QLEIX vs. WFIVX
Compare and contrast key facts about AQR Long-Short Equity Fund (QLEIX) and Wilshire 5000 Index Portfolio (WFIVX).
QLEIX is managed by AQR Funds. It was launched on Jul 15, 2013. WFIVX is managed by Wilshire Mutual Funds. It was launched on Feb 1, 1999.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: QLEIX or WFIVX.
Performance
QLEIX vs. WFIVX - Performance Comparison
Returns By Period
In the year-to-date period, QLEIX achieves a 27.52% return, which is significantly higher than WFIVX's 23.71% return. Over the past 10 years, QLEIX has outperformed WFIVX with an annualized return of 8.99%, while WFIVX has yielded a comparatively lower 7.79% annualized return.
QLEIX
27.52%
3.89%
7.48%
26.95%
15.26%
8.99%
WFIVX
23.71%
1.62%
11.99%
28.35%
9.05%
7.79%
Key characteristics
| QLEIX | WFIVX | |
|---|---|---|
| Sharpe Ratio | 3.60 | 2.27 |
| Sortino Ratio | 5.07 | 3.07 |
| Omega Ratio | 1.73 | 1.42 |
| Calmar Ratio | 4.66 | 2.06 |
| Martin Ratio | 22.05 | 14.25 |
| Ulcer Index | 1.20% | 1.96% |
| Daily Std Dev | 7.35% | 12.32% |
| Max Drawdown | -42.90% | -55.43% |
| Current Drawdown | -0.18% | -1.51% |
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QLEIX vs. WFIVX - Expense Ratio Comparison
QLEIX has a 1.30% expense ratio, which is higher than WFIVX's 0.54% expense ratio.
Correlation
The correlation between QLEIX and WFIVX is 0.48, 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. WFIVX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Long-Short Equity Fund (QLEIX) and Wilshire 5000 Index Portfolio (WFIVX). 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. WFIVX - Dividend Comparison
QLEIX's dividend yield for the trailing twelve months is around 16.31%, more than WFIVX's 0.83% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
QLEIX AQR Long-Short Equity Fund | 16.31% | 20.80% | 10.30% | 0.00% | 0.00% | 0.00% | 0.37% | 4.04% | 1.86% | 4.82% | 8.00% | 6.58% |
WFIVX Wilshire 5000 Index Portfolio | 0.83% | 1.02% | 1.11% | 0.76% | 1.04% | 1.31% | 1.59% | 1.31% | 2.06% | 1.38% | 1.23% | 1.23% |
Drawdowns
QLEIX vs. WFIVX - Drawdown Comparison
The maximum QLEIX drawdown since its inception was -42.90%, smaller than the maximum WFIVX drawdown of -55.43%. Use the drawdown chart below to compare losses from any high point for QLEIX and WFIVX. For additional features, visit the drawdowns tool.
Volatility
QLEIX vs. WFIVX - Volatility Comparison
The current volatility for AQR Long-Short Equity Fund (QLEIX) is 2.21%, while Wilshire 5000 Index Portfolio (WFIVX) has a volatility of 4.20%. This indicates that QLEIX experiences smaller price fluctuations and is considered to be less risky than WFIVX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.