VOLSX vs. AQMIX

Last updated Jun 3, 2026

VOLSX (ABR 75/25 Volatility Fund) and AQMIX (AQR Managed Futures Strategy Fund) are both mutual funds - VOLSX is a Long-Short fund managed by ABR, while AQMIX is a Systematic Trend fund managed by AQR Funds. Over the past 5 years, VOLSX returned 5.37%/yr vs 12.55%/yr for AQMIX. At a correlation of -0.05, they often move in opposite directions. VOLSX charges 1.75%/yr vs 1.25%/yr for AQMIX.

Performance

VOLSX vs. AQMIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in ABR 75/25 Volatility Fund (VOLSX) 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, VOLSX achieves a 7.12% return, which is significantly lower than AQMIX's 12.43% return.

VOLSX

• 1D: 0.17%
• 1M: 5.17%
• YTD: 7.12%
• 6M: 8.63%
• 1Y: 27.59%
• 3Y*: 11.15%
• 5Y*: 5.37%
• 10Y*: —

AQMIX

• 1D: 1.32%
• 1M: 1.32%
• YTD: 12.43%
• 6M: 13.93%
• 1Y: 24.36%
• 3Y*: 12.34%
• 5Y*: 12.55%
• 10Y*: 4.95%

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

VOLSX vs. AQMIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
VOLSX ABR 75/25 Volatility Fund	7.12%	2.83%	15.19%	24.73%	-29.76%	27.64%	2.00%
AQMIX AQR Managed Futures Strategy Fund	12.43%	14.62%	8.13%	2.08%	35.47%	-1.04%	-1.03%

Correlation

The correlation between VOLSX and AQMIX is 0.11, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.11
Correlation (3Y) Calculated over the trailing 3-year period	0.01
Correlation (5Y) Calculated over the trailing 5-year period	-0.08
Correlation (All Time) Calculated using the full available price history since Aug 4, 2020	-0.05

The correlation between VOLSX and AQMIX shifts across timeframes, from -0.08 (5 years) to 0.11 (1 year), reflecting how their relationship changes across market environments.

Return for Risk

VOLSX vs. AQMIX — Risk / Return Rank

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

VOLSX

VOLSX Risk / Return Rank: 44
VOLSX Sharpe Ratio Rank: 47
VOLSX Sortino Ratio Rank: 42
VOLSX Omega Ratio Rank: 48
VOLSX Calmar Ratio Rank: 35
VOLSX Martin Ratio Rank: 48

AQMIX

AQMIX Risk / Return Rank: 90
AQMIX Sharpe Ratio Rank: 90
AQMIX Sortino Ratio Rank: 85
AQMIX Omega Ratio Rank: 80
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.

VOLSX vs. AQMIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for ABR 75/25 Volatility Fund (VOLSX) 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.

	VOLSX	AQMIX	Difference
Sharpe ratio Return per unit of total volatility	2.02	2.94	-0.92
Sortino ratio Return per unit of downside risk	2.72	4.02	-1.30
Omega ratio Gain probability vs. loss probability	1.38	1.53	-0.15
Calmar ratio Return relative to maximum drawdown	2.27	8.49	-6.22
Martin ratio Return relative to average drawdown	9.94	26.42	-16.48
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

VOLSX vs. AQMIX - Sharpe Ratio Comparison

The current VOLSX Sharpe Ratio is 2.02, which is lower than the AQMIX Sharpe Ratio of 2.94. The chart below compares the historical Sharpe Ratios of VOLSX 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

	VOLSX	AQMIX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.02	2.94	-0.92
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.30	1.09	-0.79
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.48	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.35	0.42	-0.07

Drawdowns

VOLSX vs. AQMIX - Drawdown Comparison

The maximum VOLSX drawdown since its inception was -35.10%, which is greater than AQMIX's maximum drawdown of -26.52%. Use the drawdown chart below to compare losses from any high point for VOLSX and AQMIX.

Drawdown Indicators

	VOLSX	AQMIX	Difference
Max Drawdown Largest peak-to-trough decline	-35.10%	-26.52%	-8.58%
Max Drawdown (1Y) Largest decline over 1 year	-12.37%	-3.02%	-9.35%
Max Drawdown (3Y) Largest decline over 3 years	-24.07%	-13.57%	-10.50%
Max Drawdown (5Y) Largest decline over 5 years	-35.10%	-13.57%	-21.53%
Max Drawdown (10Y) Largest decline over 10 years	—	-23.34%	—
Current Drawdown Current decline from peak	0.00%	-1.10%	+1.10%
Average Drawdown Average peak-to-trough decline	-11.05%	-10.01%	-1.04%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.83%	0.97%	+1.86%

Volatility

VOLSX vs. AQMIX - Volatility Comparison

ABR 75/25 Volatility Fund (VOLSX) has a higher volatility of 2.85% compared to AQR Managed Futures Strategy Fund (AQMIX) at 2.56%. This indicates that VOLSX'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

	VOLSX	AQMIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.85%	2.56%	+0.29%
Volatility (6M) Calculated over the trailing 6-month period	10.82%	6.60%	+4.22%
Volatility (1Y) Calculated over the trailing 1-year period	14.16%	8.70%	+5.46%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	18.20%	11.62%	+6.58%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	18.93%	10.37%	+8.56%

VOLSX vs. AQMIX - Expense Ratio Comparison

VOLSX has a 1.75% expense ratio, which is higher than AQMIX's 1.25% expense ratio.

Dividends

VOLSX vs. AQMIX - Dividend Comparison

VOLSX's dividend yield for the trailing twelve months is around 2.04%, 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%
VOLSX ABR 75/25 Volatility Fund	2.04%	2.18%	2.24%	0.29%	0.00%	18.63%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both VOLSX and AQMIX in my portfolio?

VOLSX and AQMIX have a correlation of 0.11, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, VOLSX or AQMIX?

VOLSX has higher volatility (2.85%) compared to AQMIX (2.56%). In terms of maximum drawdown, VOLSX dropped -35.10% vs AQMIX's -26.52%.

Which has better risk-adjusted returns?

AQMIX currently has the higher Sharpe Ratio (2.94 vs 2.02), 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.