QLEIX vs. KMLM
Compare and contrast key facts about AQR Long-Short Equity Fund (QLEIX) and KFA Mount Lucas Index Strategy ETF (KMLM).
QLEIX is managed by AQR Funds. It was launched on Jul 15, 2013. KMLM is an actively managed fund by CICC. It was launched on Dec 2, 2020.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: QLEIX or KMLM.
Key characteristics
| QLEIX | KMLM | |
|---|---|---|
| YTD Return | 16.67% | 8.05% |
| 1Y Return | 37.41% | 1.04% |
| 3Y Return (Ann) | 23.03% | 7.45% |
| Sharpe Ratio | 1.38 | 0.09 |
| Daily Std Dev | 27.18% | 11.48% |
| Max Drawdown | -39.20% | -24.15% |
| Current Drawdown | -4.01% | -15.97% |
Correlation
The correlation between QLEIX and KMLM is 0.09, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Performance
QLEIX vs. KMLM - Performance Comparison
In the year-to-date period, QLEIX achieves a 16.67% return, which is significantly higher than KMLM's 8.05% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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QLEIX vs. KMLM - Expense Ratio Comparison
QLEIX has a 1.30% expense ratio, which is higher than KMLM's 0.90% expense ratio.
Risk-Adjusted Performance
QLEIX vs. KMLM - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Long-Short Equity Fund (QLEIX) and KFA Mount Lucas Index Strategy ETF (KMLM). 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
QLEIX vs. KMLM - Dividend Comparison
QLEIX's dividend yield for the trailing twelve months is around 17.89%, while KMLM has not paid dividends to shareholders.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
QLEIX AQR Long-Short Equity Fund | 17.89% | 20.87% | 14.15% | 0.00% | 1.57% | 0.00% | 6.03% | 9.11% | 3.01% | 4.98% | 0.89% | 8.81% |
KMLM KFA Mount Lucas Index Strategy ETF | 0.00% | 0.00% | 8.12% | 6.94% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
QLEIX vs. KMLM - Drawdown Comparison
The maximum QLEIX drawdown since its inception was -39.20%, which is greater than KMLM's maximum drawdown of -24.15%. Use the drawdown chart below to compare losses from any high point for QLEIX and KMLM. For additional features, visit the drawdowns tool.
Volatility
QLEIX vs. KMLM - Volatility Comparison
The current volatility for AQR Long-Short Equity Fund (QLEIX) is 2.44%, while KFA Mount Lucas Index Strategy ETF (KMLM) has a volatility of 2.85%. This indicates that QLEIX experiences smaller price fluctuations and is considered to be less risky than KMLM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.