PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
QSPIX vs. SPY
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between QSPIX and SPY is -0.06. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.


-0.50.00.51.0-0.1

Performance

QSPIX vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AQR Style Premia Alternative Fund (QSPIX) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%5.00%10.00%JulyAugustSeptemberOctoberNovemberDecember
-9.86%
9.86%
QSPIX
SPY

Key characteristics

Sharpe Ratio

QSPIX:

0.76

SPY:

2.21

Sortino Ratio

QSPIX:

1.00

SPY:

2.93

Omega Ratio

QSPIX:

1.16

SPY:

1.41

Calmar Ratio

QSPIX:

0.98

SPY:

3.26

Martin Ratio

QSPIX:

2.65

SPY:

14.40

Ulcer Index

QSPIX:

4.01%

SPY:

1.90%

Daily Std Dev

QSPIX:

14.06%

SPY:

12.44%

Max Drawdown

QSPIX:

-41.37%

SPY:

-55.19%

Current Drawdown

QSPIX:

-10.60%

SPY:

-1.83%

Returns By Period

In the year-to-date period, QSPIX achieves a 10.96% return, which is significantly lower than SPY's 26.72% return. Over the past 10 years, QSPIX has underperformed SPY with an annualized return of 4.56%, while SPY has yielded a comparatively higher 13.04% annualized return.


QSPIX

YTD

10.96%

1M

-6.99%

6M

-9.96%

1Y

10.00%

5Y*

9.77%

10Y*

4.56%

SPY

YTD

26.72%

1M

0.20%

6M

10.28%

1Y

27.17%

5Y*

14.87%

10Y*

13.04%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


QSPIX vs. SPY - Expense Ratio Comparison

QSPIX has a 1.49% expense ratio, which is higher than SPY's 0.09% expense ratio.


QSPIX
AQR Style Premia Alternative Fund
Expense ratio chart for QSPIX: current value at 1.49% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.49%
Expense ratio chart for SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

QSPIX vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for AQR Style Premia Alternative Fund (QSPIX) and SPDR S&P 500 ETF (SPY). 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.


Sharpe ratio
The chart of Sharpe ratio for QSPIX, currently valued at 0.76, compared to the broader market-1.000.001.002.003.004.000.762.21
The chart of Sortino ratio for QSPIX, currently valued at 1.00, compared to the broader market-2.000.002.004.006.008.0010.001.002.93
The chart of Omega ratio for QSPIX, currently valued at 1.16, compared to the broader market0.501.001.502.002.503.003.501.161.41
The chart of Calmar ratio for QSPIX, currently valued at 0.98, compared to the broader market0.002.004.006.008.0010.0012.0014.000.983.26
The chart of Martin ratio for QSPIX, currently valued at 2.65, compared to the broader market0.0020.0040.0060.002.6514.40
QSPIX
SPY

The current QSPIX Sharpe Ratio is 0.76, which is lower than the SPY Sharpe Ratio of 2.21. The chart below compares the historical Sharpe Ratios of QSPIX and SPY, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
0.76
2.21
QSPIX
SPY

Dividends

QSPIX vs. SPY - Dividend Comparison

QSPIX has not paid dividends to shareholders, while SPY's dividend yield for the trailing twelve months is around 1.19%.


TTM20232022202120202019201820172016201520142013
QSPIX
AQR Style Premia Alternative Fund
0.00%23.67%22.69%12.79%0.00%1.62%0.96%7.08%1.74%5.83%12.86%2.25%
SPY
SPDR S&P 500 ETF
1.19%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

QSPIX vs. SPY - Drawdown Comparison

The maximum QSPIX drawdown since its inception was -41.37%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for QSPIX and SPY. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-10.60%
-1.83%
QSPIX
SPY

Volatility

QSPIX vs. SPY - Volatility Comparison

AQR Style Premia Alternative Fund (QSPIX) has a higher volatility of 8.54% compared to SPDR S&P 500 ETF (SPY) at 3.83%. This indicates that QSPIX's price experiences larger fluctuations and is considered to be riskier than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
8.54%
3.83%
QSPIX
SPY
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab