QSPIX vs. GAAVX
Compare and contrast key facts about AQR Style Premia Alternative Fund (QSPIX) and GMO Alternative Allocation Fund (GAAVX).
QSPIX is managed by AQR Funds. It was launched on Oct 29, 2013. GAAVX is managed by GMO. It was launched on May 1, 2019.
Performance
QSPIX vs. GAAVX - Performance Comparison
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QSPIX vs. GAAVX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
QSPIX AQR Style Premia Alternative Fund | 9.83% | 14.82% | 21.48% | 12.46% | 30.76% | 24.93% | -21.96% | -5.71% |
GAAVX GMO Alternative Allocation Fund | 3.33% | 15.19% | -5.70% | 6.07% | 3.63% | -5.12% | -0.28% | 3.49% |
Returns By Period
In the year-to-date period, QSPIX achieves a 9.83% return, which is significantly higher than GAAVX's 3.33% return.
QSPIX
- 1D
- -0.11%
- 1M
- 3.04%
- YTD
- 9.83%
- 6M
- 13.08%
- 1Y
- 12.95%
- 3Y*
- 19.88%
- 5Y*
- 18.87%
- 10Y*
- 7.03%
GAAVX
- 1D
- 0.00%
- 1M
- -0.37%
- YTD
- 3.33%
- 6M
- 10.87%
- 1Y
- 13.78%
- 3Y*
- 5.94%
- 5Y*
- 3.63%
- 10Y*
- —
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QSPIX vs. GAAVX - Expense Ratio Comparison
QSPIX has a 1.49% expense ratio, which is higher than GAAVX's 0.61% expense ratio.
Return for Risk
QSPIX vs. GAAVX — Risk / Return Rank
QSPIX
GAAVX
QSPIX vs. GAAVX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Style Premia Alternative Fund (QSPIX) and GMO Alternative Allocation Fund (GAAVX). 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.
| QSPIX | GAAVX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.38 | 1.95 | -0.58 |
Sortino ratioReturn per unit of downside risk | 1.89 | 3.08 | -1.19 |
Omega ratioGain probability vs. loss probability | 1.25 | 1.38 | -0.12 |
Calmar ratioReturn relative to maximum drawdown | 1.74 | 3.79 | -2.05 |
Martin ratioReturn relative to average drawdown | 5.25 | 9.05 | -3.80 |
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
| QSPIX | GAAVX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.38 | 1.95 | -0.58 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 1.19 | 0.63 | +0.56 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.55 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.61 | 0.47 | +0.14 |
Correlation
The correlation between QSPIX and GAAVX is 0.26, 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
QSPIX vs. GAAVX - Dividend Comparison
QSPIX's dividend yield for the trailing twelve months is around 2.34%, less than GAAVX's 8.49% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
QSPIX AQR Style Premia Alternative Fund | 2.34% | 2.57% | 6.95% | 23.77% | 22.68% | 12.78% | 0.00% | 1.62% | 0.96% | 7.08% | 1.74% | 5.83% |
GAAVX GMO Alternative Allocation Fund | 8.49% | 8.78% | 0.00% | 5.18% | 0.91% | 4.10% | 2.41% | 2.61% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
QSPIX vs. GAAVX - Drawdown Comparison
The maximum QSPIX drawdown since its inception was -41.37%, which is greater than GAAVX's maximum drawdown of -9.59%. Use the drawdown chart below to compare losses from any high point for QSPIX and GAAVX.
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Drawdown Indicators
| QSPIX | GAAVX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -41.37% | -9.59% | -31.78% |
Max Drawdown (1Y)Largest decline over 1 year | -7.79% | -3.09% | -4.70% |
Max Drawdown (5Y)Largest decline over 5 years | -17.13% | -9.59% | -7.54% |
Max Drawdown (10Y)Largest decline over 10 years | -41.37% | — | — |
Current DrawdownCurrent decline from peak | -0.31% | -1.20% | +0.89% |
Average DrawdownAverage peak-to-trough decline | -9.54% | -3.11% | -6.43% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.70% | 1.54% | +1.16% |
Volatility
QSPIX vs. GAAVX - Volatility Comparison
AQR Style Premia Alternative Fund (QSPIX) has a higher volatility of 2.57% compared to GMO Alternative Allocation Fund (GAAVX) at 1.85%. This indicates that QSPIX's price experiences larger fluctuations and is considered to be riskier than GAAVX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| QSPIX | GAAVX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.57% | 1.85% | +0.72% |
Volatility (6M)Calculated over the trailing 6-month period | 6.59% | 4.81% | +1.78% |
Volatility (1Y)Calculated over the trailing 1-year period | 10.11% | 6.82% | +3.29% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 15.95% | 5.81% | +10.14% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 12.76% | 5.87% | +6.89% |