QLENX vs. SPY
Compare and contrast key facts about AQR Long-Short Equity N (QLENX) and State Street SPDR S&P 500 ETF (SPY).
QLENX is an actively managed fund by AQR Funds. It was launched on Jul 16, 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.
Performance
QLENX vs. SPY - Performance Comparison
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QLENX vs. SPY - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
QLENX AQR Long-Short Equity N | -3.31% | 34.07% | 30.18% | 23.67% | 18.92% | 30.70% | -14.18% | 1.01% | -16.64% | 15.48% |
SPY State Street SPDR S&P 500 ETF | -4.37% | 17.72% | 24.89% | 26.18% | -18.18% | 28.73% | 18.33% | 31.22% | -4.57% | 21.71% |
Returns By Period
In the year-to-date period, QLENX achieves a -3.31% return, which is significantly higher than SPY's -4.37% return. Over the past 10 years, QLENX has underperformed SPY with an annualized return of 11.26%, while SPY has yielded a comparatively higher 13.98% annualized return.
QLENX
- 1D
- 0.56%
- 1M
- -2.74%
- YTD
- -3.31%
- 6M
- 4.39%
- 1Y
- 19.30%
- 3Y*
- 26.24%
- 5Y*
- 22.20%
- 10Y*
- 11.26%
SPY
- 1D
- 2.91%
- 1M
- -4.94%
- YTD
- -4.37%
- 6M
- -1.82%
- 1Y
- 17.59%
- 3Y*
- 18.19%
- 5Y*
- 11.69%
- 10Y*
- 13.98%
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QLENX vs. SPY - Expense Ratio Comparison
QLENX has a 5.18% expense ratio, which is higher than SPY's 0.09% expense ratio.
Return for Risk
QLENX vs. SPY — Risk / Return Rank
QLENX
SPY
QLENX vs. SPY - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Long-Short Equity N (QLENX) and State Street 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.
| QLENX | SPY | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 2.26 | 0.93 | +1.33 |
Sortino ratioReturn per unit of downside risk | 2.93 | 1.45 | +1.48 |
Omega ratioGain probability vs. loss probability | 1.46 | 1.22 | +0.24 |
Calmar ratioReturn relative to maximum drawdown | 2.83 | 1.53 | +1.31 |
Martin ratioReturn relative to average drawdown | 11.16 | 7.30 | +3.86 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| QLENX | SPY | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.26 | 0.93 | +1.33 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 2.19 | 0.69 | +1.50 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 1.07 | 0.78 | +0.29 |
Sharpe Ratio (All Time)Calculated using the full available price history | 1.21 | 0.56 | +0.65 |
Correlation
The correlation between QLENX 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.
Dividends
QLENX vs. SPY - Dividend Comparison
QLENX's dividend yield for the trailing twelve months is around 1.69%, more than SPY's 1.14% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
QLENX AQR Long-Short Equity N | 1.69% | 1.64% | 7.13% | 21.21% | 14.09% | 0.00% | 1.59% | 0.00% | 6.09% | 8.91% | 2.87% | 4.91% |
SPY State Street SPDR S&P 500 ETF | 1.14% | 1.07% | 1.21% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% |
Drawdowns
QLENX vs. SPY - Drawdown Comparison
The maximum QLENX drawdown since its inception was -38.50%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for QLENX and SPY.
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Drawdown Indicators
| QLENX | SPY | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -38.50% | -55.19% | +16.69% |
Max Drawdown (1Y)Largest decline over 1 year | -6.50% | -12.05% | +5.55% |
Max Drawdown (5Y)Largest decline over 5 years | -17.19% | -24.50% | +7.31% |
Max Drawdown (10Y)Largest decline over 10 years | -38.50% | -33.72% | -4.78% |
Current DrawdownCurrent decline from peak | -3.91% | -6.24% | +2.33% |
Average DrawdownAverage peak-to-trough decline | -7.55% | -9.09% | +1.54% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.65% | 2.52% | -0.87% |
Volatility
QLENX vs. SPY - Volatility Comparison
The current volatility for AQR Long-Short Equity N (QLENX) is 1.92%, while State Street SPDR S&P 500 ETF (SPY) has a volatility of 5.31%. This indicates that QLENX 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.
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Volatility by Period
| QLENX | SPY | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.92% | 5.31% | -3.39% |
Volatility (6M)Calculated over the trailing 6-month period | 4.92% | 9.47% | -4.55% |
Volatility (1Y)Calculated over the trailing 1-year period | 8.66% | 19.05% | -10.39% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 10.22% | 17.06% | -6.84% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 10.55% | 17.92% | -7.37% |