QSPIX vs. QRPIX
Compare and contrast key facts about AQR Style Premia Alternative Fund (QSPIX) and AQR Alternative Risk Premia Fund (QRPIX).
QSPIX is managed by AQR Funds. It was launched on Oct 29, 2013. QRPIX is managed by AQR Funds. It was launched on Sep 18, 2017.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: QSPIX or QRPIX.
Key characteristics
| QSPIX | QRPIX | |
|---|---|---|
| YTD Return | 18.86% | 17.28% |
| 1Y Return | 12.46% | 8.76% |
| 3Y Return (Ann) | 25.36% | 18.81% |
| 5Y Return (Ann) | 10.75% | 6.92% |
| Sharpe Ratio | 1.09 | 0.70 |
| Sortino Ratio | 1.55 | 0.99 |
| Omega Ratio | 1.19 | 1.14 |
| Calmar Ratio | 1.39 | 0.82 |
| Martin Ratio | 3.46 | 2.53 |
| Ulcer Index | 3.74% | 3.55% |
| Daily Std Dev | 11.95% | 12.74% |
| Max Drawdown | -41.37% | -31.96% |
| Current Drawdown | -4.24% | -5.00% |
Correlation
The correlation between QSPIX and QRPIX is 0.87, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Performance
QSPIX vs. QRPIX - Performance Comparison
In the year-to-date period, QSPIX achieves a 18.86% return, which is significantly higher than QRPIX's 17.28% 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. QRPIX - Expense Ratio Comparison
QSPIX has a 1.49% expense ratio, which is higher than QRPIX's 1.40% expense ratio.
Risk-Adjusted Performance
QSPIX vs. QRPIX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Style Premia Alternative Fund (QSPIX) and AQR Alternative Risk Premia Fund (QRPIX). 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. QRPIX - Dividend Comparison
QSPIX's dividend yield for the trailing twelve months is around 19.91%, more than QRPIX's 3.85% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
QSPIX AQR Style Premia Alternative Fund | 19.91% | 23.67% | 22.69% | 12.79% | 0.00% | 1.62% | 0.96% | 7.08% | 1.74% | 5.83% | 12.86% | 2.25% |
QRPIX AQR Alternative Risk Premia Fund | 3.85% | 4.52% | 0.00% | 4.07% | 1.97% | 0.85% | 0.09% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
QSPIX vs. QRPIX - Drawdown Comparison
The maximum QSPIX drawdown since its inception was -41.37%, which is greater than QRPIX's maximum drawdown of -31.96%. Use the drawdown chart below to compare losses from any high point for QSPIX and QRPIX. For additional features, visit the drawdowns tool.
Volatility
QSPIX vs. QRPIX - Volatility Comparison
The current volatility for AQR Style Premia Alternative Fund (QSPIX) is 2.62%, while AQR Alternative Risk Premia Fund (QRPIX) has a volatility of 2.94%. This indicates that QSPIX experiences smaller price fluctuations and is considered to be less risky than QRPIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.