QRPNX vs. JAAAX
Compare and contrast key facts about AQR Alternative Risk Premia Fund Class N (QRPNX) and John Hancock Funds Alternative Asset Allocation Fund (JAAAX).
QRPNX is an actively managed fund by AQR. It was launched on Sep 19, 2017. JAAAX is managed by John Hancock. It was launched on Jan 1, 2009.
Performance
QRPNX vs. JAAAX - Performance Comparison
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QRPNX vs. JAAAX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | |
|---|---|---|---|---|---|---|---|---|---|
QRPNX AQR Alternative Risk Premia Fund Class N | 9.02% | 23.09% | 18.64% | 6.94% | 24.83% | 14.04% | -21.20% | -3.25% | -4.58% |
JAAAX John Hancock Funds Alternative Asset Allocation Fund | 2.52% | 6.18% | 6.59% | 5.85% | -3.12% | 4.77% | 4.36% | 8.95% | -3.36% |
Returns By Period
In the year-to-date period, QRPNX achieves a 9.02% return, which is significantly higher than JAAAX's 2.52% return.
QRPNX
- 1D
- 0.47%
- 1M
- -0.13%
- YTD
- 9.02%
- 6M
- 14.05%
- 1Y
- 19.10%
- 3Y*
- 19.88%
- 5Y*
- 17.45%
- 10Y*
- —
JAAAX
- 1D
- 0.41%
- 1M
- -1.56%
- YTD
- 2.52%
- 6M
- 3.59%
- 1Y
- 8.05%
- 3Y*
- 6.41%
- 5Y*
- 4.12%
- 10Y*
- 4.05%
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QRPNX vs. JAAAX - Expense Ratio Comparison
QRPNX has a 5.29% expense ratio, which is higher than JAAAX's 0.72% expense ratio.
Return for Risk
QRPNX vs. JAAAX — Risk / Return Rank
QRPNX
JAAAX
QRPNX vs. JAAAX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Alternative Risk Premia Fund Class N (QRPNX) and John Hancock Funds Alternative Asset Allocation Fund (JAAAX). 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.
| QRPNX | JAAAX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.80 | 1.75 | +0.05 |
Sortino ratioReturn per unit of downside risk | 2.22 | 2.35 | -0.14 |
Omega ratioGain probability vs. loss probability | 1.36 | 1.39 | -0.03 |
Calmar ratioReturn relative to maximum drawdown | 1.91 | 1.88 | +0.03 |
Martin ratioReturn relative to average drawdown | 6.45 | 9.41 | -2.96 |
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
| QRPNX | JAAAX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.80 | 1.75 | +0.05 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 1.50 | 0.98 | +0.52 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | — | 0.93 | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.73 | 0.84 | -0.11 |
Correlation
The correlation between QRPNX and JAAAX is 0.05, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Dividends
QRPNX vs. JAAAX - Dividend Comparison
QRPNX's dividend yield for the trailing twelve months is around 1.04%, less than JAAAX's 1.49% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
QRPNX AQR Alternative Risk Premia Fund Class N | 1.04% | 1.14% | 2.04% | 4.33% | 0.00% | 3.84% | 1.98% | 0.57% | 0.07% | 0.00% | 0.00% | 0.00% |
JAAAX John Hancock Funds Alternative Asset Allocation Fund | 1.49% | 1.53% | 1.17% | 1.71% | 3.02% | 1.72% | 0.74% | 3.38% | 1.99% | 1.23% | 0.77% | 2.78% |
Drawdowns
QRPNX vs. JAAAX - Drawdown Comparison
The maximum QRPNX drawdown since its inception was -28.78%, which is greater than JAAAX's maximum drawdown of -15.72%. Use the drawdown chart below to compare losses from any high point for QRPNX and JAAAX.
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Drawdown Indicators
| QRPNX | JAAAX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -28.78% | -15.72% | -13.06% |
Max Drawdown (1Y)Largest decline over 1 year | -10.79% | -4.43% | -6.36% |
Max Drawdown (5Y)Largest decline over 5 years | -11.22% | -6.28% | -4.94% |
Max Drawdown (10Y)Largest decline over 10 years | — | -12.64% | — |
Current DrawdownCurrent decline from peak | -0.47% | -1.61% | +1.14% |
Average DrawdownAverage peak-to-trough decline | -8.01% | -2.06% | -5.95% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.26% | 0.88% | +2.38% |
Volatility
QRPNX vs. JAAAX - Volatility Comparison
AQR Alternative Risk Premia Fund Class N (QRPNX) has a higher volatility of 2.56% compared to John Hancock Funds Alternative Asset Allocation Fund (JAAAX) at 1.16%. This indicates that QRPNX's price experiences larger fluctuations and is considered to be riskier than JAAAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| QRPNX | JAAAX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.56% | 1.16% | +1.40% |
Volatility (6M)Calculated over the trailing 6-month period | 6.48% | 2.74% | +3.74% |
Volatility (1Y)Calculated over the trailing 1-year period | 11.41% | 4.73% | +6.68% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 11.69% | 4.22% | +7.47% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 10.33% | 4.38% | +5.95% |