QMHNX vs. QMHIX
QMHNX (AQR Managed Futures Strategy HV Fund Class N) and QMHIX (AQR Managed Futures Strategy HV Fund) are both Systematic Trend funds. Over the past 10 years, QMHNX returned 4.74%/yr vs 4.99%/yr for QMHIX. With a 1.00 correlation, they move nearly in lockstep. QMHNX charges 4.12%/yr vs 1.65%/yr for QMHIX.
Performance
QMHNX vs. QMHIX - Performance Comparison
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Returns By Period
The year-to-date returns for both investments are quite close, with QMHNX having a 15.24% return and QMHIX slightly higher at 15.33%. Over the past 10 years, QMHNX has underperformed QMHIX with an annualized return of 4.74%, while QMHIX has yielded a comparatively higher 4.99% annualized return.
QMHNX
- 1D
- 1.24%
- 1M
- -0.95%
- YTD
- 15.24%
- 6M
- 16.15%
- 1Y
- 33.76%
- 3Y*
- 15.00%
- 5Y*
- 16.77%
- 10Y*
- 4.74%
QMHIX
- 1D
- 1.16%
- 1M
- -0.96%
- YTD
- 15.33%
- 6M
- 16.25%
- 1Y
- 34.04%
- 3Y*
- 15.28%
- 5Y*
- 17.07%
- 10Y*
- 4.99%
QMHNX vs. QMHIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
QMHNX AQR Managed Futures Strategy HV Fund Class N | 15.24% | 19.65% | 10.48% | -0.40% | 49.64% | -2.30% | -0.85% | 1.55% | -14.59% | -2.06% |
QMHIX AQR Managed Futures Strategy HV Fund | 15.33% | 19.97% | 10.78% | -0.17% | 50.14% | -2.08% | -0.73% | 1.82% | -14.44% | -1.72% |
Correlation
The correlation between QMHNX and QMHIX is 1.00 - 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 | 1.00 |
Correlation (3Y) Calculated over the trailing 3-year period | 1.00 |
Correlation (5Y) Calculated over the trailing 5-year period | 1.00 |
Correlation (10Y) Calculated over the trailing 10-year period | 1.00 |
Correlation (All Time) Calculated using the full available price history since Jan 2, 2014 | 1.00 |
The correlation between QMHNX and QMHIX has been stable across timeframes, ranging from 1.00 to 1.00 - a consistent structural relationship.
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Return for Risk
QMHNX vs. QMHIX — Risk / Return Rank
QMHNX
QMHIX
QMHNX vs. QMHIX - 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 HV Fund (QMHIX). 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 | QMHIX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.02 | ||
| Sortino ratioReturn per unit of downside risk | -0.03 | ||
| Omega ratioGain probability vs. loss probability | 1.44 | 1.45 | -0.01 |
| Calmar ratioReturn relative to maximum drawdown | 7.15 | 7.18 | -0.02 |
| Martin ratioReturn relative to average drawdown | 20.60 | 20.80 | -0.20 |
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Drawdowns
QMHNX vs. QMHIX - Drawdown Comparison
The maximum QMHNX drawdown since its inception was -40.29%, roughly equal to the maximum QMHIX drawdown of -39.37%. Use the drawdown chart below to compare losses from any high point for QMHNX and QMHIX.
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Drawdown Indicators
| QMHNX | QMHIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -40.29% | -39.37% | -0.92% |
Max Drawdown (1Y)Largest decline over 1 year | -4.81% | -4.83% | +0.02% |
Max Drawdown (3Y)Largest decline over 3 years | -19.23% | -19.06% | -0.17% |
Max Drawdown (5Y)Largest decline over 5 years | -19.23% | -19.06% | -0.17% |
Max Drawdown (10Y)Largest decline over 10 years | -35.34% | -34.54% | -0.80% |
Current DrawdownCurrent decline from peak | -3.14% | -3.15% | +0.01% |
Average DrawdownAverage peak-to-trough decline | -18.21% | -17.75% | -0.46% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.66% | 1.66% | 0.00% |
Volatility
QMHNX vs. QMHIX - Volatility Comparison
AQR Managed Futures Strategy HV Fund Class N (QMHNX) and AQR Managed Futures Strategy HV Fund (QMHIX) have volatilities of 4.02% and 3.97%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| QMHNX | QMHIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.02% | 3.97% | +0.05% |
Volatility (6M)Calculated over the trailing 6-month period | 9.87% | 9.92% | -0.05% |
Volatility (1Y)Calculated over the trailing 1-year period | 13.01% | 13.02% | -0.01% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 17.26% | 17.31% | -0.05% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 15.45% | 15.49% | -0.04% |
QMHNX vs. QMHIX - Expense Ratio Comparison
QMHNX has a 4.12% expense ratio, which is higher than QMHIX's 1.65% expense ratio.
Dividends
QMHNX vs. QMHIX - Dividend Comparison
QMHNX's dividend yield for the trailing twelve months is around 1.64%, less than QMHIX's 1.77% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
QMHIX AQR Managed Futures Strategy HV Fund | 1.77% | 2.05% | 2.31% | 7.66% | 9.34% | 10.96% | 9.52% | 4.18% | 0.00% | 0.00% | 0.01% | 7.57% |
QMHNX AQR Managed Futures Strategy HV Fund Class N | 1.64% | 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
With a correlation of 1.00, QMHNX and QMHIX 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.
QMHNX has higher volatility (4.02%) compared to QMHIX (3.97%). In terms of maximum drawdown, QMHNX dropped -40.29% vs QMHIX's -39.37%.
QMHIX currently has the higher Sharpe Ratio (2.67 vs 2.65), 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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