VOLSX vs. AQMIX
Compare and contrast key facts about ABR 75/25 Volatility Fund (VOLSX) and AQR Managed Futures Strategy Fund (AQMIX).
VOLSX is managed by ABR. It was launched on Aug 2, 2020. AQMIX is managed by AQR Funds. It was launched on Jan 5, 2010.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: VOLSX or AQMIX.
Key characteristics
| VOLSX | AQMIX | |
|---|---|---|
| YTD Return | 17.09% | 4.40% |
| 1Y Return | 28.31% | -0.11% |
| 3Y Return (Ann) | -4.54% | 12.35% |
| Sharpe Ratio | 2.27 | -0.04 |
| Sortino Ratio | 3.05 | 0.01 |
| Omega Ratio | 1.43 | 1.00 |
| Calmar Ratio | 0.87 | -0.03 |
| Martin Ratio | 16.12 | -0.07 |
| Ulcer Index | 1.75% | 6.11% |
| Daily Std Dev | 12.41% | 9.99% |
| Max Drawdown | -44.76% | -27.99% |
| Current Drawdown | -13.10% | -8.76% |
Correlation
The correlation between VOLSX and AQMIX is -0.07. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.
Performance
VOLSX vs. AQMIX - Performance Comparison
In the year-to-date period, VOLSX achieves a 17.09% return, which is significantly higher than AQMIX's 4.40% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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VOLSX vs. AQMIX - Expense Ratio Comparison
VOLSX has a 1.75% expense ratio, which is higher than AQMIX's 1.25% expense ratio.
Risk-Adjusted Performance
VOLSX vs. AQMIX - Risk-Adjusted Performance 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.
Dividends
VOLSX vs. AQMIX - Dividend Comparison
VOLSX's dividend yield for the trailing twelve months is around 0.24%, less than AQMIX's 8.06% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|
VOLSX ABR 75/25 Volatility Fund | 0.24% | 0.28% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
AQMIX AQR Managed Futures Strategy Fund | 8.06% | 8.41% | 12.76% | 6.94% | 5.31% | 3.13% | 0.00% | 0.00% | 0.02% | 4.49% | 4.50% |
Drawdowns
VOLSX vs. AQMIX - Drawdown Comparison
The maximum VOLSX drawdown since its inception was -44.76%, which is greater than AQMIX's maximum drawdown of -27.99%. Use the drawdown chart below to compare losses from any high point for VOLSX and AQMIX. For additional features, visit the drawdowns tool.
Volatility
VOLSX vs. AQMIX - Volatility Comparison
ABR 75/25 Volatility Fund (VOLSX) has a higher volatility of 6.38% compared to AQR Managed Futures Strategy Fund (AQMIX) at 2.15%. 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.