QLEIX vs. SPY
Compare and contrast key facts about AQR Long-Short Equity Fund (QLEIX) and SPDR S&P 500 ETF (SPY).
QLEIX is managed by AQR Funds. It was launched on Jul 15, 2013. SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: QLEIX or SPY.
Performance
QLEIX vs. SPY - Performance Comparison
Returns By Period
In the year-to-date period, QLEIX achieves a 28.13% return, which is significantly higher than SPY's 26.08% return. Over the past 10 years, QLEIX has underperformed SPY with an annualized return of 8.98%, while SPY has yielded a comparatively higher 13.10% annualized return.
QLEIX
28.13%
4.51%
7.78%
27.55%
15.36%
8.98%
SPY
26.08%
1.77%
13.59%
32.24%
15.62%
13.10%
Key characteristics
| QLEIX | SPY | |
|---|---|---|
| Sharpe Ratio | 3.75 | 2.70 |
| Sortino Ratio | 5.27 | 3.60 |
| Omega Ratio | 1.77 | 1.50 |
| Calmar Ratio | 4.85 | 3.90 |
| Martin Ratio | 22.95 | 17.52 |
| Ulcer Index | 1.20% | 1.87% |
| Daily Std Dev | 7.34% | 12.14% |
| Max Drawdown | -42.90% | -55.19% |
| Current Drawdown | 0.00% | -0.85% |
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QLEIX vs. SPY - Expense Ratio Comparison
QLEIX has a 1.30% expense ratio, which is higher than SPY's 0.09% expense ratio.
Correlation
The correlation between QLEIX and SPY is 0.50, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Risk-Adjusted Performance
QLEIX vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Long-Short Equity Fund (QLEIX) and 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.
Dividends
QLEIX vs. SPY - Dividend Comparison
QLEIX's dividend yield for the trailing twelve months is around 16.23%, more than SPY's 1.18% 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% |
SPY SPDR S&P 500 ETF | 1.18% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% | 1.81% |
Drawdowns
QLEIX vs. SPY - Drawdown Comparison
The maximum QLEIX drawdown since its inception was -42.90%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for QLEIX and SPY. For additional features, visit the drawdowns tool.
Volatility
QLEIX vs. SPY - Volatility Comparison
The current volatility for AQR Long-Short Equity Fund (QLEIX) is 2.09%, while SPDR S&P 500 ETF (SPY) has a volatility of 3.98%. This indicates that QLEIX 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.