QRPIX vs. QGMIX
Compare and contrast key facts about AQR Alternative Risk Premia Fund (QRPIX) and AQR Macro Opportunities Fund (QGMIX).
QRPIX is managed by AQR Funds. It was launched on Sep 18, 2017. QGMIX is managed by AQR Funds. It was launched on Apr 7, 2014.
Performance
QRPIX vs. QGMIX - Performance Comparison
Loading graphics...
QRPIX vs. QGMIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | |
|---|---|---|---|---|---|---|---|---|---|
QRPIX AQR Alternative Risk Premia Fund | 9.02% | 23.39% | 18.85% | 7.23% | 25.26% | 14.27% | -21.04% | -2.98% | -4.46% |
QGMIX AQR Macro Opportunities Fund | 1.64% | 4.00% | -0.95% | 0.01% | 29.30% | -4.54% | 1.60% | 4.90% | -0.82% |
Returns By Period
In the year-to-date period, QRPIX achieves a 9.02% return, which is significantly higher than QGMIX's 1.64% return.
QRPIX
- 1D
- 0.47%
- 1M
- -0.13%
- YTD
- 9.02%
- 6M
- 14.21%
- 1Y
- 19.32%
- 3Y*
- 20.11%
- 5Y*
- 17.72%
- 10Y*
- —
QGMIX
- 1D
- -0.50%
- 1M
- -1.29%
- YTD
- 1.64%
- 6M
- 0.14%
- 1Y
- -1.52%
- 3Y*
- 2.37%
- 5Y*
- 4.51%
- 10Y*
- 3.62%
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
QRPIX vs. QGMIX - Expense Ratio Comparison
QRPIX has a 1.40% expense ratio, which is higher than QGMIX's 1.20% expense ratio.
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 (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.
| QRPIX | QGMIX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.82 | -0.13 | +1.95 |
Sortino ratioReturn per unit of downside risk | 2.23 | -0.12 | +2.35 |
Omega ratioGain probability vs. loss probability | 1.37 | 0.98 | +0.38 |
Calmar ratioReturn relative to maximum drawdown | 1.92 | -0.18 | +2.09 |
Martin ratioReturn relative to average drawdown | 6.52 | -0.44 | +6.95 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Loading graphics...
Sharpe Ratios by Period
| QRPIX | QGMIX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.82 | -0.13 | +1.95 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 1.52 | 0.45 | +1.06 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.43 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.75 | 0.41 | +0.34 |
Correlation
The correlation between QRPIX and QGMIX is 0.45, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Dividends
QRPIX vs. QGMIX - Dividend Comparison
QRPIX's dividend yield for the trailing twelve months is around 1.33%, less than QGMIX's 1.41% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
QRPIX AQR Alternative Risk Premia Fund | 1.33% | 1.45% | 2.24% | 4.52% | 0.00% | 4.08% | 1.98% | 0.85% | 0.09% | 0.00% | 0.00% | 0.00% |
QGMIX AQR Macro Opportunities Fund | 1.41% | 1.44% | 1.92% | 10.07% | 7.48% | 1.49% | 0.96% | 0.05% | 3.92% | 0.04% | 6.05% | 5.30% |
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.
Loading graphics...
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 | -10.79% | -8.68% | -2.11% |
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 | -0.47% | -3.09% | +2.62% |
Average DrawdownAverage peak-to-trough decline | -7.80% | -3.95% | -3.85% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.26% | 3.47% | -0.21% |
Volatility
QRPIX vs. QGMIX - Volatility Comparison
AQR Alternative Risk Premia Fund (QRPIX) has a higher volatility of 2.55% compared to AQR Macro Opportunities Fund (QGMIX) at 2.20%. 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.
Loading graphics...
Volatility by Period
| QRPIX | QGMIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.55% | 2.20% | +0.35% |
Volatility (6M)Calculated over the trailing 6-month period | 6.48% | 4.32% | +2.16% |
Volatility (1Y)Calculated over the trailing 1-year period | 11.43% | 7.83% | +3.60% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 11.73% | 9.98% | +1.75% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 10.35% | 8.37% | +1.98% |