QRPIX vs. QGMIX
QRPIX (AQR Alternative Risk Premia Fund - Class I) and QGMIX (AQR Macro Opportunities Fund) are both Multistrategy funds from AQR. Over the past 5 years, QRPIX returned 19.85%/yr vs 4.93%/yr for QGMIX. Their 0.45 correlation means their historical movements had little consistent relationship. QRPIX charges 1.48%/yr vs 1.20%/yr for QGMIX.
Performance
QRPIX vs. QGMIX - Performance Comparison
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Returns By Period
In the year-to-date period, QRPIX achieves a 21.98% return, which is significantly higher than QGMIX's -0.61% return.
QRPIX
- 1D
- 0.18%
- 1M
- 5.67%
- 6M
- 16.88%
- YTD
- 21.98%
- 1Y
- 37.27%
- 3Y*
- 22.75%
- 5Y*
- 19.85%
- 10Y*
- —
- ALL TIME*
- 8.89%
QGMIX
- 1D
- -0.21%
- 1M
- 0.21%
- 6M
- -4.05%
- YTD
- -0.61%
- 1Y
- 0.52%
- 3Y*
- 1.87%
- 5Y*
- 4.93%
- 10Y*
- 3.62%
- ALL TIME*
- 3.08%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $0.00 | $0.00 | $0.00 |
QRPIX vs. QGMIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | |
|---|---|---|---|---|---|---|---|---|---|
QRPIX AQR Alternative Risk Premia Fund - Class I | 21.98% | 23.39% | 18.85% | 7.23% | 25.26% | 14.27% | -21.04% | -2.98% | -4.46% |
QGMIX AQR Macro Opportunities Fund | -0.61% | 4.00% | -0.95% | 0.01% | 29.30% | -4.54% | 1.60% | 4.90% | -0.61% |
Correlation
The correlation between QRPIX and QGMIX is 0.48, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.48 |
Correlation (3Y) Balances recent behavior with more history. | 0.45 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.52 |
Correlation (All Time) Calculated using the full available price history since May 21, 2018 | 0.45 |
The correlation between QRPIX and QGMIX has been stable across timeframes, ranging from 0.45 to 0.52 - a consistent structural relationship.
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Return for Risk
QRPIX vs. QGMIX — Risk / Return Rank
QRPIX
QGMIX
QRPIX vs. QGMIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Alternative Risk Premia Fund - Class I (QRPIX) and AQR Macro Opportunities Fund (QGMIX). 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.
| QRPIX | QGMIX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +4.00 | ||
| Sortino ratioReturn per unit of downside risk | +5.71 | ||
| Omega ratioGain probability vs. loss probability | 1.67 | 0.97 | +0.70 |
| Calmar ratioReturn relative to maximum drawdown | 9.92 | -0.25 | +10.17 |
| Martin ratioReturn relative to average drawdown | 26.79 | -0.54 | +27.33 |
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Drawdowns
QRPIX vs. QGMIX - Drawdown Comparison
The maximum QRPIX drawdown since its inception was -28.45%, which is greater than QGMIX's maximum drawdown of -13.48%. Use the drawdown chart below to compare losses from any high point for QRPIX and QGMIX.
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Drawdown Indicators
| QRPIX | QGMIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -28.45% | -13.48% | -14.97% |
Max Drawdown (1Y)Largest decline over 1 year | -3.59% | -5.47% | +1.88% |
Max Drawdown (3Y)Largest decline over 3 years | -11.29% | -13.48% | +2.19% |
Max Drawdown (5Y)Largest decline over 5 years | -11.29% | -13.48% | +2.19% |
Max Drawdown (10Y)Largest decline over 10 years | — | -13.48% | — |
Current DrawdownCurrent decline from peak | 0.00% | -5.24% | +5.24% |
Average DrawdownAverage peak-to-trough decline | -7.52% | -3.95% | -3.57% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.33% | 2.60% | -1.27% |
Volatility
QRPIX vs. QGMIX - Volatility Comparison
AQR Alternative Risk Premia Fund - Class I (QRPIX) has a higher volatility of 2.50% compared to AQR Macro Opportunities Fund (QGMIX) at 1.90%. This indicates that QRPIX's price experiences larger fluctuations and is considered to be riskier than QGMIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| QRPIX | QGMIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.50% | 1.90% | +0.60% |
Volatility (6M)Calculated over the trailing 6-month period | 6.87% | 4.17% | +2.70% |
Volatility (1Y)Calculated over the trailing 1-year period | 9.46% | 5.94% | +3.52% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 11.86% | 9.83% | +2.03% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 10.34% | 8.38% | +1.96% |
QRPIX vs. QGMIX - Expense Ratio Comparison
QRPIX has a 1.48% expense ratio, which is higher than QGMIX's 1.20% expense ratio.
Dividends
QRPIX vs. QGMIX - Dividend Comparison
QRPIX's dividend yield for the trailing twelve months is around 1.19%, less than QGMIX's 1.45% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
QGMIX AQR Macro Opportunities Fund | 1.45% | 1.44% | 1.92% | 10.07% | 7.48% | 1.49% | 0.96% | 0.05% | 3.92% | 0.04% | 6.05% | 5.30% |
QRPIX AQR Alternative Risk Premia Fund - Class I | 1.19% | 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
QRPIX and QGMIX have a correlation of 0.48, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
QRPIX has higher volatility (2.50%) compared to QGMIX (1.90%). In terms of maximum drawdown, QRPIX dropped -28.45% vs QGMIX's -13.48%.
QRPIX currently has the higher Sharpe Ratio (3.76 vs -0.24), 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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