QSMLX vs. XSHQ

Last updated Jun 24, 2026

QSMLX (AQR Small Cap Multi-Style Fund) and XSHQ (Invesco S&P SmallCap Quality ETF) are both funds - QSMLX is a Small Cap Blend Equities fund managed by AQR Funds, while XSHQ is a Small Cap Growth Equities fund tracking the S&P SmallCap 600 Quality Index. Over the past 5 years, QSMLX returned 11.72%/yr vs 6.38%/yr for XSHQ. Their correlation of 0.88 suggests significant overlap in exposure. QSMLX charges 0.72%/yr vs 0.29%/yr for XSHQ.

Performance

QSMLX vs. XSHQ - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AQR Small Cap Multi-Style Fund (QSMLX) and Invesco S&P SmallCap Quality ETF (XSHQ). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, QSMLX achieves a 25.28% return, which is significantly higher than XSHQ's 11.54% return.

QSMLX

• 1D: 1.20%
• 1M: 4.65%
• YTD: 25.28%
• 6M: 22.18%
• 1Y: 45.12%
• 3Y*: 24.20%
• 5Y*: 11.72%
• 10Y*: 13.05%

XSHQ

• 1D: -0.74%
• 1M: 2.36%
• YTD: 11.54%
• 6M: 9.12%
• 1Y: 17.70%
• 3Y*: 12.17%
• 5Y*: 6.38%
• 10Y*: —

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

QSMLX vs. XSHQ - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
QSMLX AQR Small Cap Multi-Style Fund	25.28%	17.41%	11.02%	24.01%	-18.31%	26.54%	17.99%	20.42%	-14.26%	10.73%
XSHQ Invesco S&P SmallCap Quality ETF	11.54%	0.89%	7.49%	23.88%	-15.01%	23.99%	11.81%	17.37%	-6.11%	7.18%

Correlation

The correlation between QSMLX and XSHQ is 0.86, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.86
Correlation (3Y) Calculated over the trailing 3-year period	0.92
Correlation (5Y) Calculated over the trailing 5-year period	0.93
Correlation (All Time) Calculated using the full available price history since Aug 24, 2017	0.88

The correlation between QSMLX and XSHQ has been stable across timeframes, ranging from 0.86 to 0.93 - a consistent structural relationship.

Return for Risk

QSMLX vs. XSHQ — Risk / Return Rank

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

QSMLX

QSMLX Risk / Return Rank: 79
QSMLX Sharpe Ratio Rank: 78
QSMLX Sortino Ratio Rank: 71
QSMLX Omega Ratio Rank: 60
QSMLX Calmar Ratio Rank: 94
QSMLX Martin Ratio Rank: 92

XSHQ

XSHQ Risk / Return Rank: 32
XSHQ Sharpe Ratio Rank: 30
XSHQ Sortino Ratio Rank: 32
XSHQ Omega Ratio Rank: 27
XSHQ Calmar Ratio Rank: 36
XSHQ Martin Ratio Rank: 33

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.

QSMLX vs. XSHQ - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for AQR Small Cap Multi-Style Fund (QSMLX) and Invesco S&P SmallCap Quality ETF (XSHQ). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	QSMLX	XSHQ	Difference
Sharpe ratio: Return per unit of total volatility	2.38	1.02	+1.36
Sortino ratio: Return per unit of downside risk	3.20	1.63	+1.56
Omega ratio: Gain probability vs. loss probability	1.39	1.18	+0.21
Calmar ratio: Return relative to maximum drawdown	5.09	1.73	+3.36
Martin ratio: Return relative to average drawdown	17.26	4.75	+12.51

QSMLX vs. XSHQ - Sharpe Ratio Comparison

The current QSMLX Sharpe Ratio is 2.38, which is higher than the XSHQ Sharpe Ratio of 1.02. The chart below compares the historical Sharpe Ratios of QSMLX and XSHQ, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

QSMLX vs. XSHQ - Drawdown Comparison

The maximum QSMLX drawdown since its inception was -44.38%, which is greater than XSHQ's maximum drawdown of -38.33%. Use the drawdown chart below to compare losses from any high point for QSMLX and XSHQ.

Drawdown Indicators

	QSMLX	XSHQ	Difference
Max Drawdown Largest peak-to-trough decline	-44.38%	-38.33%	-6.05%
Max Drawdown (1Y) Largest decline over 1 year	-9.33%	-10.27%	+0.94%
Max Drawdown (3Y) Largest decline over 3 years	-23.69%	-27.34%	+3.65%
Max Drawdown (5Y) Largest decline over 5 years	-30.21%	-27.34%	-2.87%
Max Drawdown (10Y) Largest decline over 10 years	-44.38%	—	—
Current Drawdown Current decline from peak	0.00%	-0.74%	+0.74%
Average Drawdown Average peak-to-trough decline	-8.15%	-9.29%	+1.14%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.75%	3.74%	-0.99%

Volatility

QSMLX vs. XSHQ - Volatility Comparison

AQR Small Cap Multi-Style Fund (QSMLX) has a higher volatility of 6.00% compared to Invesco S&P SmallCap Quality ETF (XSHQ) at 4.09%. This indicates that QSMLX's price experiences larger fluctuations and is considered to be riskier than XSHQ based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	QSMLX	XSHQ	Difference
Volatility (1M) Calculated over the trailing 1-month period	6.00%	4.09%	+1.91%
Volatility (6M) Calculated over the trailing 6-month period	14.15%	11.87%	+2.28%
Volatility (1Y) Calculated over the trailing 1-year period	20.03%	17.52%	+2.51%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	22.54%	21.22%	+1.32%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	23.24%	23.09%	+0.15%

QSMLX vs. XSHQ - Expense Ratio Comparison

QSMLX has a 0.72% expense ratio, which is higher than XSHQ's 0.29% expense ratio.

Dividends

QSMLX vs. XSHQ - Dividend Comparison

QSMLX's dividend yield for the trailing twelve months is around 8.23%, more than XSHQ's 1.21% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
QSMLX AQR Small Cap Multi-Style Fund	8.23%	10.31%	13.88%	6.74%	0.87%	6.13%	1.77%	0.97%	13.57%	10.71%	2.53%	0.22%
XSHQ Invesco S&P SmallCap Quality ETF	1.21%	1.48%	1.18%	1.15%	2.02%	1.25%	1.24%	1.11%	1.16%	0.60%	0.00%	0.00%

Frequently Asked Questions

Can I hold both QSMLX and XSHQ in my portfolio?

QSMLX and XSHQ have a correlation of 0.86, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, QSMLX or XSHQ?

QSMLX has higher volatility (6.00%) compared to XSHQ (4.09%). In terms of maximum drawdown, QSMLX dropped -44.38% vs XSHQ's -38.33%.

Which has better risk-adjusted returns?

QSMLX currently has the higher Sharpe Ratio (2.38 vs 1.02), 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.