QYLD vs. AQMIX

Last updated Jun 9, 2026

QYLD (Global X NASDAQ 100 Covered Call ETF) and AQMIX (AQR Managed Futures Strategy Fund) are both funds - QYLD is a Nasdaq-100 fund tracking the CBOE NASDAQ-100 Buy Write V2, while AQMIX is a Systematic Trend fund managed by AQR Funds. Over the past 10 years, QYLD returned 9.77%/yr vs 4.98%/yr for AQMIX. At a 0.04 correlation, their price movements are largely independent. QYLD charges 0.60%/yr vs 1.25%/yr for AQMIX.

Performance

QYLD vs. AQMIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Global X NASDAQ 100 Covered Call ETF (QYLD) 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, QYLD achieves a 7.05% return, which is significantly lower than AQMIX's 12.43% return. Over the past 10 years, QYLD has outperformed AQMIX with an annualized return of 9.77%, while AQMIX has yielded a comparatively lower 4.98% annualized return.

QYLD

• 1D: 1.07%
• 1M: 0.23%
• YTD: 7.05%
• 6M: 8.87%
• 1Y: 22.45%
• 3Y*: 13.42%
• 5Y*: 8.24%
• 10Y*: 9.77%

AQMIX

• 1D: -0.55%
• 1M: 1.22%
• YTD: 12.43%
• 6M: 14.53%
• 1Y: 25.35%
• 3Y*: 12.47%
• 5Y*: 12.60%
• 10Y*: 4.98%

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

QYLD vs. AQMIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
QYLD Global X NASDAQ 100 Covered Call ETF	7.05%	9.28%	19.35%	22.77%	-19.08%	10.41%	8.72%	22.69%	-3.07%	18.79%
AQMIX AQR Managed Futures Strategy Fund	12.43%	14.62%	8.13%	2.08%	35.47%	-1.04%	-0.43%	1.92%	-8.88%	-0.97%

Correlation

The correlation between QYLD and AQMIX is 0.20, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.20
Correlation (3Y) Calculated over the trailing 3-year period	0.12
Correlation (5Y) Calculated over the trailing 5-year period	-0.03
Correlation (10Y) Calculated over the trailing 10-year period	0.03
Correlation (All Time) Calculated using the full available price history since Dec 12, 2013	0.04

The correlation between QYLD and AQMIX shifts across timeframes, from -0.03 (5 years) to 0.20 (1 year), reflecting how their relationship changes across market environments.

Return for Risk

QYLD vs. AQMIX — Risk / Return Rank

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

QYLD

QYLD Risk / Return Rank: 89
QYLD Sharpe Ratio Rank: 86
QYLD Sortino Ratio Rank: 86
QYLD Omega Ratio Rank: 92
QYLD Calmar Ratio Rank: 87
QYLD Martin Ratio Rank: 95

AQMIX

AQMIX Risk / Return Rank: 89
AQMIX Sharpe Ratio Rank: 89
AQMIX Sortino Ratio Rank: 84
AQMIX Omega Ratio Rank: 79
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.

QYLD vs. AQMIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Global X NASDAQ 100 Covered Call ETF (QYLD) 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.

	QYLD	AQMIX	Difference
Sharpe ratio: Return per unit of total volatility	2.56	2.85	-0.29
Sortino ratio: Return per unit of downside risk	3.53	3.88	-0.35
Omega ratio: Gain probability vs. loss probability	1.57	1.50	+0.07
Calmar ratio: Return relative to maximum drawdown	4.54	8.24	-3.70
Martin ratio: Return relative to average drawdown	26.31	26.92	-0.61
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

QYLD vs. AQMIX - Sharpe Ratio Comparison

The current QYLD Sharpe Ratio is 2.56, which is comparable to the AQMIX Sharpe Ratio of 2.85. The chart below compares the historical Sharpe Ratios of QYLD 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

	QYLD	AQMIX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.56	2.85	-0.29
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.56	1.09	-0.53
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.63	0.48	+0.15
Sharpe Ratio (All Time) Calculated using the full available price history	0.59	0.42	+0.17

Drawdowns

QYLD vs. AQMIX - Drawdown Comparison

The maximum QYLD drawdown since its inception was -24.75%, smaller than the maximum AQMIX drawdown of -26.52%. Use the drawdown chart below to compare losses from any high point for QYLD and AQMIX.

Drawdown Indicators

	QYLD	AQMIX	Difference
Max Drawdown Largest peak-to-trough decline	-24.75%	-26.52%	+1.77%
Max Drawdown (1Y) Largest decline over 1 year	-4.97%	-3.02%	-1.95%
Max Drawdown (3Y) Largest decline over 3 years	-19.06%	-13.57%	-5.49%
Max Drawdown (5Y) Largest decline over 5 years	-24.61%	-13.57%	-11.04%
Max Drawdown (10Y) Largest decline over 10 years	-24.75%	-23.34%	-1.41%
Current Drawdown Current decline from peak	-0.83%	-1.19%	+0.36%
Average Drawdown Average peak-to-trough decline	-3.83%	-10.00%	+6.17%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.86%	0.98%	-0.12%

Volatility

QYLD vs. AQMIX - Volatility Comparison

Global X NASDAQ 100 Covered Call ETF (QYLD) has a higher volatility of 2.86% compared to AQR Managed Futures Strategy Fund (AQMIX) at 2.64%. This indicates that QYLD'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.

Volatility by Period

	QYLD	AQMIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.86%	2.64%	+0.22%
Volatility (6M) Calculated over the trailing 6-month period	7.44%	6.67%	+0.77%
Volatility (1Y) Calculated over the trailing 1-year period	8.84%	8.75%	+0.09%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	14.73%	11.63%	+3.10%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	15.51%	10.37%	+5.14%

QYLD vs. AQMIX - Expense Ratio Comparison

QYLD has a 0.60% expense ratio, which is lower than AQMIX's 1.25% expense ratio.

Dividends

QYLD vs. AQMIX - Dividend Comparison

QYLD's dividend yield for the trailing twelve months is around 11.55%, more than AQMIX's 2.01% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
AQMIX AQR Managed Futures Strategy Fund	2.01%	2.26%	3.83%	8.39%	12.76%	6.94%	5.31%	3.13%	0.00%	0.00%	0.02%	6.51%
QYLD Global X NASDAQ 100 Covered Call ETF	11.55%	11.55%	12.50%	11.78%	13.75%	12.85%	11.16%	9.84%	12.44%	7.69%	9.15%	9.42%

Frequently Asked Questions

Can I hold both QYLD and AQMIX in my portfolio?

QYLD and AQMIX have a correlation of 0.20, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, QYLD or AQMIX?

QYLD has higher volatility (2.86%) compared to AQMIX (2.64%). In terms of maximum drawdown, QYLD dropped -24.75% vs AQMIX's -26.52%.

Which has better risk-adjusted returns?

AQMIX currently has the higher Sharpe Ratio (2.85 vs 2.56), 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.