ARBFX vs. QLEIX
ARBFX (The Arbitrage Fund) and QLEIX (AQR Long-Short Equity Fund) are both mutual funds - ARBFX is a Event Driven fund managed by Arbitrage Fund, while QLEIX is a Long-Short fund actively managed by AQR Funds. Over the past 10 years, ARBFX returned 3.27%/yr vs 12.26%/yr for QLEIX. At a 0.24 correlation, their price movements are largely independent. ARBFX charges 1.43%/yr vs 1.30%/yr for QLEIX.
Performance
ARBFX vs. QLEIX - Performance Comparison
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Returns By Period
In the year-to-date period, ARBFX achieves a 1.34% return, which is significantly higher than QLEIX's -0.52% return. Over the past 10 years, ARBFX has underperformed QLEIX with an annualized return of 3.27%, while QLEIX has yielded a comparatively higher 12.26% annualized return.
ARBFX
- 1D
- 0.22%
- 1M
- 0.29%
- YTD
- 1.34%
- 6M
- 1.34%
- 1Y
- 6.09%
- 3Y*
- 6.49%
- 5Y*
- 3.04%
- 10Y*
- 3.27%
QLEIX
- 1D
- 0.19%
- 1M
- 1.15%
- YTD
- -0.52%
- 6M
- -1.13%
- 1Y
- 15.49%
- 3Y*
- 25.79%
- 5Y*
- 23.47%
- 10Y*
- 12.26%
ARBFX vs. QLEIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
ARBFX The Arbitrage Fund | 1.34% | 8.01% | 2.61% | 5.94% | -1.02% | 0.85% | 5.42% | 3.57% | 2.12% | 2.59% |
QLEIX AQR Long-Short Equity Fund | -0.52% | 34.43% | 30.50% | 23.95% | 19.18% | 31.10% | -13.92% | 1.19% | -16.33% | 15.74% |
Correlation
The correlation between ARBFX and QLEIX is 0.28, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.28 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.22 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.15 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.22 |
Correlation (All Time) Calculated using the full available price history since Jan 2, 2014 | 0.24 |
The correlation between ARBFX and QLEIX shifts across timeframes, from 0.15 (5 years) to 0.28 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
ARBFX vs. QLEIX — Risk / Return Rank
ARBFX
QLEIX
ARBFX vs. QLEIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for The Arbitrage Fund (ARBFX) and AQR Long-Short Equity Fund (QLEIX). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| ARBFX | QLEIX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.15 | ||
| Sortino ratioReturn per unit of downside risk | +2.61 | ||
| Omega ratioGain probability vs. loss probability | 1.77 | 1.40 | +0.37 |
| Calmar ratioReturn relative to maximum drawdown | 7.00 | 2.64 | +4.36 |
| Martin ratioReturn relative to average drawdown | 30.88 | 8.20 | +22.68 |
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Drawdowns
ARBFX vs. QLEIX - Drawdown Comparison
The maximum ARBFX drawdown since its inception was -38.01%, roughly equal to the maximum QLEIX drawdown of -38.11%. Use the drawdown chart below to compare losses from any high point for ARBFX and QLEIX.
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Drawdown Indicators
| ARBFX | QLEIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -38.01% | -38.11% | +0.10% |
Max Drawdown (1Y)Largest decline over 1 year | -0.88% | -6.01% | +5.13% |
Max Drawdown (3Y)Largest decline over 3 years | -2.26% | -7.07% | +4.81% |
Max Drawdown (5Y)Largest decline over 5 years | -6.79% | -17.07% | +10.28% |
Max Drawdown (10Y)Largest decline over 10 years | -11.90% | -38.11% | +26.21% |
Current DrawdownCurrent decline from peak | 0.00% | -1.13% | +1.13% |
Average DrawdownAverage peak-to-trough decline | -2.36% | -7.70% | +5.34% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.20% | 1.93% | -1.73% |
Volatility
ARBFX vs. QLEIX - Volatility Comparison
The current volatility for The Arbitrage Fund (ARBFX) is 0.49%, while AQR Long-Short Equity Fund (QLEIX) has a volatility of 2.82%. This indicates that ARBFX experiences smaller price fluctuations and is considered to be less risky than QLEIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ARBFX | QLEIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.49% | 2.82% | -2.33% |
Volatility (6M)Calculated over the trailing 6-month period | 1.15% | 5.76% | -4.61% |
Volatility (1Y)Calculated over the trailing 1-year period | 1.87% | 7.37% | -5.50% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 3.65% | 10.02% | -6.37% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 4.42% | 10.59% | -6.17% |
ARBFX vs. QLEIX - Expense Ratio Comparison
ARBFX has a 1.43% expense ratio, which is higher than QLEIX's 1.30% expense ratio.
Dividends
ARBFX vs. QLEIX - Dividend Comparison
ARBFX's dividend yield for the trailing twelve months is around 3.54%, more than QLEIX's 1.76% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ARBFX The Arbitrage Fund | 3.54% | 3.59% | 0.94% | 1.92% | 3.67% | 0.53% | 6.94% | 2.12% | 1.71% | 3.55% | 0.96% | 2.36% |
QLEIX AQR Long-Short Equity Fund | 1.76% | 1.75% | 7.12% | 20.88% | 14.15% | 0.00% | 1.57% | 0.00% | 6.03% | 9.11% | 3.01% | 4.98% |
Frequently Asked Questions
ARBFX and QLEIX have a correlation of 0.28, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
QLEIX has higher volatility (2.82%) compared to ARBFX (0.49%). In terms of maximum drawdown, ARBFX dropped -38.01% vs QLEIX's -38.11%.
ARBFX currently has the higher Sharpe Ratio (3.31 vs 2.16), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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