QNZNX vs. SPY

Last updated Jun 3, 2026

QNZNX (AQR Trend Total Return Fund) and SPY (State Street SPDR S&P 500 ETF) are both funds - QNZNX is a Systematic Trend fund actively managed by AQR Funds, while SPY is a S&P 500 fund tracking the S&P 500 Index. QNZNX is actively managed, while SPY is passively managed. Over the past 3 years, QNZNX returned 32.03%/yr vs 22.64%/yr for SPY. A 0.54 correlation means they provide meaningful diversification when combined. QNZNX charges 1.52%/yr vs 0.09%/yr for SPY.

Performance

QNZNX vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AQR Trend Total Return Fund (QNZNX) and State Street SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, QNZNX achieves a 17.34% return, which is significantly higher than SPY's 11.69% return.

QNZNX

• 1D: 1.29%
• 1M: 3.58%
• YTD: 17.34%
• 6M: 19.19%
• 1Y: 37.80%
• 3Y*: 32.03%
• 5Y*: —
• 10Y*: —

SPY

• 1D: 0.14%
• 1M: 5.40%
• YTD: 11.69%
• 6M: 12.09%
• 1Y: 29.62%
• 3Y*: 22.64%
• 5Y*: 14.20%
• 10Y*: 15.57%

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

QNZNX vs. SPY - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022
QNZNX AQR Trend Total Return Fund	17.34%	22.88%	34.96%	22.73%	1.37%
SPY State Street SPDR S&P 500 ETF	11.69%	17.72%	24.89%	26.18%	-11.89%

Correlation

The correlation between QNZNX and SPY is 0.58, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.58
Correlation (3Y) Calculated over the trailing 3-year period	0.58
Correlation (All Time) Calculated using the full available price history since Mar 18, 2022	0.54

The correlation between QNZNX and SPY has been stable across timeframes, ranging from 0.54 to 0.58 - a consistent structural relationship.

Return for Risk

QNZNX vs. SPY — Risk / Return Rank

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

QNZNX

QNZNX Risk / Return Rank: 95
QNZNX Sharpe Ratio Rank: 97
QNZNX Sortino Ratio Rank: 93
QNZNX Omega Ratio Rank: 90
QNZNX Calmar Ratio Rank: 98
QNZNX Martin Ratio Rank: 98

SPY

SPY Risk / Return Rank: 75
SPY Sharpe Ratio Rank: 77
SPY Sortino Ratio Rank: 75
SPY Omega Ratio Rank: 76
SPY Calmar Ratio Rank: 68
SPY Martin Ratio Rank: 80

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.

QNZNX vs. SPY - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for AQR Trend Total Return Fund (QNZNX) 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.

	QNZNX	SPY	Difference
Sharpe ratio Return per unit of total volatility	3.64	2.52	+1.11
Sortino ratio Return per unit of downside risk	4.75	3.42	+1.33
Omega ratio Gain probability vs. loss probability	1.66	1.46	+0.20
Calmar ratio Return relative to maximum drawdown	7.99	3.42	+4.57
Martin ratio Return relative to average drawdown	32.21	15.93	+16.29
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

QNZNX vs. SPY - Sharpe Ratio Comparison

The current QNZNX Sharpe Ratio is 3.64, which is higher than the SPY Sharpe Ratio of 2.52. The chart below compares the historical Sharpe Ratios of QNZNX and SPY, 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

	QNZNX	SPY	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	3.64	2.52	+1.11
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	—	0.84	—
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.87	—
Sharpe Ratio (All Time) Calculated using the full available price history	1.95	0.59	+1.37

Drawdowns

QNZNX vs. SPY - Drawdown Comparison

The maximum QNZNX drawdown since its inception was -18.38%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for QNZNX and SPY.

Drawdown Indicators

	QNZNX	SPY	Difference
Max Drawdown Largest peak-to-trough decline	-18.38%	-55.19%	+36.81%
Max Drawdown (1Y) Largest decline over 1 year	-4.88%	-8.88%	+4.00%
Max Drawdown (3Y) Largest decline over 3 years	-13.48%	-18.76%	+5.28%
Max Drawdown (5Y) Largest decline over 5 years	—	-24.50%	—
Max Drawdown (10Y) Largest decline over 10 years	—	-33.72%	—
Current Drawdown Current decline from peak	0.00%	0.00%	0.00%
Average Drawdown Average peak-to-trough decline	-2.78%	-9.05%	+6.27%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.21%	1.91%	-0.70%

Volatility

QNZNX vs. SPY - Volatility Comparison

The current volatility for AQR Trend Total Return Fund (QNZNX) is 2.24%, while State Street SPDR S&P 500 ETF (SPY) has a volatility of 2.75%. This indicates that QNZNX 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.

Volatility by Period

	QNZNX	SPY	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.24%	2.75%	-0.51%
Volatility (6M) Calculated over the trailing 6-month period	7.10%	8.89%	-1.79%
Volatility (1Y) Calculated over the trailing 1-year period	10.80%	11.81%	-1.01%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	12.05%	17.05%	-5.00%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	12.05%	17.94%	-5.89%

QNZNX vs. SPY - Expense Ratio Comparison

QNZNX has a 1.52% expense ratio, which is higher than SPY's 0.09% expense ratio.

Dividends

QNZNX vs. SPY - Dividend Comparison

QNZNX's dividend yield for the trailing twelve months is around 0.73%, less than SPY's 0.97% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
QNZNX AQR Trend Total Return Fund	0.73%	0.86%	16.46%	23.14%	2.04%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
SPY State Street SPDR S&P 500 ETF	0.97%	1.07%	1.21%	1.40%	1.65%	1.20%	1.52%	1.75%	2.04%	1.80%	2.03%	2.06%

Frequently Asked Questions

Can I hold both QNZNX and SPY in my portfolio?

QNZNX and SPY have a correlation of 0.58, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, QNZNX or SPY?

SPY has higher volatility (2.75%) compared to QNZNX (2.24%). In terms of maximum drawdown, QNZNX dropped -18.38% vs SPY's -55.19%.

Which has better risk-adjusted returns?

QNZNX currently has the higher Sharpe Ratio (3.64 vs 2.52), 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.