XLY vs. AQMIX

Last updated Jun 9, 2026

XLY (Consumer Discretionary Select Sector SPDR Fund) and AQMIX (AQR Managed Futures Strategy Fund) are both funds - XLY is a Consumer Discretionary Equities fund tracking the Consumer Discretionary Select Sector Index, while AQMIX is a Systematic Trend fund managed by AQR Funds. Over the past 10 years, XLY returned 12.57%/yr vs 4.98%/yr for AQMIX. At a 0.02 correlation, their price movements are largely independent. XLY charges 0.13%/yr vs 1.25%/yr for AQMIX.

Performance

XLY vs. AQMIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Consumer Discretionary Select Sector SPDR Fund (XLY) 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, XLY achieves a -3.17% return, which is significantly lower than AQMIX's 12.43% return. Over the past 10 years, XLY has outperformed AQMIX with an annualized return of 12.57%, while AQMIX has yielded a comparatively lower 4.98% annualized return.

XLY

• 1D: 0.46%
• 1M: -4.00%
• YTD: -3.17%
• 6M: -1.81%
• 1Y: 9.63%
• 3Y*: 13.63%
• 5Y*: 6.99%
• 10Y*: 12.57%

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)

XLY vs. AQMIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
XLY Consumer Discretionary Select Sector SPDR Fund	-3.17%	7.37%	26.51%	39.64%	-36.27%	27.93%	29.63%	28.39%	1.58%	22.82%
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 XLY and AQMIX is -0.06, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	-0.06
Correlation (3Y) Calculated over the trailing 3-year period	-0.04
Correlation (5Y) Calculated over the trailing 5-year period	-0.14
Correlation (10Y) Calculated over the trailing 10-year period	-0.04
Correlation (All Time) Calculated using the full available price history since Jan 5, 2010	0.02

The correlation between XLY and AQMIX shifts across timeframes, from -0.14 (5 years) to 0.02 (all time), reflecting how their relationship changes across market environments.

Return for Risk

XLY vs. AQMIX — Risk / Return Rank

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

XLY

XLY Risk / Return Rank: 18
XLY Sharpe Ratio Rank: 19
XLY Sortino Ratio Rank: 18
XLY Omega Ratio Rank: 18
XLY Calmar Ratio Rank: 18
XLY Martin Ratio Rank: 19

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.

XLY vs. AQMIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Consumer Discretionary Select Sector SPDR Fund (XLY) 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.

	XLY	AQMIX	Difference
Sharpe ratio: Return per unit of total volatility	0.54	2.85	-2.31
Sortino ratio: Return per unit of downside risk	0.87	3.88	-3.01
Omega ratio: Gain probability vs. loss probability	1.10	1.50	-0.40
Calmar ratio: Return relative to maximum drawdown	0.65	8.24	-7.59
Martin ratio: Return relative to average drawdown	2.01	26.92	-24.91
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

XLY vs. AQMIX - Sharpe Ratio Comparison

The current XLY Sharpe Ratio is 0.54, which is lower than the AQMIX Sharpe Ratio of 2.85. The chart below compares the historical Sharpe Ratios of XLY 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

	XLY	AQMIX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.54	2.85	-2.31
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	0.57	0.48	+0.09
Sharpe Ratio (All Time) Calculated using the full available price history	0.42	0.42	0.00

Drawdowns

XLY vs. AQMIX - Drawdown Comparison

The maximum XLY drawdown since its inception was -59.05%, which is greater than AQMIX's maximum drawdown of -26.52%. Use the drawdown chart below to compare losses from any high point for XLY and AQMIX.

Drawdown Indicators

	XLY	AQMIX	Difference
Max Drawdown Largest peak-to-trough decline	-59.05%	-26.52%	-32.53%
Max Drawdown (1Y) Largest decline over 1 year	-14.98%	-3.02%	-11.96%
Max Drawdown (3Y) Largest decline over 3 years	-26.01%	-13.57%	-12.44%
Max Drawdown (5Y) Largest decline over 5 years	-39.67%	-13.57%	-26.10%
Max Drawdown (10Y) Largest decline over 10 years	-39.67%	-23.34%	-16.33%
Current Drawdown Current decline from peak	-7.15%	-1.19%	-5.96%
Average Drawdown Average peak-to-trough decline	-9.56%	-10.00%	+0.44%
Ulcer Index Depth and duration of drawdowns from previous peaks	4.80%	0.98%	+3.82%

Volatility

XLY vs. AQMIX - Volatility Comparison

Consumer Discretionary Select Sector SPDR Fund (XLY) has a higher volatility of 5.32% compared to AQR Managed Futures Strategy Fund (AQMIX) at 2.64%. This indicates that XLY'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

	XLY	AQMIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.32%	2.64%	+2.68%
Volatility (6M) Calculated over the trailing 6-month period	13.22%	6.67%	+6.55%
Volatility (1Y) Calculated over the trailing 1-year period	18.09%	8.75%	+9.34%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	23.80%	11.63%	+12.17%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	22.06%	10.37%	+11.69%

XLY vs. AQMIX - Expense Ratio Comparison

XLY has a 0.13% expense ratio, which is lower than AQMIX's 1.25% expense ratio.

Dividends

XLY vs. AQMIX - Dividend Comparison

XLY's dividend yield for the trailing twelve months is around 0.77%, less 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%
XLY Consumer Discretionary Select Sector SPDR Fund	0.77%	0.79%	0.72%	0.78%	1.00%	0.53%	0.82%	1.28%	1.34%	1.20%	1.71%	1.43%

Frequently Asked Questions

Can I hold both XLY and AQMIX in my portfolio?

XLY and AQMIX have a correlation of -0.06, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, XLY or AQMIX?

XLY has higher volatility (5.32%) compared to AQMIX (2.64%). In terms of maximum drawdown, XLY dropped -59.05% vs AQMIX's -26.52%.

Which has better risk-adjusted returns?

AQMIX currently has the higher Sharpe Ratio (2.85 vs 0.54), 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.