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

Key characteristics


QDSIXQSPIX
YTD Return10.78%18.86%
1Y Return-1.27%12.46%
3Y Return (Ann)7.80%25.36%
Sharpe Ratio-0.081.09
Sortino Ratio-0.021.55
Omega Ratio0.991.19
Calmar Ratio-0.081.39
Martin Ratio-0.223.46
Ulcer Index4.32%3.74%
Daily Std Dev11.63%11.95%
Max Drawdown-11.30%-41.37%
Current Drawdown-2.59%-4.24%

Correlation

-0.50.00.51.00.8

The correlation between QDSIX and QSPIX is 0.78, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.

Performance

QDSIX vs. QSPIX - Performance Comparison

In the year-to-date period, QDSIX achieves a 10.78% return, which is significantly lower than QSPIX's 18.86% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-6.00%-4.00%-2.00%0.00%2.00%4.00%JuneJulyAugustSeptemberOctoberNovember
-0.95%
-0.98%
QDSIX
QSPIX

Compare stocks, funds, or ETFs

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


QDSIX vs. QSPIX - Expense Ratio Comparison

QDSIX has a 0.20% expense ratio, which is lower than QSPIX's 1.49% expense ratio.


QSPIX
AQR Style Premia Alternative Fund
Expense ratio chart for QSPIX: current value at 1.49% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.49%
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%

Risk-Adjusted Performance

QDSIX vs. QSPIX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for AQR Diversifying Strategies Fund (QDSIX) and AQR Style Premia Alternative Fund (QSPIX). 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.


QDSIX
Sharpe ratio
The chart of Sharpe ratio for QDSIX, currently valued at -0.08, compared to the broader market0.002.004.00-0.08
Sortino ratio
The chart of Sortino ratio for QDSIX, currently valued at -0.02, compared to the broader market0.005.0010.00-0.02
Omega ratio
The chart of Omega ratio for QDSIX, currently valued at 0.99, compared to the broader market1.002.003.004.000.99
Calmar ratio
The chart of Calmar ratio for QDSIX, currently valued at -0.08, compared to the broader market0.005.0010.0015.0020.00-0.08
Martin ratio
The chart of Martin ratio for QDSIX, currently valued at -0.22, compared to the broader market0.0020.0040.0060.0080.00100.00-0.22
QSPIX
Sharpe ratio
The chart of Sharpe ratio for QSPIX, currently valued at 1.09, compared to the broader market0.002.004.001.09
Sortino ratio
The chart of Sortino ratio for QSPIX, currently valued at 1.55, compared to the broader market0.005.0010.001.55
Omega ratio
The chart of Omega ratio for QSPIX, currently valued at 1.19, compared to the broader market1.002.003.004.001.19
Calmar ratio
The chart of Calmar ratio for QSPIX, currently valued at 1.39, compared to the broader market0.005.0010.0015.0020.001.39
Martin ratio
The chart of Martin ratio for QSPIX, currently valued at 3.46, compared to the broader market0.0020.0040.0060.0080.00100.003.46

QDSIX vs. QSPIX - Sharpe Ratio Comparison

The current QDSIX Sharpe Ratio is -0.08, which is lower than the QSPIX Sharpe Ratio of 1.09. The chart below compares the historical Sharpe Ratios of QDSIX and QSPIX, 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
-0.08
1.09
QDSIX
QSPIX

Dividends

QDSIX vs. QSPIX - Dividend Comparison

QDSIX's dividend yield for the trailing twelve months is around 10.09%, less than QSPIX's 19.91% yield.


TTM20232022202120202019201820172016201520142013
QDSIX
AQR Diversifying Strategies Fund
10.09%11.18%8.06%4.70%1.93%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
QSPIX
AQR Style Premia Alternative Fund
19.91%23.67%22.69%12.79%0.00%1.62%0.96%7.08%1.74%5.83%12.86%2.25%

Drawdowns

QDSIX vs. QSPIX - Drawdown Comparison

The maximum QDSIX drawdown since its inception was -11.30%, smaller than the maximum QSPIX drawdown of -41.37%. Use the drawdown chart below to compare losses from any high point for QDSIX and QSPIX. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.59%
-4.24%
QDSIX
QSPIX

Volatility

QDSIX vs. QSPIX - Volatility Comparison

The current volatility for AQR Diversifying Strategies Fund (QDSIX) is 1.55%, while AQR Style Premia Alternative Fund (QSPIX) has a volatility of 2.62%. This indicates that QDSIX experiences smaller price fluctuations and is considered to be less risky than QSPIX 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
1.55%
2.62%
QDSIX
QSPIX