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QNZNX vs. AQMIX
Performance
Return for Risk
Drawdowns
Volatility
Dividends

QNZNX vs. AQMIX

Last updated Jun 24, 2026

QNZNX (AQR Trend Total Return Fund) and AQMIX (AQR Managed Futures Strategy Fund) are both Systematic Trend funds from AQR Funds. Over the past 3 years, QNZNX returned 30.04%/yr vs 11.91%/yr for AQMIX. At a 0.36 correlation, their price movements are largely independent. QNZNX charges 1.52%/yr vs 1.25%/yr for AQMIX.

Performance

QNZNX vs. AQMIX - Performance Comparison

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

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Returns By Period

In the year-to-date period, QNZNX achieves a 15.35% return, which is significantly higher than AQMIX's 11.91% return.

QNZNX

1D
0.71%
1M
-0.75%
YTD
15.35%
6M
15.35%
1Y
36.55%
3Y*
30.04%
5Y*
—
10Y*
—

AQMIX

1D
1.13%
1M
-0.37%
YTD
11.91%
6M
12.39%
1Y
25.63%
3Y*
11.91%
5Y*
13.30%
10Y*
4.55%
*Multi-year figures are annualized to reflect compound growth (CAGR)

QNZNX vs. AQMIX - Yearly Performance Comparison

2026 (YTD)2025202420232022
QNZNX
AQR Trend Total Return Fund		15.35%22.88%34.96%22.73%1.37%
AQMIX
AQR Managed Futures Strategy Fund		11.91%14.62%8.13%2.08%17.23%

Correlation

The correlation between QNZNX and AQMIX is 0.81, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

0.81

Correlation (3Y)
Calculated over the trailing 3-year period

0.55

Correlation (All Time)
Calculated using the full available price history since Mar 17, 2022

0.36

Over the past year, QNZNX and AQMIX have become more correlated (0.81) than their long-term average of 0.36, meaning their price movements have been converging.

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AQR Trend Total Return Fund

AQR Managed Futures Strategy Fund

Often compared with QNZNX:
QNZNX vs. QLENXQNZNX vs. QRPIXQNZNX vs. QMHIXQNZNX vs. QMNNXQNZNX vs. QLEIXQNZNX vs. QSPIXQNZNX vs. SPMO
Often compared with AQMIX:
AQMIX vs. DBMFAQMIX vs. QSPIXAQMIX vs. AHLPXAQMIX vs. CTAAQMIX vs. CRSOXAQMIX vs. AUEIXAQMIX vs. VOLSX

Return for Risk

QNZNX vs. AQMIX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
QNZNX
QNZNX Risk / Return Rank: 9595
Overall Rank
QNZNX Sharpe Ratio Rank: 9797
Sharpe Ratio Rank
QNZNX Sortino Ratio Rank: 9393
Sortino Ratio Rank
QNZNX Omega Ratio Rank: 9090
Omega Ratio Rank
QNZNX Calmar Ratio Rank: 9898
Calmar Ratio Rank
QNZNX Martin Ratio Rank: 9898
Martin Ratio Rank
AQMIX
AQMIX Risk / Return Rank: 9292
Overall Rank
AQMIX Sharpe Ratio Rank: 9393
Sharpe Ratio Rank
AQMIX Sortino Ratio Rank: 8989
Sortino Ratio Rank
AQMIX Omega Ratio Rank: 8484
Omega Ratio Rank
AQMIX Calmar Ratio Rank: 9898
Calmar Ratio Rank
AQMIX Martin Ratio Rank: 9797
Martin Ratio Rank
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.

QNZNX vs. AQMIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for AQR Trend Total Return Fund (QNZNX) 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.

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.

QNZNXAQMIXDifference
Sharpe ratioReturn per unit of total volatility
3.42
2.93

+0.49

Sortino ratioReturn per unit of downside risk
4.39
4.00

+0.39

Omega ratioGain probability vs. loss probability

1.61

1.52

+0.09

Calmar ratioReturn relative to maximum drawdown

7.71

8.58

-0.87

Martin ratioReturn relative to average drawdown

27.56

25.60

+1.96

QNZNX vs. AQMIX - Sharpe Ratio Comparison

The current QNZNX Sharpe Ratio is 3.42, which is comparable to the AQMIX Sharpe Ratio of 2.93. The chart below compares the historical Sharpe Ratios of QNZNX 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.

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Drawdowns

QNZNX vs. AQMIX - Drawdown Comparison

The maximum QNZNX drawdown since its inception was -18.38%, smaller than the maximum AQMIX drawdown of -26.52%. Use the drawdown chart below to compare losses from any high point for QNZNX and AQMIX.

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Drawdown Indicators

QNZNXAQMIXDifference

Max Drawdown

Largest peak-to-trough decline

-18.38%

-26.52%

+8.14%

Max Drawdown (1Y)

Largest decline over 1 year

-4.88%

-3.03%

-1.85%

Max Drawdown (3Y)

Largest decline over 3 years

-13.48%

-13.57%

+0.09%

Max Drawdown (5Y)

Largest decline over 5 years

—

-13.57%

—

Max Drawdown (10Y)

Largest decline over 10 years

—

-23.34%

—

Current Drawdown

Current decline from peak

-2.74%

-1.65%

-1.09%

Average Drawdown

Average peak-to-trough decline

-2.77%

-9.98%

+7.21%

Ulcer Index

Depth and duration of drawdowns from previous peaks

1.36%

1.01%

+0.35%

Volatility

QNZNX vs. AQMIX - Volatility Comparison

AQR Trend Total Return Fund (QNZNX) has a higher volatility of 3.42% compared to AQR Managed Futures Strategy Fund (AQMIX) at 2.83%. This indicates that QNZNX'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.

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Volatility by Period

QNZNXAQMIXDifference

Volatility (1M)

Calculated over the trailing 1-month period

3.42%

2.83%

+0.59%

Volatility (6M)

Calculated over the trailing 6-month period

7.51%

6.82%

+0.69%

Volatility (1Y)

Calculated over the trailing 1-year period

11.02%

8.90%

+2.12%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

12.06%

11.60%

+0.46%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

12.06%

10.36%

+1.70%

QNZNX vs. AQMIX - Expense Ratio Comparison

QNZNX has a 1.52% expense ratio, which is higher than AQMIX's 1.25% expense ratio.

Dividends

QNZNX vs. AQMIX - Dividend Comparison

QNZNX's dividend yield for the trailing twelve months is around 0.74%, less than AQMIX's 2.02% yield.

PositionTTM20252024202320222021202020192018201720162015
AQMIX
AQR Managed Futures Strategy Fund		2.02%2.26%3.83%8.39%12.76%6.94%5.31%3.13%0.00%0.00%0.02%6.51%
QNZNX
AQR Trend Total Return Fund		0.74%0.86%16.46%23.14%2.04%0.00%0.00%0.00%0.00%0.00%0.00%0.00%

Frequently Asked Questions

QNZNX and AQMIX have a correlation of 0.81, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

QNZNX has higher volatility (3.42%) compared to AQMIX (2.83%). In terms of maximum drawdown, QNZNX dropped -18.38% vs AQMIX's -26.52%.

QNZNX currently has the higher Sharpe Ratio (3.42 vs 2.93), 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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