QSPIX vs. SPY
Compare and contrast key facts about AQR Style Premia Alternative Fund (QSPIX) and SPDR S&P 500 ETF (SPY).
QSPIX is managed by AQR Funds. It was launched on Oct 29, 2013. SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: QSPIX or SPY.
Key characteristics
| QSPIX | SPY | |
|---|---|---|
| YTD Return | 19.44% | 27.04% |
| 1Y Return | 16.14% | 39.75% |
| 3Y Return (Ann) | 25.82% | 10.21% |
| 5Y Return (Ann) | 10.99% | 15.93% |
| 10Y Return (Ann) | 5.61% | 13.36% |
| Sharpe Ratio | 1.33 | 3.15 |
| Sortino Ratio | 1.89 | 4.19 |
| Omega Ratio | 1.23 | 1.59 |
| Calmar Ratio | 1.73 | 4.60 |
| Martin Ratio | 4.33 | 20.85 |
| Ulcer Index | 3.72% | 1.85% |
| Daily Std Dev | 12.15% | 12.29% |
| Max Drawdown | -41.37% | -55.19% |
| Current Drawdown | -3.77% | 0.00% |
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.
Performance
QSPIX vs. SPY - Performance Comparison
In the year-to-date period, QSPIX achieves a 19.44% return, which is significantly lower than SPY's 27.04% return. Over the past 10 years, QSPIX has underperformed SPY with an annualized return of 5.61%, while SPY has yielded a comparatively higher 13.36% 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. SPY - Expense Ratio Comparison
QSPIX has a 1.49% expense ratio, which is higher than SPY's 0.09% expense ratio.
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.
Dividends
QSPIX vs. SPY - Dividend Comparison
QSPIX's dividend yield for the trailing twelve months is around 19.82%, more than SPY's 1.17% 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% |
SPY SPDR S&P 500 ETF | 1.17% | 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.
Volatility
QSPIX vs. SPY - Volatility Comparison
The current volatility for AQR Style Premia Alternative Fund (QSPIX) is 2.62%, while SPDR S&P 500 ETF (SPY) has a volatility of 3.95%. This indicates that QSPIX experiences smaller price fluctuations and is considered to be less risky than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.