QRPIX vs. SPY

Last updated Jun 4, 2026

QRPIX (AQR Alternative Risk Premia Fund) and SPY (State Street SPDR S&P 500 ETF) are both funds - QRPIX is a Multistrategy fund managed by AQR Funds, while SPY is a S&P 500 fund tracking the S&P 500 Index. Over the past 5 years, QRPIX returned 19.56%/yr vs 13.83%/yr for SPY. At a correlation of -0.02, they often move in opposite directions. QRPIX charges 1.40%/yr vs 0.09%/yr for SPY.

Performance

QRPIX vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AQR Alternative Risk Premia Fund (QRPIX) 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, QRPIX achieves a 18.92% return, which is significantly higher than SPY's 10.91% return.

QRPIX

• 1D: -0.18%
• 1M: 3.29%
• YTD: 18.92%
• 6M: 21.21%
• 1Y: 35.36%
• 3Y*: 23.68%
• 5Y*: 19.56%
• 10Y*: —

SPY

• 1D: -0.70%
• 1M: 5.05%
• YTD: 10.91%
• 6M: 10.91%
• 1Y: 27.98%
• 3Y*: 22.35%
• 5Y*: 13.83%
• 10Y*: 15.49%

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

QRPIX vs. SPY - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018
QRPIX AQR Alternative Risk Premia Fund	18.92%	23.39%	18.85%	7.23%	25.26%	14.27%	-21.04%	-2.98%	-4.46%
SPY State Street SPDR S&P 500 ETF	10.91%	17.72%	24.89%	26.18%	-18.18%	28.73%	18.33%	31.22%	-7.21%

Correlation

The correlation between QRPIX and SPY is 0.26, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.26
Correlation (3Y) Calculated over the trailing 3-year period	0.14
Correlation (5Y) Calculated over the trailing 5-year period	-0.06
Correlation (All Time) Calculated using the full available price history since May 22, 2018	-0.02

The correlation between QRPIX and SPY shifts across timeframes, from -0.06 (5 years) to 0.26 (1 year), reflecting how their relationship changes across market environments.

Return for Risk

QRPIX vs. SPY — Risk / Return Rank

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

QRPIX

QRPIX Risk / Return Rank: 97
QRPIX Sharpe Ratio Rank: 98
QRPIX Sortino Ratio Rank: 97
QRPIX Omega Ratio Rank: 93
QRPIX Calmar Ratio Rank: 99
QRPIX Martin Ratio Rank: 98

SPY

SPY Risk / Return Rank: 70
SPY Sharpe Ratio Rank: 71
SPY Sortino Ratio Rank: 69
SPY Omega Ratio Rank: 70
SPY Calmar Ratio Rank: 62
SPY Martin Ratio Rank: 75

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.

QRPIX vs. SPY - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for AQR Alternative Risk Premia Fund (QRPIX) 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.

	QRPIX	SPY	Difference
Sharpe ratio: Return per unit of total volatility	3.92	2.38	+1.54
Sortino ratio: Return per unit of downside risk	5.70	3.24	+2.46
Omega ratio: Gain probability vs. loss probability	1.71	1.43	+0.28
Calmar ratio: Return relative to maximum drawdown	10.37	3.16	+7.20
Martin ratio: Return relative to average drawdown	29.91	14.72	+15.19
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

QRPIX vs. SPY - Sharpe Ratio Comparison

The current QRPIX Sharpe Ratio is 3.92, which is higher than the SPY Sharpe Ratio of 2.38. The chart below compares the historical Sharpe Ratios of QRPIX 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

	QRPIX	SPY	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	3.92	2.38	+1.54
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	1.67	0.82	+0.85
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.87	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.85	0.59	+0.26

Drawdowns

QRPIX vs. SPY - Drawdown Comparison

The maximum QRPIX drawdown since its inception was -28.45%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for QRPIX and SPY.

Drawdown Indicators

	QRPIX	SPY	Difference
Max Drawdown Largest peak-to-trough decline	-28.45%	-55.19%	+26.74%
Max Drawdown (1Y) Largest decline over 1 year	-3.48%	-8.88%	+5.40%
Max Drawdown (3Y) Largest decline over 3 years	-11.29%	-18.76%	+7.47%
Max Drawdown (5Y) Largest decline over 5 years	-11.29%	-24.50%	+13.21%
Max Drawdown (10Y) Largest decline over 10 years	—	-33.72%	—
Current Drawdown Current decline from peak	-0.18%	-0.70%	+0.52%
Average Drawdown Average peak-to-trough decline	-7.64%	-9.05%	+1.41%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.20%	1.91%	-0.71%

Volatility

QRPIX vs. SPY - Volatility Comparison

AQR Alternative Risk Premia Fund (QRPIX) and State Street SPDR S&P 500 ETF (SPY) have volatilities of 2.81% and 2.84%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	QRPIX	SPY	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.81%	2.84%	-0.03%
Volatility (6M) Calculated over the trailing 6-month period	6.76%	8.90%	-2.14%
Volatility (1Y) Calculated over the trailing 1-year period	9.23%	11.83%	-2.60%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	11.80%	17.05%	-5.25%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	10.35%	17.94%	-7.59%

QRPIX vs. SPY - Expense Ratio Comparison

QRPIX has a 1.40% expense ratio, which is higher than SPY's 0.09% expense ratio.

Dividends

QRPIX vs. SPY - Dividend Comparison

QRPIX's dividend yield for the trailing twelve months is around 1.22%, more than SPY's 0.98% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
QRPIX AQR Alternative Risk Premia Fund	1.22%	1.45%	2.24%	4.52%	0.00%	4.08%	1.98%	0.85%	0.09%	0.00%	0.00%	0.00%
SPY State Street SPDR S&P 500 ETF	0.98%	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 QRPIX and SPY in my portfolio?

QRPIX and SPY have a correlation of 0.26, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, QRPIX or SPY?

SPY has higher volatility (2.84%) compared to QRPIX (2.81%). In terms of maximum drawdown, QRPIX dropped -28.45% vs SPY's -55.19%.

Which has better risk-adjusted returns?

QRPIX currently has the higher Sharpe Ratio (3.92 vs 2.38), 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.