VUSTX vs. AQMIX

Last updated Jun 12, 2026

VUSTX (Vanguard Long-Term Treasury Fund Investor Shares) and AQMIX (AQR Managed Futures Strategy Fund) are both mutual funds - VUSTX is a Government Bonds fund managed by Vanguard, while AQMIX is a Systematic Trend fund managed by AQR Funds. Over the past 10 years, VUSTX returned -1.30%/yr vs 4.77%/yr for AQMIX. At a correlation of -0.09, they often move in opposite directions. VUSTX charges 0.20%/yr vs 1.25%/yr for AQMIX.

Performance

VUSTX vs. AQMIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard Long-Term Treasury Fund Investor Shares (VUSTX) 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, VUSTX achieves a -1.07% return, which is significantly lower than AQMIX's 11.60% return. Over the past 10 years, VUSTX has underperformed AQMIX with an annualized return of -1.30%, while AQMIX has yielded a comparatively higher 4.77% annualized return.

VUSTX

• 1D: -0.26%
• 1M: 0.13%
• YTD: -1.07%
• 6M: -1.20%
• 1Y: 3.68%
• 3Y*: -0.78%
• 5Y*: -5.75%
• 10Y*: -1.30%

AQMIX

• 1D: -0.28%
• 1M: -1.29%
• YTD: 11.60%
• 6M: 12.97%
• 1Y: 24.99%
• 3Y*: 12.27%
• 5Y*: 12.79%
• 10Y*: 4.77%

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

VUSTX vs. AQMIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
VUSTX Vanguard Long-Term Treasury Fund Investor Shares	-1.07%	5.55%	-6.41%	3.33%	-29.58%	-4.93%	18.20%	14.14%	-1.89%	8.60%
AQMIX AQR Managed Futures Strategy Fund	11.60%	14.62%	8.13%	2.08%	35.47%	-1.04%	-0.43%	1.92%	-8.88%	-0.97%

Correlation

The correlation between VUSTX and AQMIX is -0.25, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	-0.25
Correlation (3Y) Calculated over the trailing 3-year period	-0.27
Correlation (5Y) Calculated over the trailing 5-year period	-0.42
Correlation (10Y) Calculated over the trailing 10-year period	-0.19
Correlation (All Time) Calculated using the full available price history since Jan 5, 2010	-0.09

The correlation between VUSTX and AQMIX shifts across timeframes, from -0.42 (5 years) to -0.09 (all time), reflecting how their relationship changes across market environments.

Return for Risk

VUSTX vs. AQMIX — Risk / Return Rank

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

VUSTX

VUSTX Risk / Return Rank: 7
VUSTX Sharpe Ratio Rank: 8
VUSTX Sortino Ratio Rank: 7
VUSTX Omega Ratio Rank: 7
VUSTX Calmar Ratio Rank: 8
VUSTX Martin Ratio Rank: 7

AQMIX

AQMIX Risk / Return Rank: 93
AQMIX Sharpe Ratio Rank: 94
AQMIX Sortino Ratio Rank: 89
AQMIX Omega Ratio Rank: 85
AQMIX Calmar Ratio Rank: 98
AQMIX Martin Ratio Rank: 98

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.

VUSTX vs. AQMIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Long-Term Treasury Fund Investor Shares (VUSTX) 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.

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.

	VUSTX	AQMIX	Difference
Sharpe ratio: Return per unit of total volatility	0.46	2.92	-2.46
Sortino ratio: Return per unit of downside risk	0.71	3.97	-3.26
Omega ratio: Gain probability vs. loss probability	1.08	1.52	-0.44
Calmar ratio: Return relative to maximum drawdown	0.57	8.45	-7.88
Martin ratio: Return relative to average drawdown	1.45	27.23	-25.77

VUSTX vs. AQMIX - Sharpe Ratio Comparison

The current VUSTX Sharpe Ratio is 0.46, which is lower than the AQMIX Sharpe Ratio of 2.92. The chart below compares the historical Sharpe Ratios of VUSTX 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.

Drawdowns

VUSTX vs. AQMIX - Drawdown Comparison

The maximum VUSTX drawdown since its inception was -46.37%, which is greater than AQMIX's maximum drawdown of -26.52%. Use the drawdown chart below to compare losses from any high point for VUSTX and AQMIX.

Drawdown Indicators

	VUSTX	AQMIX	Difference
Max Drawdown Largest peak-to-trough decline	-46.37%	-26.52%	-19.85%
Max Drawdown (1Y) Largest decline over 1 year	-7.19%	-3.02%	-4.17%
Max Drawdown (3Y) Largest decline over 3 years	-17.70%	-13.57%	-4.13%
Max Drawdown (5Y) Largest decline over 5 years	-41.45%	-13.57%	-27.88%
Max Drawdown (10Y) Largest decline over 10 years	-46.37%	-23.34%	-23.03%
Current Drawdown Current decline from peak	-37.11%	-1.93%	-35.18%
Average Drawdown Average peak-to-trough decline	-9.36%	-9.99%	+0.63%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.81%	0.93%	+1.88%

Volatility

VUSTX vs. AQMIX - Volatility Comparison

Vanguard Long-Term Treasury Fund Investor Shares (VUSTX) and AQR Managed Futures Strategy Fund (AQMIX) have volatilities of 2.51% and 2.50%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	VUSTX	AQMIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.51%	2.50%	+0.01%
Volatility (6M) Calculated over the trailing 6-month period	6.08%	6.72%	-0.64%
Volatility (1Y) Calculated over the trailing 1-year period	8.91%	8.75%	+0.16%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	14.60%	11.63%	+2.97%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	13.76%	10.37%	+3.39%

VUSTX vs. AQMIX - Expense Ratio Comparison

VUSTX has a 0.20% expense ratio, which is lower than AQMIX's 1.25% expense ratio.

Dividends

VUSTX vs. AQMIX - Dividend Comparison

VUSTX's dividend yield for the trailing twelve months is around 4.51%, more than AQMIX's 2.02% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
AQMIX AQR Managed Futures Strategy Fund	2.02%	2.26%	3.83%	8.39%	12.76%	6.94%	5.31%	3.13%	0.00%	0.00%	0.02%	6.51%
VUSTX Vanguard Long-Term Treasury Fund Investor Shares	4.51%	4.29%	4.03%	3.33%	2.93%	4.21%	10.38%	2.82%	2.82%	2.64%	5.27%	5.52%

Frequently Asked Questions

Can I hold both VUSTX and AQMIX in my portfolio?

VUSTX and AQMIX have a correlation of -0.25, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, VUSTX or AQMIX?

VUSTX has higher volatility (2.51%) compared to AQMIX (2.50%). In terms of maximum drawdown, VUSTX dropped -46.37% vs AQMIX's -26.52%.

Which has better risk-adjusted returns?

AQMIX currently has the higher Sharpe Ratio (2.92 vs 0.46), 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.