ratioGain probability vs. loss probability | 1.34 | 1.36 | -0.02 |
Calmar ratioReturn relative to maximum drawdown | 3.28 | 3.09 | +0.19 |
Martin ratioReturn relative to average drawdown | 8.73 | 9.73 | -1.00 |
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
| QMHNX | ARCNX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.88 | 1.93 | -0.04 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.94 | 0.97 | -0.02 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.31 | 0.73 | -0.43 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.35 | 0.29 | +0.06 |
Correlation
The correlation between QMHNX and ARCNX is -0.01. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.
Dividends
QMHNX vs. ARCNX - Dividend Comparison
QMHNX's dividend yield for the trailing twelve months is around 1.65%, less than ARCNX's 11.53% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
QMHNX AQR Managed Futures Strategy HV Fund Class N | 1.65% | 1.89% | 2.09% | 7.36% | 8.75% | 10.64% | 7.79% | 3.80% | 0.00% | 0.00% | 0.01% | 7.47% |
ARCNX AQR Risk-Balanced Commodities Strategy Fund Class N | 11.53% | 13.57% | 1.89% | 7.45% | 9.45% | 18.31% | 0.09% | 4.98% | 0.29% | 0.01% | 4.69% | 0.00% |
Drawdowns
QMHNX vs. ARCNX - Drawdown Comparison
The maximum QMHNX drawdown since its inception was -40.29%, smaller than the maximum ARCNX drawdown of -55.17%. Use the drawdown chart below to compare losses from any high point for QMHNX and ARCNX.
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Drawdown Indicators
| QMHNX | ARCNX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -40.29% | -55.17% | +14.88% |
Max Drawdown (1Y)Largest decline over 1 year | -8.40% | -8.28% | -0.12% |
Max Drawdown (5Y)Largest decline over 5 years | -19.23% | -20.30% | +1.07% |
Max Drawdown (10Y)Largest decline over 10 years | -35.34% | -32.80% | -2.54% |
Current DrawdownCurrent decline from peak | -0.79% | -0.47% | -0.32% |
Average DrawdownAverage peak-to-trough decline | -18.51% | -26.26% | +7.75% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.16% | 3.21% | -0.05% |
Volatility
QMHNX vs. ARCNX - Volatility Comparison
The current volatility for AQR Managed Futures Strategy HV Fund Class N (QMHNX) is 3.86%, while AQR Risk-Balanced Commodities Strategy Fund Class N (ARCNX) has a volatility of 5.33%. This indicates that QMHNX experiences smaller price fluctuations and is considered to be less risky than ARCNX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| QMHNX | ARCNX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.86% | 5.33% | -1.47% |
Volatility (6M)Calculated over the trailing 6-month period | 9.98% | 12.58% | -2.60% |
Volatility (1Y)Calculated over the trailing 1-year period | 14.17% | 15.92% | -1.75% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 17.22% | 19.15% | -1.93% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 15.45% | 17.46% | -2.01% |