QMHNX vs. GFIRX

Last updated Aug 1, 2026

QMHNX (AQR Managed Futures Strategy HV Fund Class N) and GFIRX (Goldman Sachs Managed Futures Strategy Fund) are both Systematic Trend funds. Over the past 10 years, QMHNX returned 4.37%/yr vs 2.69%/yr for GFIRX. Their 0.70 correlation means they have sometimes moved together and sometimes differently. QMHNX charges 4.12%/yr vs 1.33%/yr for GFIRX.

Performance

QMHNX vs. GFIRX - 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 Goldman Sachs Managed Futures Strategy Fund (GFIRX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, QMHNX achieves a 12.31% return, which is significantly higher than GFIRX's 5.85% return. Over the past 10 years, QMHNX has outperformed GFIRX with an annualized return of 4.37%, while GFIRX has yielded a comparatively lower 2.69% 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%

GFIRX

• 1D: -0.31%
• 1M: 1.03%
• 6M: 3.61%
• YTD: 5.85%
• 1Y: 16.31%
• 3Y*: -0.47%
• 5Y*: 3.46%
• 10Y*: 2.69%
• ALL TIME*: 2.31%

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

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
GFIRX Goldman Sachs Managed Futures Strategy Fund	$0.00	$0.00	$0.00
QMHNX AQR Managed Futures Strategy HV Fund Class N	$0.00	$0.00	$0.00

QMHNX vs. GFIRX - 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%
GFIRX Goldman Sachs Managed Futures Strategy Fund	5.85%	0.54%	-5.17%	-3.87%	20.44%	4.86%	6.94%	2.61%	-2.24%	2.56%

Correlation

The correlation between QMHNX and GFIRX 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.	0.65
Correlation (5Y) Shows whether the relationship held over a longer period.	0.64
Correlation (10Y) Provides a long-term view across more market conditions.	0.69
Correlation (All Time) Calculated using the full available price history since Jan 2, 2014	0.70

The correlation between QMHNX and GFIRX has been stable across timeframes, ranging from 0.64 to 0.70 - a consistent structural relationship.

Return for Risk

QMHNX vs. GFIRX — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

QMHNX

QMHNX Risk / Return Rank: 80
QMHNX Sharpe Ratio Rank: 81
QMHNX Sortino Ratio Rank: 74
QMHNX Omega Ratio Rank: 73
QMHNX Calmar Ratio Rank: 87
QMHNX Martin Ratio Rank: 85

GFIRX

GFIRX Risk / Return Rank: 75
GFIRX Sharpe Ratio Rank: 74
GFIRX Sortino Ratio Rank: 72
GFIRX Omega Ratio Rank: 70
GFIRX Calmar Ratio Rank: 86
GFIRX Martin Ratio Rank: 72

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

QMHNX vs. GFIRX - 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 Goldman Sachs Managed Futures Strategy Fund (GFIRX). 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	GFIRX	Difference
Sharpe ratio: Return per unit of total volatility	1.92	1.75	+0.17
Sortino ratio: Return per unit of downside risk	2.52	2.46	+0.06
Omega ratio: Gain probability vs. loss probability	1.32	1.31	+0.01
Calmar ratio: Return relative to maximum drawdown	3.10	3.05	+0.06
Martin ratio: Return relative to average drawdown	10.65	8.88	+1.78

QMHNX vs. GFIRX - Sharpe Ratio Comparison

The current QMHNX Sharpe Ratio is 1.92, which is comparable to the GFIRX Sharpe Ratio of 1.75. The chart below compares the historical Sharpe Ratios of QMHNX and GFIRX, 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. GFIRX - Drawdown Comparison

The maximum QMHNX drawdown since its inception was -40.29%, which is greater than GFIRX's maximum drawdown of -23.09%. Use the drawdown chart below to compare losses from any high point for QMHNX and GFIRX.

Drawdown Indicators

	QMHNX	GFIRX	Difference
Max Drawdown Largest peak-to-trough decline	-40.29%	-23.09%	-17.20%
Max Drawdown (1Y) Largest decline over 1 year	-8.74%	-4.86%	-3.88%
Max Drawdown (3Y) Largest decline over 3 years	-19.23%	-22.39%	+3.16%
Max Drawdown (5Y) Largest decline over 5 years	-19.23%	-23.09%	+3.86%
Max Drawdown (10Y) Largest decline over 10 years	-33.81%	-23.09%	-10.72%
Current Drawdown Current decline from peak	-5.60%	-7.35%	+1.75%
Average Drawdown Average peak-to-trough decline	-18.10%	-7.02%	-11.08%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.54%	1.66%	+0.88%

Volatility

QMHNX vs. GFIRX - Volatility Comparison

AQR Managed Futures Strategy HV Fund Class N (QMHNX) has a higher volatility of 5.28% compared to Goldman Sachs Managed Futures Strategy Fund (GFIRX) at 2.56%. This indicates that QMHNX's price experiences larger fluctuations and is considered to be riskier than GFIRX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	QMHNX	GFIRX	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.28%	2.56%	+2.72%
Volatility (6M) Calculated over the trailing 6-month period	10.96%	6.89%	+4.07%
Volatility (1Y) Calculated over the trailing 1-year period	14.14%	8.47%	+5.67%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.27%	10.44%	+6.83%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	15.29%	9.11%	+6.18%

QMHNX vs. GFIRX - Expense Ratio Comparison

QMHNX has a 4.12% expense ratio, which is higher than GFIRX's 1.33% expense ratio.

Dividends

QMHNX vs. GFIRX - Dividend Comparison

QMHNX's dividend yield for the trailing twelve months is around 1.68%, while GFIRX has not paid dividends to shareholders.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
GFIRX Goldman Sachs Managed Futures Strategy Fund	0.00%	0.00%	0.00%	0.00%	20.11%	7.35%	1.21%	7.06%	0.16%	0.49%	0.00%	3.98%
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 GFIRX in my portfolio?

QMHNX and GFIRX 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.

Which is riskier, QMHNX or GFIRX?

QMHNX has higher volatility (5.28%) compared to GFIRX (2.56%). In terms of maximum drawdown, QMHNX dropped -40.29% vs GFIRX's -23.09%.

Which has better risk-adjusted returns?

QMHNX currently has the higher Sharpe Ratio (1.92 vs 1.75), 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.