QLENX vs. IVLU
QLENX (AQR Long-Short Equity Fund Class N) and IVLU (iShares MSCI International Value Factor ETF) are both funds - QLENX is a Long-Short fund actively managed by AQR Funds, while IVLU is a Foreign Large Cap Equities fund tracking the MSCI World ex USA Enhanced Value Index. QLENX is actively managed, while IVLU is passively managed. Over the past 10 years, QLENX returned 11.68%/yr vs 11.63%/yr for IVLU. At a 0.49 correlation, their price movements are largely independent. QLENX charges 1.57%/yr vs 0.30%/yr for IVLU.
Performance
QLENX vs. IVLU - Performance Comparison
Loading charts...
Returns By Period
In the year-to-date period, QLENX achieves a -1.51% return, which is significantly lower than IVLU's 12.96% return. Both investments have delivered pretty close results over the past 10 years, with QLENX having a 11.68% annualized return and IVLU not far behind at 11.63%.
QLENX
- 1D
- 0.90%
- 1M
- 0.25%
- YTD
- -1.51%
- 6M
- -0.07%
- 1Y
- 14.37%
- 3Y*
- 25.84%
- 5Y*
- 21.74%
- 10Y*
- 11.68%
IVLU
- 1D
- 0.56%
- 1M
- 2.48%
- YTD
- 12.96%
- 6M
- 14.33%
- 1Y
- 35.32%
- 3Y*
- 23.53%
- 5Y*
- 14.06%
- 10Y*
- 11.63%
QLENX vs. IVLU - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
QLENX AQR Long-Short Equity Fund Class N | -1.51% | 34.07% | 30.18% | 23.67% | 18.92% | 30.70% | -14.18% | 1.01% | -16.64% | 15.48% |
IVLU iShares MSCI International Value Factor ETF | 12.96% | 46.09% | 6.76% | 20.07% | -5.73% | 15.60% | -4.50% | 15.60% | -15.10% | 23.10% |
Correlation
The correlation between QLENX and IVLU is 0.41, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.41 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.41 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.44 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.51 |
Correlation (All Time) Calculated using the full available price history since Jul 15, 2015 | 0.49 |
The correlation between QLENX and IVLU shifts across timeframes, from 0.41 (1 year) to 0.51 (10 years), reflecting how their relationship changes across market environments.
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
Return for Risk
QLENX vs. IVLU — Risk / Return Rank
QLENX
IVLU
QLENX vs. IVLU - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Long-Short Equity Fund Class N (QLENX) and iShares MSCI International Value Factor ETF (IVLU). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| QLENX | IVLU | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.17 | ||
| Sortino ratioReturn per unit of downside risk | -0.05 | ||
| Omega ratioGain probability vs. loss probability | 1.36 | 1.39 | -0.02 |
| Calmar ratioReturn relative to maximum drawdown | 2.43 | 2.90 | -0.47 |
| Martin ratioReturn relative to average drawdown | 7.52 | 11.01 | -3.49 |
Loading charts...
Drawdowns
QLENX vs. IVLU - Drawdown Comparison
The maximum QLENX drawdown since its inception was -38.50%, smaller than the maximum IVLU drawdown of -41.85%. Use the drawdown chart below to compare losses from any high point for QLENX and IVLU.
Loading charts...
Drawdown Indicators
| QLENX | IVLU | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -38.50% | -41.85% | +3.35% |
Max Drawdown (1Y)Largest decline over 1 year | -6.09% | -11.69% | +5.60% |
Max Drawdown (3Y)Largest decline over 3 years | -7.09% | -15.48% | +8.39% |
Max Drawdown (5Y)Largest decline over 5 years | -17.19% | -26.04% | +8.85% |
Max Drawdown (10Y)Largest decline over 10 years | -38.50% | -41.85% | +3.35% |
Current DrawdownCurrent decline from peak | -2.13% | -0.53% | -1.60% |
Average DrawdownAverage peak-to-trough decline | -7.47% | -8.57% | +1.10% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.97% | 3.09% | -1.12% |
Volatility
QLENX vs. IVLU - Volatility Comparison
The current volatility for AQR Long-Short Equity Fund Class N (QLENX) is 2.67%, while iShares MSCI International Value Factor ETF (IVLU) has a volatility of 5.44%. This indicates that QLENX experiences smaller price fluctuations and is considered to be less risky than IVLU based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
Loading charts...
Volatility by Period
| QLENX | IVLU | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.67% | 5.44% | -2.77% |
Volatility (6M)Calculated over the trailing 6-month period | 5.80% | 12.85% | -7.05% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.39% | 15.65% | -8.26% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 10.09% | 16.58% | -6.49% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 10.59% | 17.66% | -7.07% |
QLENX vs. IVLU - Expense Ratio Comparison
QLENX has a 1.57% expense ratio, which is higher than IVLU's 0.30% expense ratio.
Dividends
QLENX vs. IVLU - Dividend Comparison
QLENX's dividend yield for the trailing twelve months is around 1.66%, less than IVLU's 3.28% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
IVLU iShares MSCI International Value Factor ETF | 3.28% | 3.71% | 4.46% | 4.69% | 3.59% | 3.47% | 2.05% | 3.53% | 2.82% | 2.87% | 2.53% | 0.93% |
QLENX AQR Long-Short Equity Fund Class N | 1.66% | 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
QLENX and IVLU have a correlation of 0.41, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
IVLU has higher volatility (5.44%) compared to QLENX (2.67%). In terms of maximum drawdown, QLENX dropped -38.50% vs IVLU's -41.85%.
IVLU currently has the higher Sharpe Ratio (2.17 vs 2.00), 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.
Find the right allocation for QLENX and IVLU
Add both to a portfolio and optimize allocations for your target — whether that's maximizing returns, minimizing drawdowns, or balancing risk across holdings.
Open Portfolio Optimizer