QLEIX vs. QQQ
Compare and contrast key facts about AQR Long-Short Equity Fund (QLEIX) and Invesco QQQ (QQQ).
QLEIX is managed by AQR Funds. It was launched on Jul 15, 2013. QQQ is a passively managed fund by Invesco that tracks the performance of the NASDAQ-100 Index. It was launched on Mar 10, 1999.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: QLEIX or QQQ.
Performance
QLEIX vs. QQQ - Performance Comparison
Returns By Period
In the year-to-date period, QLEIX achieves a 28.13% return, which is significantly higher than QQQ's 23.84% return. Over the past 10 years, QLEIX has underperformed QQQ with an annualized return of 8.98%, while QQQ has yielded a comparatively higher 18.03% annualized return.
QLEIX
28.13%
4.51%
7.78%
27.55%
15.36%
8.98%
QQQ
23.84%
1.82%
11.65%
30.35%
20.97%
18.03%
Key characteristics
| QLEIX | QQQ | |
|---|---|---|
| Sharpe Ratio | 3.75 | 1.78 |
| Sortino Ratio | 5.27 | 2.37 |
| Omega Ratio | 1.77 | 1.32 |
| Calmar Ratio | 4.85 | 2.28 |
| Martin Ratio | 22.95 | 8.27 |
| Ulcer Index | 1.20% | 3.73% |
| Daily Std Dev | 7.34% | 17.37% |
| Max Drawdown | -42.90% | -82.98% |
| Current Drawdown | 0.00% | -1.78% |
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QLEIX vs. QQQ - Expense Ratio Comparison
QLEIX has a 1.30% expense ratio, which is higher than QQQ's 0.20% expense ratio.
Correlation
The correlation between QLEIX and QQQ is 0.39, 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.
Risk-Adjusted Performance
QLEIX vs. QQQ - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Long-Short Equity Fund (QLEIX) and Invesco QQQ (QQQ). 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. QQQ - Dividend Comparison
QLEIX's dividend yield for the trailing twelve months is around 16.23%, more than QQQ's 0.60% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
QLEIX AQR Long-Short Equity Fund | 16.23% | 20.80% | 10.30% | 0.00% | 0.00% | 0.00% | 0.37% | 4.04% | 1.86% | 4.82% | 8.00% | 6.58% |
QQQ Invesco QQQ | 0.60% | 0.62% | 0.80% | 0.43% | 0.55% | 0.74% | 0.91% | 0.84% | 1.06% | 0.99% | 1.41% | 1.02% |
Drawdowns
QLEIX vs. QQQ - Drawdown Comparison
The maximum QLEIX drawdown since its inception was -42.90%, smaller than the maximum QQQ drawdown of -82.98%. Use the drawdown chart below to compare losses from any high point for QLEIX and QQQ. For additional features, visit the drawdowns tool.
Volatility
QLEIX vs. QQQ - Volatility Comparison
The current volatility for AQR Long-Short Equity Fund (QLEIX) is 2.09%, while Invesco QQQ (QQQ) has a volatility of 5.41%. This indicates that QLEIX experiences smaller price fluctuations and is considered to be less risky than QQQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.