QMHNX vs. EMGF

Last updated Jul 17, 2026

QMHNX (AQR Managed Futures Strategy HV Fund Class N) and EMGF (iShares Edge MSCI Multifactor Emerging Markets ETF) are both funds - QMHNX is a Systematic Trend fund actively managed by AQR, while EMGF is a Emerging Markets Equities fund tracking the MSCI Emerging Markets Diversified Multiple-Factor Index. QMHNX is actively managed, while EMGF is passively managed. Over the past 10 years, QMHNX returned 4.73%/yr vs 9.87%/yr for EMGF. At a 0.00 correlation, their price movements are largely independent. QMHNX charges 4.12%/yr vs 0.45%/yr for EMGF.

Performance

QMHNX vs. EMGF - 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 iShares Edge MSCI Multifactor Emerging Markets ETF (EMGF). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, QMHNX achieves a 12.51% return, which is significantly lower than EMGF's 19.60% return. Over the past 10 years, QMHNX has underperformed EMGF with an annualized return of 4.73%, while EMGF has yielded a comparatively higher 9.87% annualized return.

QMHNX

• 1D: -0.62%
• 1M: -0.89%
• 6M: 8.36%
• YTD: 12.51%
• 1Y: 30.00%
• 3Y*: 14.50%
• 5Y*: 17.33%
• 10Y*: 4.73%

EMGF

• 1D: -2.03%
• 1M: -7.11%
• 6M: 12.63%
• YTD: 19.60%
• 1Y: 32.59%
• 3Y*: 21.46%
• 5Y*: 9.19%
• 10Y*: 9.87%

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

QMHNX vs. EMGF - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
QMHNX AQR Managed Futures Strategy HV Fund Class N	12.51%	19.65%	10.48%	-0.40%	49.64%	-2.30%	-0.85%	1.55%	-14.59%	-2.06%
EMGF iShares Edge MSCI Multifactor Emerging Markets ETF	19.60%	31.41%	9.06%	10.86%	-16.55%	6.65%	10.27%	20.96%	-19.71%	42.37%

Correlation

The correlation between QMHNX and EMGF is 0.24, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.24
Correlation (3Y) Calculated over the trailing 3-year period	0.08
Correlation (5Y) Calculated over the trailing 5-year period	-0.06
Correlation (10Y) Calculated over the trailing 10-year period	0.03
Correlation (All Time) Calculated using the full available price history since Dec 10, 2015	0.00

Over the past year, QMHNX and EMGF have become more correlated (0.24) than their long-term average of 0.00, meaning their price movements have been converging.

Return for Risk

QMHNX vs. EMGF — Risk / Return Rank

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

QMHNX

QMHNX Risk / Return Rank: 83
QMHNX Sharpe Ratio Rank: 84
QMHNX Sortino Ratio Rank: 77
QMHNX Omega Ratio Rank: 76
QMHNX Calmar Ratio Rank: 88
QMHNX Martin Ratio Rank: 87

EMGF

EMGF Risk / Return Rank: 53
EMGF Sharpe Ratio Rank: 49
EMGF Sortino Ratio Rank: 45
EMGF Omega Ratio Rank: 53
EMGF Calmar Ratio Rank: 60
EMGF Martin Ratio Rank: 58

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. EMGF - 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 iShares Edge MSCI Multifactor Emerging Markets ETF (EMGF). 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	EMGF	Difference
Sharpe ratio: Return per unit of total volatility	2.25	1.39	+0.86
Sortino ratio: Return per unit of downside risk	2.91	1.90	+1.01
Omega ratio: Gain probability vs. loss probability	1.38	1.27	+0.11
Calmar ratio: Return relative to maximum drawdown	3.48	2.42	+1.06
Martin ratio: Return relative to average drawdown	12.91	8.04	+4.88

QMHNX vs. EMGF - Sharpe Ratio Comparison

The current QMHNX Sharpe Ratio is 2.25, which is higher than the EMGF Sharpe Ratio of 1.39. The chart below compares the historical Sharpe Ratios of QMHNX and EMGF, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

QMHNX vs. EMGF - Drawdown Comparison

The maximum QMHNX drawdown since its inception was -40.29%, roughly equal to the maximum EMGF drawdown of -40.23%. Use the drawdown chart below to compare losses from any high point for QMHNX and EMGF.

Drawdown Indicators

	QMHNX	EMGF	Difference
Max Drawdown Largest peak-to-trough decline	-40.29%	-40.23%	-0.06%
Max Drawdown (1Y) Largest decline over 1 year	-8.74%	-13.54%	+4.80%
Max Drawdown (3Y) Largest decline over 3 years	-19.23%	-17.65%	-1.58%
Max Drawdown (5Y) Largest decline over 5 years	-19.23%	-28.17%	+8.94%
Max Drawdown (10Y) Largest decline over 10 years	-33.81%	-40.23%	+6.42%
Current Drawdown Current decline from peak	-5.43%	-10.06%	+4.63%
Average Drawdown Average peak-to-trough decline	-18.15%	-10.00%	-8.15%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.35%	4.07%	-1.72%

Volatility

QMHNX vs. EMGF - Volatility Comparison

The current volatility for AQR Managed Futures Strategy HV Fund Class N (QMHNX) is 4.94%, while iShares Edge MSCI Multifactor Emerging Markets ETF (EMGF) has a volatility of 9.60%. This indicates that QMHNX experiences smaller price fluctuations and is considered to be less risky than EMGF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	QMHNX	EMGF	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.94%	9.60%	-4.66%
Volatility (6M) Calculated over the trailing 6-month period	10.37%	21.63%	-11.26%
Volatility (1Y) Calculated over the trailing 1-year period	13.50%	23.52%	-10.02%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.27%	18.55%	-1.28%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	15.24%	19.72%	-4.48%

QMHNX vs. EMGF - Expense Ratio Comparison

QMHNX has a 4.12% expense ratio, which is higher than EMGF's 0.45% expense ratio.

Dividends

QMHNX vs. EMGF - Dividend Comparison

QMHNX's dividend yield for the trailing twelve months is around 1.68%, less than EMGF's 2.10% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
EMGF iShares Edge MSCI Multifactor Emerging Markets ETF	2.10%	2.52%	3.42%	5.94%	4.04%	2.48%	1.95%	2.63%	2.73%	1.94%	2.04%	0.00%
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

Can I hold both QMHNX and EMGF in my portfolio?

QMHNX and EMGF have a correlation of 0.24, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, QMHNX or EMGF?

EMGF has higher volatility (9.60%) compared to QMHNX (4.94%). In terms of maximum drawdown, QMHNX dropped -40.29% vs EMGF's -40.23%.

Which has better risk-adjusted returns?

QMHNX currently has the higher Sharpe Ratio (2.25 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.