QDSIX vs. SPY

Last updated Jun 4, 2026

QDSIX (AQR Diversifying Strategies Fund) and SPY (State Street SPDR S&P 500 ETF) are both funds - QDSIX is a Multistrategy fund managed by AQR Funds, while SPY is a S&P 500 fund tracking the S&P 500 Index. Over the past 5 years, QDSIX returned 11.18%/yr vs 13.83%/yr for SPY. At a 0.16 correlation, their price movements are largely independent. QDSIX charges 0.20%/yr vs 0.09%/yr for SPY.

Performance

QDSIX vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AQR Diversifying Strategies Fund (QDSIX) and State Street SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, QDSIX achieves a 6.42% return, which is significantly lower than SPY's 10.91% return.

QDSIX

• 1D: 0.07%
• 1M: 1.50%
• YTD: 6.42%
• 6M: 7.88%
• 1Y: 15.05%
• 3Y*: 13.91%
• 5Y*: 11.18%
• 10Y*: —

SPY

• 1D: -0.70%
• 1M: 5.05%
• YTD: 10.91%
• 6M: 10.91%
• 1Y: 27.98%
• 3Y*: 22.35%
• 5Y*: 13.83%
• 10Y*: 15.49%

*Multi-year figures are annualized to reflect compound growth (CAGR)

QDSIX vs. SPY - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
QDSIX AQR Diversifying Strategies Fund	6.42%	16.36%	9.71%	8.88%	14.69%	10.64%	5.50%
SPY State Street SPDR S&P 500 ETF	10.91%	17.72%	24.89%	26.18%	-18.18%	28.73%	18.69%

Correlation

The correlation between QDSIX and SPY is 0.43, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.43
Correlation (3Y) Calculated over the trailing 3-year period	0.31
Correlation (5Y) Calculated over the trailing 5-year period	0.12
Correlation (All Time) Calculated using the full available price history since Jun 11, 2020	0.16

Over the past year, QDSIX and SPY have become more correlated (0.43) than their long-term average of 0.16, meaning their price movements have been converging.

Return for Risk

QDSIX vs. SPY — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

QDSIX

QDSIX Risk / Return Rank: 92
QDSIX Sharpe Ratio Rank: 91
QDSIX Sortino Ratio Rank: 92
QDSIX Omega Ratio Rank: 86
QDSIX Calmar Ratio Rank: 98
QDSIX Martin Ratio Rank: 95

SPY

SPY Risk / Return Rank: 70
SPY Sharpe Ratio Rank: 71
SPY Sortino Ratio Rank: 69
SPY Omega Ratio Rank: 70
SPY Calmar Ratio Rank: 62
SPY Martin Ratio Rank: 75

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

QDSIX vs. SPY - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for AQR Diversifying Strategies Fund (QDSIX) and State Street SPDR S&P 500 ETF (SPY). 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	SPY	Difference
Sharpe ratio: Return per unit of total volatility	3.05	2.38	+0.67
Sortino ratio: Return per unit of downside risk	4.56	3.24	+1.32
Omega ratio: Gain probability vs. loss probability	1.59	1.43	+0.16
Calmar ratio: Return relative to maximum drawdown	7.82	3.16	+4.66
Martin ratio: Return relative to average drawdown	22.82	14.72	+8.11
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

QDSIX vs. SPY - Sharpe Ratio Comparison

The current QDSIX Sharpe Ratio is 3.05, which is comparable to the SPY Sharpe Ratio of 2.38. The chart below compares the historical Sharpe Ratios of QDSIX and SPY, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	QDSIX	SPY	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	3.05	2.38	+0.67
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	1.47	0.82	+0.65
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.87	—
Sharpe Ratio (All Time) Calculated using the full available price history	1.66	0.59	+1.08

Drawdowns

QDSIX vs. SPY - Drawdown Comparison

The maximum QDSIX drawdown since its inception was -7.06%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for QDSIX and SPY.

Drawdown Indicators

	QDSIX	SPY	Difference
Max Drawdown Largest peak-to-trough decline	-7.06%	-55.19%	+48.13%
Max Drawdown (1Y) Largest decline over 1 year	-1.96%	-8.88%	+6.92%
Max Drawdown (3Y) Largest decline over 3 years	-6.90%	-18.76%	+11.86%
Max Drawdown (5Y) Largest decline over 5 years	-7.06%	-24.50%	+17.44%
Max Drawdown (10Y) Largest decline over 10 years	—	-33.72%	—
Current Drawdown Current decline from peak	0.00%	-0.70%	+0.70%
Average Drawdown Average peak-to-trough decline	-1.44%	-9.05%	+7.61%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.67%	1.91%	-1.24%

Volatility

QDSIX vs. SPY - Volatility Comparison

The current volatility for AQR Diversifying Strategies Fund (QDSIX) is 1.38%, while State Street SPDR S&P 500 ETF (SPY) has a volatility of 2.84%. This indicates that QDSIX experiences smaller price fluctuations and is considered to be less risky than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	QDSIX	SPY	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.38%	2.84%	-1.46%
Volatility (6M) Calculated over the trailing 6-month period	3.60%	8.90%	-5.30%
Volatility (1Y) Calculated over the trailing 1-year period	5.04%	11.83%	-6.79%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	7.64%	17.05%	-9.41%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	7.32%	17.94%	-10.62%

QDSIX vs. SPY - Expense Ratio Comparison

QDSIX has a 0.20% expense ratio, which is higher than SPY's 0.09% expense ratio. However, both funds are considered low-cost compared to the broader market, where average expense ratios usually range from 0.3% to 0.9%.

Dividends

QDSIX vs. SPY - Dividend Comparison

QDSIX's dividend yield for the trailing twelve months is around 2.10%, more than SPY's 0.98% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
QDSIX AQR Diversifying Strategies Fund	2.10%	2.23%	0.00%	11.35%	8.22%	6.07%	1.93%	0.00%	0.00%	0.00%	0.00%	0.00%
SPY State Street SPDR S&P 500 ETF	0.98%	1.07%	1.21%	1.40%	1.65%	1.20%	1.52%	1.75%	2.04%	1.80%	2.03%	2.06%

Frequently Asked Questions

Can I hold both QDSIX and SPY in my portfolio?

QDSIX and SPY have a correlation of 0.43, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, QDSIX or SPY?

SPY has higher volatility (2.84%) compared to QDSIX (1.38%). In terms of maximum drawdown, QDSIX dropped -7.06% vs SPY's -55.19%.

Which has better risk-adjusted returns?

QDSIX currently has the higher Sharpe Ratio (3.05 vs 2.38), 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.