QRPRX vs. AQMIX
QRPRX (AQR Alternative Risk Premia R6) and AQMIX (AQR Managed Futures Strategy Fund - Class I) are both mutual funds - QRPRX is a Multistrategy fund actively managed by AQR, while AQMIX is a Systematic Trend fund managed by AQR. Over the past 5 years, QRPRX returned 19.99%/yr vs 13.71%/yr for AQMIX. Their 0.46 correlation means their historical movements had little consistent relationship. QRPRX charges 4.94%/yr vs 1.25%/yr for AQMIX.
Performance
QRPRX vs. AQMIX - Performance Comparison
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Returns By Period
In the year-to-date period, QRPRX achieves a 22.10% return, which is significantly higher than AQMIX's 10.24% return.
QRPRX
- 1D
- 0.18%
- 1M
- 5.64%
- 6M
- 16.93%
- YTD
- 22.10%
- 1Y
- 37.43%
- 3Y*
- 22.90%
- 5Y*
- 19.99%
- 10Y*
- —
- ALL TIME*
- 9.01%
AQMIX
- 1D
- -0.09%
- 1M
- 2.13%
- 6M
- 5.39%
- YTD
- 10.24%
- 1Y
- 23.61%
- 3Y*
- 11.95%
- 5Y*
- 13.71%
- 10Y*
- 4.33%
- ALL TIME*
- 3.97%
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 |
QRPRX vs. AQMIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | |
|---|---|---|---|---|---|---|---|---|---|
QRPRX AQR Alternative Risk Premia R6 | 22.10% | 23.57% | 18.88% | 7.30% | 25.46% | 14.33% | -20.91% | -2.94% | -4.35% |
AQMIX AQR Managed Futures Strategy Fund - Class I | 10.24% | 14.62% | 8.13% | 2.08% | 35.47% | -1.04% | -0.43% | 1.92% | -6.24% |
Correlation
The correlation between QRPRX and AQMIX is 0.60, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.60 |
Correlation (3Y) Balances recent behavior with more history. | 0.53 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.53 |
Correlation (All Time) Calculated using the full available price history since May 21, 2018 | 0.46 |
The correlation between QRPRX and AQMIX shifts across timeframes, from 0.46 (all time) to 0.60 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
QRPRX vs. AQMIX — Risk / Return Rank
QRPRX
AQMIX
QRPRX vs. AQMIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Alternative Risk Premia R6 (QRPRX) and AQR Managed Futures Strategy Fund - Class I (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.
| QRPRX | AQMIX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.54 | ||
| Sortino ratioReturn per unit of downside risk | +2.40 | ||
| Omega ratioGain probability vs. loss probability | 1.68 | 1.39 | +0.29 |
| Calmar ratioReturn relative to maximum drawdown | 10.19 | 4.20 | +5.99 |
| Martin ratioReturn relative to average drawdown | 27.25 | 14.43 | +12.82 |
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Drawdowns
QRPRX vs. AQMIX - Drawdown Comparison
The maximum QRPRX drawdown since its inception was -28.21%, which is greater than AQMIX's maximum drawdown of -26.52%. Use the drawdown chart below to compare losses from any high point for QRPRX and AQMIX.
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Drawdown Indicators
| QRPRX | AQMIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -28.21% | -26.52% | -1.69% |
Max Drawdown (1Y)Largest decline over 1 year | -3.51% | -5.14% | +1.63% |
Max Drawdown (3Y)Largest decline over 3 years | -11.24% | -13.57% | +2.33% |
Max Drawdown (5Y)Largest decline over 5 years | -11.24% | -13.57% | +2.33% |
Max Drawdown (10Y)Largest decline over 10 years | — | -22.17% | — |
Current DrawdownCurrent decline from peak | 0.00% | -3.12% | +3.12% |
Average DrawdownAverage peak-to-trough decline | -7.41% | -9.93% | +2.52% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.31% | 1.49% | -0.18% |
Volatility
QRPRX vs. AQMIX - Volatility Comparison
The current volatility for AQR Alternative Risk Premia R6 (QRPRX) is 2.45%, while AQR Managed Futures Strategy Fund - Class I (AQMIX) has a volatility of 3.39%. This indicates that QRPRX experiences smaller price fluctuations and is considered to be less risky 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
| QRPRX | AQMIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.45% | 3.39% | -0.94% |
Volatility (6M)Calculated over the trailing 6-month period | 6.88% | 7.39% | -0.51% |
Volatility (1Y)Calculated over the trailing 1-year period | 9.42% | 9.57% | -0.15% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 11.88% | 11.60% | +0.28% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 10.36% | 10.26% | +0.10% |
QRPRX vs. AQMIX - Expense Ratio Comparison
QRPRX has a 4.94% expense ratio, which is higher than AQMIX's 1.25% expense ratio.
Dividends
QRPRX vs. AQMIX - Dividend Comparison
QRPRX's dividend yield for the trailing twelve months is around 1.23%, less than AQMIX's 2.05% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
AQMIX AQR Managed Futures Strategy Fund - Class I | 2.05% | 2.26% | 3.83% | 8.39% | 12.76% | 6.94% | 5.31% | 3.13% | 0.00% | 0.00% | 0.02% | 6.51% |
QRPRX AQR Alternative Risk Premia R6 | 1.23% | 1.51% | 2.33% | 4.60% | 0.00% | 4.16% | 1.97% | 1.00% | 0.09% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
QRPRX and AQMIX have a correlation of 0.60, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
AQMIX has higher volatility (3.39%) compared to QRPRX (2.45%). In terms of maximum drawdown, QRPRX dropped -28.21% vs AQMIX's -26.52%.
QRPRX currently has the higher Sharpe Ratio (3.80 vs 2.26), 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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