QLENX vs. GTAPX

Last updated Jun 4, 2026

QLENX (AQR Long-Short Equity N) and GTAPX (Quantitative U.S. Long/Short Equity Portfolio) are both Long-Short funds. Over the past 10 years, QLENX returned 11.73%/yr vs 5.77%/yr for GTAPX. A 0.56 correlation means they provide meaningful diversification when combined. QLENX charges 5.18%/yr vs 1.25%/yr for GTAPX.

Performance

QLENX vs. GTAPX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AQR Long-Short Equity N (QLENX) and Quantitative U.S. Long/Short Equity Portfolio (GTAPX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, QLENX achieves a 0.29% return, which is significantly lower than GTAPX's 5.43% return. Over the past 10 years, QLENX has outperformed GTAPX with an annualized return of 11.73%, while GTAPX has yielded a comparatively lower 5.77% annualized return.

QLENX

• 1D: -0.19%
• 1M: 3.51%
• YTD: 0.29%
• 6M: 4.65%
• 1Y: 15.75%
• 3Y*: 27.39%
• 5Y*: 21.63%
• 10Y*: 11.73%

GTAPX

• 1D: 0.00%
• 1M: 0.30%
• YTD: 5.43%
• 6M: 7.29%
• 1Y: 14.91%
• 3Y*: 12.02%
• 5Y*: 8.76%
• 10Y*: 5.77%

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

QLENX vs. GTAPX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
QLENX AQR Long-Short Equity N	0.29%	34.07%	30.18%	23.67%	18.92%	30.70%	-14.18%	1.01%	-16.64%	15.48%
GTAPX Quantitative U.S. Long/Short Equity Portfolio	5.43%	12.79%	13.28%	4.42%	3.16%	17.72%	-5.16%	3.26%	-8.65%	8.74%

Correlation

The correlation between QLENX and GTAPX is 0.30, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.30
Correlation (3Y) Calculated over the trailing 3-year period	0.41
Correlation (5Y) Calculated over the trailing 5-year period	0.51
Correlation (10Y) Calculated over the trailing 10-year period	0.54
Correlation (All Time) Calculated using the full available price history since Jul 17, 2013	0.56

Over the past year, the correlation between QLENX and GTAPX has dropped to 0.30 - well below their long-term average of 0.56, suggesting their price drivers have been diverging.

Return for Risk

QLENX vs. GTAPX — Risk / Return Rank

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

QLENX

QLENX Risk / Return Rank: 51
QLENX Sharpe Ratio Rank: 56
QLENX Sortino Ratio Rank: 60
QLENX Omega Ratio Rank: 54
QLENX Calmar Ratio Rank: 47
QLENX Martin Ratio Rank: 37

GTAPX

GTAPX Risk / Return Rank: 69
GTAPX Sharpe Ratio Rank: 57
GTAPX Sortino Ratio Rank: 61
GTAPX Omega Ratio Rank: 50
GTAPX Calmar Ratio Rank: 92
GTAPX Martin Ratio Rank: 83

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.

QLENX vs. GTAPX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for AQR Long-Short Equity N (QLENX) and Quantitative U.S. Long/Short Equity Portfolio (GTAPX). 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.

	QLENX	GTAPX	Difference
Sharpe ratio: Return per unit of total volatility	2.21	2.22	-0.01
Sortino ratio: Return per unit of downside risk	3.25	3.29	-0.04
Omega ratio: Gain probability vs. loss probability	1.40	1.39	+0.01
Calmar ratio: Return relative to maximum drawdown	2.62	5.00	-2.38
Martin ratio: Return relative to average drawdown	8.18	15.60	-7.42
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

QLENX vs. GTAPX - Sharpe Ratio Comparison

The current QLENX Sharpe Ratio is 2.21, which is comparable to the GTAPX Sharpe Ratio of 2.22. The chart below compares the historical Sharpe Ratios of QLENX and GTAPX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	QLENX	GTAPX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.21	2.22	-0.01
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	2.16	0.81	+1.35
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	1.11	0.57	+0.54
Sharpe Ratio (All Time) Calculated using the full available price history	1.22	0.40	+0.82

Drawdowns

QLENX vs. GTAPX - Drawdown Comparison

The maximum QLENX drawdown since its inception was -38.50%, which is greater than GTAPX's maximum drawdown of -30.40%. Use the drawdown chart below to compare losses from any high point for QLENX and GTAPX.

Drawdown Indicators

	QLENX	GTAPX	Difference
Max Drawdown Largest peak-to-trough decline	-38.50%	-30.40%	-8.10%
Max Drawdown (1Y) Largest decline over 1 year	-6.09%	-3.01%	-3.08%
Max Drawdown (3Y) Largest decline over 3 years	-7.09%	-12.21%	+5.12%
Max Drawdown (5Y) Largest decline over 5 years	-17.19%	-12.21%	-4.98%
Max Drawdown (10Y) Largest decline over 10 years	-38.50%	-30.40%	-8.10%
Current Drawdown Current decline from peak	-0.34%	-0.22%	-0.12%
Average Drawdown Average peak-to-trough decline	-7.48%	-7.04%	-0.44%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.95%	0.96%	+0.99%

Volatility

QLENX vs. GTAPX - Volatility Comparison

AQR Long-Short Equity N (QLENX) has a higher volatility of 2.21% compared to Quantitative U.S. Long/Short Equity Portfolio (GTAPX) at 2.05%. This indicates that QLENX's price experiences larger fluctuations and is considered to be riskier than GTAPX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	QLENX	GTAPX	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.21%	2.05%	+0.16%
Volatility (6M) Calculated over the trailing 6-month period	5.60%	5.01%	+0.59%
Volatility (1Y) Calculated over the trailing 1-year period	7.27%	6.77%	+0.50%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	10.08%	10.89%	-0.81%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	10.59%	10.22%	+0.37%

QLENX vs. GTAPX - Expense Ratio Comparison

QLENX has a 5.18% expense ratio, which is higher than GTAPX's 1.25% expense ratio.

Dividends

QLENX vs. GTAPX - Dividend Comparison

QLENX's dividend yield for the trailing twelve months is around 1.63%, less than GTAPX's 15.73% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
GTAPX Quantitative U.S. Long/Short Equity Portfolio	15.73%	16.63%	11.79%	11.23%	0.00%	0.00%	0.00%	0.96%	0.00%	0.00%	0.00%	0.00%
QLENX AQR Long-Short Equity N	1.63%	1.64%	7.13%	21.21%	14.09%	0.00%	1.59%	0.00%	6.09%	8.91%	2.87%	4.91%

Frequently Asked Questions

Can I hold both QLENX and GTAPX in my portfolio?

QLENX and GTAPX have a correlation of 0.30, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, QLENX or GTAPX?

QLENX has higher volatility (2.21%) compared to GTAPX (2.05%). In terms of maximum drawdown, QLENX dropped -38.50% vs GTAPX's -30.40%.

Which has better risk-adjusted returns?

GTAPX currently has the higher Sharpe Ratio (2.22 vs 2.21), 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.