QRPIX vs. QSPIX
Compare and contrast key facts about AQR Alternative Risk Premia Fund (QRPIX) and AQR Style Premia Alternative Fund (QSPIX).
QRPIX is managed by AQR Funds. It was launched on Sep 18, 2017. QSPIX is managed by AQR Funds. It was launched on Oct 29, 2013.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: QRPIX or QSPIX.
Key characteristics
| QRPIX | QSPIX | |
|---|---|---|
| YTD Return | 17.28% | 18.86% |
| 1Y Return | 8.76% | 12.46% |
| 3Y Return (Ann) | 18.81% | 25.36% |
| 5Y Return (Ann) | 6.92% | 10.75% |
| Sharpe Ratio | 0.70 | 1.09 |
| Sortino Ratio | 0.99 | 1.55 |
| Omega Ratio | 1.14 | 1.19 |
| Calmar Ratio | 0.82 | 1.39 |
| Martin Ratio | 2.53 | 3.46 |
| Ulcer Index | 3.55% | 3.74% |
| Daily Std Dev | 12.74% | 11.95% |
| Max Drawdown | -31.96% | -41.37% |
| Current Drawdown | -5.00% | -4.24% |
Correlation
The correlation between QRPIX and QSPIX is 0.87, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Performance
QRPIX vs. QSPIX - Performance Comparison
In the year-to-date period, QRPIX achieves a 17.28% return, which is significantly lower than QSPIX's 18.86% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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QRPIX vs. QSPIX - Expense Ratio Comparison
QRPIX has a 1.40% expense ratio, which is lower than QSPIX's 1.49% expense ratio.
Risk-Adjusted Performance
QRPIX vs. QSPIX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Alternative Risk Premia Fund (QRPIX) and AQR Style Premia Alternative Fund (QSPIX). 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
QRPIX vs. QSPIX - Dividend Comparison
QRPIX's dividend yield for the trailing twelve months is around 3.85%, less than QSPIX's 19.91% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
QRPIX AQR Alternative Risk Premia Fund | 3.85% | 4.52% | 0.00% | 4.07% | 1.97% | 0.85% | 0.09% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
QSPIX AQR Style Premia Alternative Fund | 19.91% | 23.67% | 22.69% | 12.79% | 0.00% | 1.62% | 0.96% | 7.08% | 1.74% | 5.83% | 12.86% | 2.25% |
Drawdowns
QRPIX vs. QSPIX - Drawdown Comparison
The maximum QRPIX drawdown since its inception was -31.96%, smaller than the maximum QSPIX drawdown of -41.37%. Use the drawdown chart below to compare losses from any high point for QRPIX and QSPIX. For additional features, visit the drawdowns tool.
Volatility
QRPIX vs. QSPIX - Volatility Comparison
AQR Alternative Risk Premia Fund (QRPIX) has a higher volatility of 2.94% compared to AQR Style Premia Alternative Fund (QSPIX) at 2.62%. This indicates that QRPIX's price experiences larger fluctuations and is considered to be riskier than QSPIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.