QSPIX vs. AQMIX
Compare and contrast key facts about AQR Style Premia Alternative Fund (QSPIX) and AQR Managed Futures Strategy Fund (AQMIX).
QSPIX is managed by AQR Funds. It was launched on Oct 29, 2013. AQMIX is managed by AQR Funds. It was launched on Jan 5, 2010.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: QSPIX or AQMIX.
Key characteristics
| QSPIX | AQMIX | |
|---|---|---|
| YTD Return | 19.44% | 4.52% |
| 1Y Return | 16.14% | 0.44% |
| 3Y Return (Ann) | 25.82% | 12.71% |
| 5Y Return (Ann) | 10.99% | 7.83% |
| 10Y Return (Ann) | 5.61% | 2.21% |
| Sharpe Ratio | 1.33 | 0.12 |
| Sortino Ratio | 1.89 | 0.22 |
| Omega Ratio | 1.23 | 1.03 |
| Calmar Ratio | 1.73 | 0.09 |
| Martin Ratio | 4.33 | 0.20 |
| Ulcer Index | 3.72% | 6.11% |
| Daily Std Dev | 12.15% | 10.05% |
| Max Drawdown | -41.37% | -27.99% |
| Current Drawdown | -3.77% | -8.65% |
Correlation
The correlation between QSPIX and AQMIX is 0.29, 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.
Performance
QSPIX vs. AQMIX - Performance Comparison
In the year-to-date period, QSPIX achieves a 19.44% return, which is significantly higher than AQMIX's 4.52% return. Over the past 10 years, QSPIX has outperformed AQMIX with an annualized return of 5.61%, while AQMIX has yielded a comparatively lower 2.21% annualized 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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QSPIX vs. AQMIX - Expense Ratio Comparison
QSPIX has a 1.49% expense ratio, which is higher than AQMIX's 1.25% expense ratio.
Risk-Adjusted Performance
QSPIX vs. AQMIX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Style Premia Alternative Fund (QSPIX) and AQR Managed Futures Strategy Fund (AQMIX). 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
QSPIX vs. AQMIX - Dividend Comparison
QSPIX's dividend yield for the trailing twelve months is around 19.82%, more than AQMIX's 8.05% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
QSPIX AQR Style Premia Alternative Fund | 19.82% | 23.67% | 22.69% | 12.79% | 0.00% | 1.62% | 0.96% | 7.08% | 1.74% | 5.83% | 12.86% | 2.25% |
AQMIX AQR Managed Futures Strategy Fund | 8.05% | 8.41% | 12.76% | 6.94% | 5.31% | 3.13% | 0.00% | 0.00% | 0.02% | 4.49% | 4.50% | 0.00% |
Drawdowns
QSPIX vs. AQMIX - Drawdown Comparison
The maximum QSPIX drawdown since its inception was -41.37%, which is greater than AQMIX's maximum drawdown of -27.99%. Use the drawdown chart below to compare losses from any high point for QSPIX and AQMIX. For additional features, visit the drawdowns tool.
Volatility
QSPIX vs. AQMIX - Volatility Comparison
AQR Style Premia Alternative Fund (QSPIX) has a higher volatility of 2.62% compared to AQR Managed Futures Strategy Fund (AQMIX) at 2.20%. This indicates that QSPIX's price experiences larger fluctuations and is considered to be riskier than AQMIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.