AQRIX vs. PRWCX
Compare and contrast key facts about AQR Multi-Asset Fund (AQRIX) and T. Rowe Price Capital Appreciation Fund (PRWCX).
AQRIX is managed by AQR Funds. It was launched on Sep 29, 2010. PRWCX is managed by T. Rowe Price. It was launched on Jun 30, 1986.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: AQRIX or PRWCX.
Key characteristics
| AQRIX | PRWCX | |
|---|---|---|
| YTD Return | 10.23% | 14.60% |
| 1Y Return | 13.86% | 21.20% |
| 3Y Return (Ann) | 2.84% | 6.49% |
| 5Y Return (Ann) | 5.37% | 11.54% |
| 10Y Return (Ann) | 2.56% | 10.83% |
| Sharpe Ratio | 1.72 | 3.05 |
| Sortino Ratio | 2.46 | 4.28 |
| Omega Ratio | 1.32 | 1.59 |
| Calmar Ratio | 2.45 | 6.92 |
| Martin Ratio | 8.81 | 24.84 |
| Ulcer Index | 1.74% | 0.93% |
| Daily Std Dev | 8.92% | 7.57% |
| Max Drawdown | -24.06% | -41.77% |
| Current Drawdown | -3.12% | -0.21% |
Correlation
The correlation between AQRIX and PRWCX is 0.59, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Performance
AQRIX vs. PRWCX - Performance Comparison
In the year-to-date period, AQRIX achieves a 10.23% return, which is significantly lower than PRWCX's 14.60% return. Over the past 10 years, AQRIX has underperformed PRWCX with an annualized return of 2.56%, while PRWCX has yielded a comparatively higher 10.83% annualized 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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AQRIX vs. PRWCX - Expense Ratio Comparison
AQRIX has a 0.80% expense ratio, which is higher than PRWCX's 0.68% expense ratio.
Risk-Adjusted Performance
AQRIX vs. PRWCX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Multi-Asset Fund (AQRIX) and T. Rowe Price Capital Appreciation Fund (PRWCX). 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
AQRIX vs. PRWCX - Dividend Comparison
AQRIX's dividend yield for the trailing twelve months is around 2.19%, more than PRWCX's 1.84% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
AQRIX AQR Multi-Asset Fund | 2.19% | 2.41% | 6.82% | 5.39% | 1.09% | 9.59% | 3.33% | 1.95% | 2.52% | 0.00% | 4.29% | 2.53% |
PRWCX T. Rowe Price Capital Appreciation Fund | 1.84% | 2.11% | 1.57% | 0.95% | 1.17% | 1.54% | 2.53% | 1.31% | 1.57% | 1.52% | 1.42% | 1.13% |
Drawdowns
AQRIX vs. PRWCX - Drawdown Comparison
The maximum AQRIX drawdown since its inception was -24.06%, smaller than the maximum PRWCX drawdown of -41.77%. Use the drawdown chart below to compare losses from any high point for AQRIX and PRWCX. For additional features, visit the drawdowns tool.
Volatility
AQRIX vs. PRWCX - Volatility Comparison
AQR Multi-Asset Fund (AQRIX) has a higher volatility of 2.62% compared to T. Rowe Price Capital Appreciation Fund (PRWCX) at 2.28%. This indicates that AQRIX's price experiences larger fluctuations and is considered to be riskier than PRWCX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.