SPY vs. AQMNX

Last updated Jul 21, 2026

SPY (State Street SPDR S&P 500 ETF) and AQMNX (AQR Managed Futures Strategy Fund Class N) are both funds - SPY is a S&P 500 fund tracking the S&P 500 Index, while AQMNX is a Systematic Trend fund actively managed by AQR Funds. SPY is passively managed, while AQMNX is actively managed. Over the past 10 years, SPY returned 14.90%/yr vs 4.24%/yr for AQMNX. At a 0.06 correlation, their price movements are largely independent. SPY charges 0.09%/yr vs 2.97%/yr for AQMNX.

Performance

SPY vs. AQMNX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in State Street SPDR S&P 500 ETF (SPY) and AQR Managed Futures Strategy Fund Class N (AQMNX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

The year-to-date returns for both investments are quite close, with SPY having a 9.40% return and AQMNX slightly higher at 9.60%. Over the past 10 years, SPY has outperformed AQMNX with an annualized return of 14.90%, while AQMNX has yielded a comparatively lower 4.24% annualized return.

SPY

• 1D: -0.16%
• 1M: -0.62%
• 6M: 7.86%
• YTD: 9.40%
• 1Y: 19.56%
• 3Y*: 19.43%
• 5Y*: 12.81%
• 10Y*: 14.90%
• ALL TIME*: 10.78%

AQMNX

• 1D: 0.00%
• 1M: -0.76%
• 6M: 7.56%
• YTD: 9.60%
• 1Y: 21.77%
• 3Y*: 11.36%
• 5Y*: 13.32%
• 10Y*: 4.24%
• ALL TIME*: 3.60%

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

SPY vs. AQMNX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
SPY State Street SPDR S&P 500 ETF	9.40%	17.72%	24.89%	26.18%	-18.18%	28.73%	18.33%	31.22%	-4.57%	21.71%
AQMNX AQR Managed Futures Strategy Fund Class N	9.60%	14.38%	7.96%	1.79%	35.16%	-1.31%	-0.62%	1.57%	-9.12%	-1.19%

Correlation

The correlation between SPY and AQMNX is 0.15, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.15
Correlation (3Y) Calculated over the trailing 3-year period	0.09
Correlation (5Y) Calculated over the trailing 5-year period	-0.08
Correlation (10Y) Calculated over the trailing 10-year period	0.02
Correlation (All Time) Calculated using the full available price history since Jan 5, 2010	0.06

The correlation between SPY and AQMNX shifts across timeframes, from -0.08 (5 years) to 0.15 (1 year), reflecting how their relationship changes across market environments.

Return for Risk

SPY vs. AQMNX — Risk / Return Rank

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

SPY

SPY Risk / Return Rank: 63
SPY Sharpe Ratio Rank: 63
SPY Sortino Ratio Rank: 61
SPY Omega Ratio Rank: 62
SPY Calmar Ratio Rank: 59
SPY Martin Ratio Rank: 72

AQMNX

AQMNX Risk / Return Rank: 88
AQMNX Sharpe Ratio Rank: 88
AQMNX Sortino Ratio Rank: 83
AQMNX Omega Ratio Rank: 82
AQMNX Calmar Ratio Rank: 94
AQMNX Martin Ratio Rank: 94

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.

SPY vs. AQMNX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for State Street SPDR S&P 500 ETF (SPY) and AQR Managed Futures Strategy Fund Class N (AQMNX). 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.

	SPY	AQMNX	Difference
Sharpe ratio: Return per unit of total volatility	1.56	2.44	-0.88
Sortino ratio: Return per unit of downside risk	2.17	3.31	-1.15
Omega ratio: Gain probability vs. loss probability	1.28	1.43	-0.14
Calmar ratio: Return relative to maximum drawdown	2.21	4.35	-2.14
Martin ratio: Return relative to average drawdown	9.59	15.53	-5.94

SPY vs. AQMNX - Sharpe Ratio Comparison

The current SPY Sharpe Ratio is 1.56, which is lower than the AQMNX Sharpe Ratio of 2.44. The chart below compares the historical Sharpe Ratios of SPY and AQMNX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

SPY vs. AQMNX - Drawdown Comparison

The maximum SPY drawdown since its inception was -55.19%, which is greater than AQMNX's maximum drawdown of -27.50%. Use the drawdown chart below to compare losses from any high point for SPY and AQMNX.

Drawdown Indicators

	SPY	AQMNX	Difference
Max Drawdown Largest peak-to-trough decline	-55.19%	-27.50%	-27.69%
Max Drawdown (1Y) Largest decline over 1 year	-8.88%	-5.11%	-3.77%
Max Drawdown (3Y) Largest decline over 3 years	-18.76%	-13.70%	-5.06%
Max Drawdown (5Y) Largest decline over 5 years	-24.50%	-13.70%	-10.80%
Max Drawdown (10Y) Largest decline over 10 years	-33.72%	-22.96%	-10.76%
Current Drawdown Current decline from peak	-2.05%	-3.44%	+1.39%
Average Drawdown Average peak-to-trough decline	-9.02%	-10.34%	+1.32%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.04%	1.43%	+0.61%

Volatility

SPY vs. AQMNX - Volatility Comparison

State Street SPDR S&P 500 ETF (SPY) has a higher volatility of 3.45% compared to AQR Managed Futures Strategy Fund Class N (AQMNX) at 3.28%. This indicates that SPY's price experiences larger fluctuations and is considered to be riskier than AQMNX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	SPY	AQMNX	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.45%	3.28%	+0.17%
Volatility (6M) Calculated over the trailing 6-month period	10.06%	7.08%	+2.98%
Volatility (1Y) Calculated over the trailing 1-year period	12.64%	9.12%	+3.52%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.15%	11.52%	+5.63%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.94%	10.18%	+7.76%

SPY vs. AQMNX - Expense Ratio Comparison

SPY has a 0.09% expense ratio, which is lower than AQMNX's 2.97% expense ratio.

Dividends

SPY vs. AQMNX - Dividend Comparison

SPY's dividend yield for the trailing twelve months is around 1.01%, less than AQMNX's 1.87% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
AQMNX AQR Managed Futures Strategy Fund Class N	1.87%	2.05%	3.61%	8.15%	12.59%	6.59%	4.17%	2.92%	0.00%	0.00%	0.02%	6.30%
SPY State Street SPDR S&P 500 ETF	1.01%	1.07%	1.21%	1.40%	1.65%	1.20%	1.52%	1.75%	2.04%	1.80%	2.03%	2.06%

Frequently Asked Questions

Can I hold both SPY and AQMNX in my portfolio?

SPY and AQMNX have a correlation of 0.15, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, SPY or AQMNX?

SPY has higher volatility (3.45%) compared to AQMNX (3.28%). In terms of maximum drawdown, SPY dropped -55.19% vs AQMNX's -27.50%.

Which has better risk-adjusted returns?

AQMNX currently has the higher Sharpe Ratio (2.44 vs 1.56), 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.