QDSNX vs. SPGP

Last updated Jun 13, 2026

QDSNX (AQR Diversifying Strategies Fund Class N) and SPGP (Invesco S&P 500 GARP ETF) are both funds - QDSNX is a Tactical Allocation fund actively managed by AQR Funds, while SPGP is a Multi-factor fund tracking the S&P 500 GARP Index. QDSNX is actively managed, while SPGP is passively managed. Over the past 5 years, QDSNX returned 10.72%/yr vs 7.97%/yr for SPGP. At a 0.18 correlation, their price movements are largely independent. QDSNX charges 3.30%/yr vs 0.36%/yr for SPGP.

Performance

QDSNX vs. SPGP - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AQR Diversifying Strategies Fund Class N (QDSNX) and Invesco S&P 500 GARP ETF (SPGP). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, QDSNX achieves a 4.87% return, which is significantly lower than SPGP's 6.06% return.

QDSNX

• 1D: 0.34%
• 1M: -0.41%
• YTD: 4.87%
• 6M: 6.21%
• 1Y: 13.30%
• 3Y*: 12.84%
• 5Y*: 10.72%
• 10Y*: —

SPGP

• 1D: 0.84%
• 1M: 3.85%
• YTD: 6.06%
• 6M: 5.64%
• 1Y: 16.13%
• 3Y*: 11.97%
• 5Y*: 7.97%
• 10Y*: 15.11%

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

QDSNX vs. SPGP - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
QDSNX AQR Diversifying Strategies Fund Class N	4.87%	16.14%	9.56%	8.62%	14.48%	10.35%	5.40%
SPGP Invesco S&P 500 GARP ETF	6.06%	9.80%	8.48%	20.29%	-13.83%	35.72%	22.49%

Correlation

The correlation between QDSNX and SPGP is 0.34, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.34
Correlation (3Y) Calculated over the trailing 3-year period	0.29
Correlation (5Y) Calculated over the trailing 5-year period	0.13
Correlation (All Time) Calculated using the full available price history since Jun 10, 2020	0.18

The correlation between QDSNX and SPGP shifts across timeframes, from 0.13 (5 years) to 0.34 (1 year), reflecting how their relationship changes across market environments.

Return for Risk

QDSNX vs. SPGP — Risk / Return Rank

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

QDSNX

QDSNX Risk / Return Rank: 92
QDSNX Sharpe Ratio Rank: 92
QDSNX Sortino Ratio Rank: 90
QDSNX Omega Ratio Rank: 86
QDSNX Calmar Ratio Rank: 98
QDSNX Martin Ratio Rank: 96

SPGP

SPGP Risk / Return Rank: 34
SPGP Sharpe Ratio Rank: 33
SPGP Sortino Ratio Rank: 33
SPGP Omega Ratio Rank: 30
SPGP Calmar Ratio Rank: 33
SPGP Martin Ratio Rank: 39

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.

QDSNX vs. SPGP - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for AQR Diversifying Strategies Fund Class N (QDSNX) and Invesco S&P 500 GARP ETF (SPGP). 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.

	QDSNX	SPGP	Difference
Sharpe ratio: Return per unit of total volatility	2.71	1.04	+1.67
Sortino ratio: Return per unit of downside risk	4.02	1.57	+2.46
Omega ratio: Gain probability vs. loss probability	1.52	1.19	+0.33
Calmar ratio: Return relative to maximum drawdown	6.97	1.45	+5.52
Martin ratio: Return relative to average drawdown	19.53	5.54	+13.99

QDSNX vs. SPGP - Sharpe Ratio Comparison

The current QDSNX Sharpe Ratio is 2.71, which is higher than the SPGP Sharpe Ratio of 1.04. The chart below compares the historical Sharpe Ratios of QDSNX and SPGP, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

QDSNX vs. SPGP - Drawdown Comparison

The maximum QDSNX drawdown since its inception was -7.15%, smaller than the maximum SPGP drawdown of -42.08%. Use the drawdown chart below to compare losses from any high point for QDSNX and SPGP.

Drawdown Indicators

	QDSNX	SPGP	Difference
Max Drawdown Largest peak-to-trough decline	-7.15%	-42.08%	+34.93%
Max Drawdown (1Y) Largest decline over 1 year	-1.97%	-11.15%	+9.18%
Max Drawdown (3Y) Largest decline over 3 years	-6.93%	-22.87%	+15.94%
Max Drawdown (5Y) Largest decline over 5 years	-7.15%	-22.87%	+15.72%
Max Drawdown (10Y) Largest decline over 10 years	—	-42.08%	—
Current Drawdown Current decline from peak	-1.41%	-1.05%	-0.36%
Average Drawdown Average peak-to-trough decline	-1.45%	-4.35%	+2.90%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.70%	2.92%	-2.22%

Volatility

QDSNX vs. SPGP - Volatility Comparison

The current volatility for AQR Diversifying Strategies Fund Class N (QDSNX) is 1.72%, while Invesco S&P 500 GARP ETF (SPGP) has a volatility of 5.43%. This indicates that QDSNX experiences smaller price fluctuations and is considered to be less risky than SPGP based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	QDSNX	SPGP	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.72%	5.43%	-3.71%
Volatility (6M) Calculated over the trailing 6-month period	3.68%	12.24%	-8.56%
Volatility (1Y) Calculated over the trailing 1-year period	5.06%	15.63%	-10.57%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	7.64%	18.60%	-10.96%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	7.30%	21.23%	-13.93%

QDSNX vs. SPGP - Expense Ratio Comparison

QDSNX has a 3.30% expense ratio, which is higher than SPGP's 0.36% expense ratio.

Dividends

QDSNX vs. SPGP - Dividend Comparison

QDSNX's dividend yield for the trailing twelve months is around 1.90%, more than SPGP's 0.88% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
QDSNX AQR Diversifying Strategies Fund Class N	1.90%	1.99%	0.00%	11.18%	8.01%	5.99%	1.83%	0.00%	0.00%	0.00%	0.00%	0.00%
SPGP Invesco S&P 500 GARP ETF	0.88%	1.04%	1.38%	1.24%	1.22%	0.69%	1.10%	0.86%	0.95%	0.68%	0.89%	1.12%

Frequently Asked Questions

Can I hold both QDSNX and SPGP in my portfolio?

QDSNX and SPGP have a correlation of 0.34, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, QDSNX or SPGP?

SPGP has higher volatility (5.43%) compared to QDSNX (1.72%). In terms of maximum drawdown, QDSNX dropped -7.15% vs SPGP's -42.08%.

Which has better risk-adjusted returns?

QDSNX currently has the higher Sharpe Ratio (2.71 vs 1.04), 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.