AQRIX vs. VOO
Compare and contrast key facts about AQR Multi-Asset Fund (AQRIX) and Vanguard S&P 500 ETF (VOO).
AQRIX is managed by AQR Funds. It was launched on Sep 29, 2010. VOO is a passively managed fund by Vanguard that tracks the performance of the S&P 500 Index. It was launched on Sep 7, 2010.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: AQRIX or VOO.
Performance
AQRIX vs. VOO - Performance Comparison
Returns By Period
In the year-to-date period, AQRIX achieves a 11.69% return, which is significantly lower than VOO's 25.52% return. Over the past 10 years, AQRIX has underperformed VOO with an annualized return of 2.57%, while VOO has yielded a comparatively higher 13.15% annualized return.
AQRIX
11.69%
0.38%
2.20%
15.00%
5.70%
2.57%
VOO
25.52%
1.19%
12.21%
32.23%
15.58%
13.15%
Key characteristics
| AQRIX | VOO | |
|---|---|---|
| Sharpe Ratio | 1.67 | 2.62 |
| Sortino Ratio | 2.38 | 3.50 |
| Omega Ratio | 1.31 | 1.49 |
| Calmar Ratio | 2.36 | 3.78 |
| Martin Ratio | 8.30 | 17.12 |
| Ulcer Index | 1.78% | 1.86% |
| Daily Std Dev | 8.84% | 12.19% |
| Max Drawdown | -24.06% | -33.99% |
| Current Drawdown | -1.83% | -1.36% |
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AQRIX vs. VOO - Expense Ratio Comparison
AQRIX has a 0.80% expense ratio, which is higher than VOO's 0.03% expense ratio.
Correlation
The correlation between AQRIX and VOO is 0.61, 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. VOO - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Multi-Asset Fund (AQRIX) and Vanguard S&P 500 ETF (VOO). 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. VOO - Dividend Comparison
AQRIX's dividend yield for the trailing twelve months is around 2.16%, more than VOO's 1.25% 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% |
VOO Vanguard S&P 500 ETF | 1.25% | 1.46% | 1.69% | 1.25% | 1.54% | 1.88% | 2.06% | 1.78% | 2.02% | 2.10% | 1.85% | 1.84% |
Drawdowns
AQRIX vs. VOO - Drawdown Comparison
The maximum AQRIX drawdown since its inception was -24.06%, smaller than the maximum VOO drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for AQRIX and VOO. For additional features, visit the drawdowns tool.
Volatility
AQRIX vs. VOO - Volatility Comparison
The current volatility for AQR Multi-Asset Fund (AQRIX) is 2.37%, while Vanguard S&P 500 ETF (VOO) has a volatility of 3.97%. This indicates that AQRIX experiences smaller price fluctuations and is considered to be less risky than VOO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.