QRPIX vs. AQMIX

Last updated Jun 5, 2026

QRPIX (AQR Alternative Risk Premia Fund) and AQMIX (AQR Managed Futures Strategy Fund) are both mutual funds - QRPIX is a Multistrategy fund managed by AQR Funds, while AQMIX is a Systematic Trend fund managed by AQR Funds. Over the past 5 years, QRPIX returned 19.72%/yr vs 12.87%/yr for AQMIX. At a 0.45 correlation, their price movements are largely independent. QRPIX charges 1.40%/yr vs 1.25%/yr for AQMIX.

Performance

QRPIX vs. AQMIX - Performance Comparison

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

Returns By Period

In the year-to-date period, QRPIX achieves a 19.72% return, which is significantly higher than AQMIX's 13.79% return.

QRPIX

• 1D: 0.67%
• 1M: 3.79%
• YTD: 19.72%
• 6M: 21.58%
• 1Y: 36.72%
• 3Y*: 23.96%
• 5Y*: 19.72%
• 10Y*: —

AQMIX

• 1D: 0.74%
• 1M: 1.78%
• YTD: 13.79%
• 6M: 15.67%
• 1Y: 25.86%
• 3Y*: 12.79%
• 5Y*: 12.87%
• 10Y*: 5.08%

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

QRPIX vs. AQMIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018
QRPIX AQR Alternative Risk Premia Fund	19.72%	23.39%	18.85%	7.23%	25.26%	14.27%	-21.04%	-2.98%	-4.46%
AQMIX AQR Managed Futures Strategy Fund	13.79%	14.62%	8.13%	2.08%	35.47%	-1.04%	-0.43%	1.92%	-6.56%

Correlation

The correlation between QRPIX and AQMIX is 0.57, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.57
Correlation (3Y) Calculated over the trailing 3-year period	0.52
Correlation (5Y) Calculated over the trailing 5-year period	0.52
Correlation (All Time) Calculated using the full available price history since May 22, 2018	0.45

The correlation between QRPIX and AQMIX shifts across timeframes, from 0.45 (all time) to 0.57 (1 year), reflecting how their relationship changes across market environments.

Return for Risk

QRPIX vs. AQMIX — Risk / Return Rank

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

QRPIX

QRPIX Risk / Return Rank: 97
QRPIX Sharpe Ratio Rank: 98
QRPIX Sortino Ratio Rank: 97
QRPIX Omega Ratio Rank: 93
QRPIX Calmar Ratio Rank: 99
QRPIX Martin Ratio Rank: 98

AQMIX

AQMIX Risk / Return Rank: 90
AQMIX Sharpe Ratio Rank: 90
AQMIX Sortino Ratio Rank: 85
AQMIX Omega Ratio Rank: 81
AQMIX Calmar Ratio Rank: 98
AQMIX Martin Ratio Rank: 97

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.

QRPIX vs. AQMIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for AQR Alternative Risk Premia Fund (QRPIX) 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.

	QRPIX	AQMIX	Difference
Sharpe ratio: Return per unit of total volatility	3.95	3.00	+0.95
Sortino ratio: Return per unit of downside risk	5.75	4.09	+1.66
Omega ratio: Gain probability vs. loss probability	1.72	1.54	+0.18
Calmar ratio: Return relative to maximum drawdown	10.47	8.64	+1.83
Martin ratio: Return relative to average drawdown	30.21	26.76	+3.45
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

QRPIX vs. AQMIX - Sharpe Ratio Comparison

The current QRPIX Sharpe Ratio is 3.95, which is higher than the AQMIX Sharpe Ratio of 3.00. The chart below compares the historical Sharpe Ratios of QRPIX 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.

Sharpe Ratios by Period

	QRPIX	AQMIX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	3.95	3.00	+0.95
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	1.68	1.11	+0.57
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.49	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.86	0.43	+0.43

Drawdowns

QRPIX vs. AQMIX - Drawdown Comparison

The maximum QRPIX drawdown since its inception was -28.45%, which is greater than AQMIX's maximum drawdown of -26.52%. Use the drawdown chart below to compare losses from any high point for QRPIX and AQMIX.

Drawdown Indicators

	QRPIX	AQMIX	Difference
Max Drawdown Largest peak-to-trough decline	-28.45%	-26.52%	-1.93%
Max Drawdown (1Y) Largest decline over 1 year	-3.48%	-3.02%	-0.46%
Max Drawdown (3Y) Largest decline over 3 years	-11.29%	-13.57%	+2.28%
Max Drawdown (5Y) Largest decline over 5 years	-11.29%	-13.57%	+2.28%
Max Drawdown (10Y) Largest decline over 10 years	—	-23.34%	—
Current Drawdown Current decline from peak	0.00%	0.00%	0.00%
Average Drawdown Average peak-to-trough decline	-7.64%	-10.00%	+2.36%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.20%	0.97%	+0.23%

Volatility

QRPIX vs. AQMIX - Volatility Comparison

AQR Alternative Risk Premia Fund (QRPIX) and AQR Managed Futures Strategy Fund (AQMIX) have volatilities of 2.75% and 2.63%, 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.

Volatility by Period

	QRPIX	AQMIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.75%	2.63%	+0.12%
Volatility (6M) Calculated over the trailing 6-month period	6.72%	6.62%	+0.10%
Volatility (1Y) Calculated over the trailing 1-year period	9.23%	8.69%	+0.54%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	11.80%	11.63%	+0.17%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	10.35%	10.37%	-0.02%

QRPIX vs. AQMIX - Expense Ratio Comparison

QRPIX has a 1.40% expense ratio, which is higher than AQMIX's 1.25% expense ratio.

Dividends

QRPIX vs. AQMIX - Dividend Comparison

QRPIX's dividend yield for the trailing twelve months is around 1.21%, less than AQMIX's 1.99% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
AQMIX AQR Managed Futures Strategy Fund	1.99%	2.26%	3.83%	8.39%	12.76%	6.94%	5.31%	3.13%	0.00%	0.00%	0.02%	6.51%
QRPIX AQR Alternative Risk Premia Fund	1.21%	1.45%	2.24%	4.52%	0.00%	4.08%	1.98%	0.85%	0.09%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both QRPIX and AQMIX in my portfolio?

QRPIX and AQMIX have a correlation of 0.57, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, QRPIX or AQMIX?

QRPIX has higher volatility (2.75%) compared to AQMIX (2.63%). In terms of maximum drawdown, QRPIX dropped -28.45% vs AQMIX's -26.52%.

Which has better risk-adjusted returns?

QRPIX currently has the higher Sharpe Ratio (3.95 vs 3.00), 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.