PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
AHTPX vs. QDSIX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

AHTPX vs. QDSIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in American Beacon AHL TargetRisk Fund (AHTPX) and AQR Diversifying Strategies Fund (QDSIX). The values are adjusted to include any dividend payments, if applicable.

-6.00%-4.00%-2.00%0.00%2.00%JuneJulyAugustSeptemberOctoberNovember
-1.75%
-1.03%
AHTPX
QDSIX

Returns By Period

In the year-to-date period, AHTPX achieves a 7.03% return, which is significantly lower than QDSIX's 11.41% return.


AHTPX

YTD

7.03%

1M

-1.31%

6M

-1.75%

1Y

12.88%

5Y (annualized)

0.55%

10Y (annualized)

N/A

QDSIX

YTD

11.41%

1M

0.73%

6M

-0.79%

1Y

-0.55%

5Y (annualized)

N/A

10Y (annualized)

N/A

Key characteristics


AHTPXQDSIX
Sharpe Ratio1.32-0.06
Sortino Ratio1.79-0.00
Omega Ratio1.241.00
Calmar Ratio0.57-0.06
Martin Ratio4.46-0.16
Ulcer Index2.89%4.33%
Daily Std Dev9.77%11.60%
Max Drawdown-27.86%-11.30%
Current Drawdown-12.29%-2.04%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


AHTPX vs. QDSIX - Expense Ratio Comparison

AHTPX has a 1.41% expense ratio, which is higher than QDSIX's 0.20% expense ratio.


AHTPX
American Beacon AHL TargetRisk Fund
Expense ratio chart for AHTPX: current value at 1.41% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.41%
Expense ratio chart for QDSIX: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%

Correlation

-0.50.00.51.00.2

The correlation between AHTPX and QDSIX is 0.16, 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.

Risk-Adjusted Performance

AHTPX vs. QDSIX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for American Beacon AHL TargetRisk Fund (AHTPX) and AQR Diversifying Strategies Fund (QDSIX). 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.


Sharpe ratio
The chart of Sharpe ratio for AHTPX, currently valued at 1.32, compared to the broader market-1.000.001.002.003.004.005.001.32-0.05
The chart of Sortino ratio for AHTPX, currently valued at 1.79, compared to the broader market0.005.0010.001.790.01
The chart of Omega ratio for AHTPX, currently valued at 1.24, compared to the broader market1.002.003.004.001.241.00
The chart of Calmar ratio for AHTPX, currently valued at 0.57, compared to the broader market0.005.0010.0015.0020.000.57-0.05
The chart of Martin ratio for AHTPX, currently valued at 4.46, compared to the broader market0.0020.0040.0060.0080.00100.004.46-0.13
AHTPX
QDSIX

The current AHTPX Sharpe Ratio is 1.32, which is higher than the QDSIX Sharpe Ratio of -0.06. The chart below compares the historical Sharpe Ratios of AHTPX and QDSIX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Rolling 12-month Sharpe Ratio0.000.501.001.502.002.50JuneJulyAugustSeptemberOctoberNovember
1.32
-0.05
AHTPX
QDSIX

Dividends

AHTPX vs. QDSIX - Dividend Comparison

AHTPX's dividend yield for the trailing twelve months is around 3.39%, less than QDSIX's 10.03% yield.


TTM20232022202120202019
AHTPX
American Beacon AHL TargetRisk Fund
3.39%3.63%3.19%7.61%0.00%0.18%
QDSIX
AQR Diversifying Strategies Fund
10.03%11.18%8.06%4.70%1.93%0.00%

Drawdowns

AHTPX vs. QDSIX - Drawdown Comparison

The maximum AHTPX drawdown since its inception was -27.86%, which is greater than QDSIX's maximum drawdown of -11.30%. Use the drawdown chart below to compare losses from any high point for AHTPX and QDSIX. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-12.29%
-2.04%
AHTPX
QDSIX

Volatility

AHTPX vs. QDSIX - Volatility Comparison

American Beacon AHL TargetRisk Fund (AHTPX) has a higher volatility of 2.34% compared to AQR Diversifying Strategies Fund (QDSIX) at 1.38%. This indicates that AHTPX's price experiences larger fluctuations and is considered to be riskier than QDSIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%JuneJulyAugustSeptemberOctoberNovember
2.34%
1.38%
AHTPX
QDSIX