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.
Performance
AQRIX vs. PRWCX - Performance Comparison
Returns By Period
In the year-to-date period, AQRIX achieves a 11.69% return, which is significantly lower than PRWCX's 13.54% return. Over the past 10 years, AQRIX has underperformed PRWCX with an annualized return of 2.57%, while PRWCX has yielded a comparatively higher 10.64% annualized return.
AQRIX
11.69%
0.38%
2.20%
15.00%
5.70%
2.57%
PRWCX
13.54%
0.13%
6.83%
19.29%
11.29%
10.64%
Key characteristics
| AQRIX | PRWCX | |
|---|---|---|
| Sharpe Ratio | 1.67 | 2.56 |
| Sortino Ratio | 2.38 | 3.53 |
| Omega Ratio | 1.31 | 1.48 |
| Calmar Ratio | 2.36 | 5.79 |
| Martin Ratio | 8.30 | 20.33 |
| Ulcer Index | 1.78% | 0.95% |
| Daily Std Dev | 8.84% | 7.55% |
| Max Drawdown | -24.06% | -41.77% |
| Current Drawdown | -1.83% | -1.13% |
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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.
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.
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 2.16%, more than PRWCX's 1.86% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
AQRIX AQR Multi-Asset Fund | 2.16% | 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 | 1.86% | 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
The current volatility for AQR Multi-Asset Fund (AQRIX) is 2.37%, while T. Rowe Price Capital Appreciation Fund (PRWCX) has a volatility of 2.59%. This indicates that AQRIX experiences smaller price fluctuations and is considered to be less risky than PRWCX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.