ADANX vs. SPY
Compare and contrast key facts about AQR Diversified Arbitrage Fund Class N (ADANX) and State Street SPDR S&P 500 ETF (SPY).
ADANX is an actively managed fund by AQR Funds. It was launched on Jan 15, 2009. SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993.
Performance
ADANX vs. SPY - Performance Comparison
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ADANX vs. SPY - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
ADANX AQR Diversified Arbitrage Fund Class N | 0.86% | 7.75% | 2.92% | 4.23% | -3.54% | 5.99% | 24.85% | 8.33% | 2.02% | 5.59% |
SPY State Street SPDR S&P 500 ETF | -3.65% | 17.72% | 24.89% | 26.18% | -18.18% | 28.73% | 18.33% | 31.22% | -4.57% | 21.71% |
Returns By Period
In the year-to-date period, ADANX achieves a 0.86% return, which is significantly higher than SPY's -3.65% return. Over the past 10 years, ADANX has underperformed SPY with an annualized return of 6.49%, while SPY has yielded a comparatively higher 14.06% annualized return.
ADANX
- 1D
- 0.16%
- 1M
- 0.08%
- YTD
- 0.86%
- 6M
- 2.58%
- 1Y
- 6.13%
- 3Y*
- 4.95%
- 5Y*
- 2.37%
- 10Y*
- 6.49%
SPY
- 1D
- 0.75%
- 1M
- -4.28%
- YTD
- -3.65%
- 6M
- -1.42%
- 1Y
- 18.14%
- 3Y*
- 18.48%
- 5Y*
- 11.86%
- 10Y*
- 14.06%
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ADANX vs. SPY - Expense Ratio Comparison
ADANX has a 2.12% expense ratio, which is higher than SPY's 0.09% expense ratio.
Return for Risk
ADANX vs. SPY — Risk / Return Rank
ADANX
SPY
ADANX vs. SPY - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Diversified Arbitrage Fund Class N (ADANX) and State Street SPDR S&P 500 ETF (SPY). 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.
| ADANX | SPY | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 4.02 | 0.96 | +3.07 |
Sortino ratioReturn per unit of downside risk | 6.60 | 1.49 | +5.11 |
Omega ratioGain probability vs. loss probability | 1.97 | 1.23 | +0.74 |
Calmar ratioReturn relative to maximum drawdown | 9.66 | 1.53 | +8.12 |
Martin ratioReturn relative to average drawdown | 38.51 | 7.27 | +31.25 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| ADANX | SPY | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 4.02 | 0.96 | +3.07 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.89 | 0.70 | +0.19 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 1.52 | 0.79 | +0.73 |
Sharpe Ratio (All Time)Calculated using the full available price history | 1.12 | 0.56 | +0.56 |
Correlation
The correlation between ADANX and SPY is 0.10, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Dividends
ADANX vs. SPY - Dividend Comparison
ADANX's dividend yield for the trailing twelve months is around 1.84%, more than SPY's 1.13% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ADANX AQR Diversified Arbitrage Fund Class N | 1.84% | 1.86% | 0.96% | 2.47% | 0.10% | 0.40% | 1.33% | 1.81% | 6.22% | 6.84% | 6.83% | 4.43% |
SPY State Street SPDR S&P 500 ETF | 1.13% | 1.07% | 1.21% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% |
Drawdowns
ADANX vs. SPY - Drawdown Comparison
The maximum ADANX drawdown since its inception was -14.73%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for ADANX and SPY.
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Drawdown Indicators
| ADANX | SPY | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -14.73% | -55.19% | +40.46% |
Max Drawdown (1Y)Largest decline over 1 year | -0.64% | -12.05% | +11.41% |
Max Drawdown (5Y)Largest decline over 5 years | -7.48% | -24.50% | +17.02% |
Max Drawdown (10Y)Largest decline over 10 years | -14.73% | -33.72% | +18.99% |
Current DrawdownCurrent decline from peak | -0.15% | -5.53% | +5.38% |
Average DrawdownAverage peak-to-trough decline | -3.06% | -9.09% | +6.03% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.16% | 2.54% | -2.38% |
Volatility
ADANX vs. SPY - Volatility Comparison
The current volatility for AQR Diversified Arbitrage Fund Class N (ADANX) is 0.41%, while State Street SPDR S&P 500 ETF (SPY) has a volatility of 5.35%. This indicates that ADANX experiences smaller price fluctuations and is considered to be less risky than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ADANX | SPY | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.41% | 5.35% | -4.94% |
Volatility (6M)Calculated over the trailing 6-month period | 1.06% | 9.50% | -8.44% |
Volatility (1Y)Calculated over the trailing 1-year period | 1.53% | 19.06% | -17.53% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 2.68% | 17.06% | -14.38% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 4.29% | 17.92% | -13.63% |