QSPNX vs. VGPMX

Last updated Jun 26, 2026

QSPNX (AQR Style Premia Alternative Fund Class N) and VGPMX (Vanguard Global Capital Cycles Fund) are both mutual funds - QSPNX is a Multistrategy fund actively managed by AQR, while VGPMX is a Global Equities fund managed by Vanguard. Over the past 10 years, QSPNX returned 7.08%/yr vs 10.24%/yr for VGPMX. At a correlation of -0.04, they often move in opposite directions. QSPNX charges 6.14%/yr vs 0.36%/yr for VGPMX.

Performance

QSPNX vs. VGPMX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AQR Style Premia Alternative Fund Class N (QSPNX) and Vanguard Global Capital Cycles Fund (VGPMX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, QSPNX achieves a 11.84% return, which is significantly higher than VGPMX's 10.88% return. Over the past 10 years, QSPNX has underperformed VGPMX with an annualized return of 7.08%, while VGPMX has yielded a comparatively higher 10.24% annualized return.

QSPNX

• 1D: -0.42%
• 1M: 0.32%
• YTD: 11.84%
• 6M: 11.97%
• 1Y: 17.30%
• 3Y*: 18.14%
• 5Y*: 19.42%
• 10Y*: 7.08%

VGPMX

• 1D: -0.80%
• 1M: -6.01%
• YTD: 10.88%
• 6M: 11.31%
• 1Y: 48.90%
• 3Y*: 27.75%
• 5Y*: 19.32%
• 10Y*: 10.24%

*Multi-year figures are annualized to reflect compound growth (CAGR)

QSPNX vs. VGPMX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
QSPNX AQR Style Premia Alternative Fund Class N	11.84%	14.35%	21.33%	12.14%	30.40%	24.63%	-22.17%	-8.35%	-12.60%	11.74%
VGPMX Vanguard Global Capital Cycles Fund	10.88%	65.96%	5.78%	10.06%	7.34%	19.50%	17.21%	20.67%	-32.26%	13.75%

Correlation

The correlation between QSPNX and VGPMX is -0.12, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	-0.12
Correlation (3Y) Calculated over the trailing 3-year period	-0.14
Correlation (5Y) Calculated over the trailing 5-year period	-0.09
Correlation (10Y) Calculated over the trailing 10-year period	-0.02
Correlation (All Time) Calculated using the full available price history since Jan 2, 2014	-0.04

The correlation between QSPNX and VGPMX shifts across timeframes, from -0.14 (3 years) to -0.02 (10 years), reflecting how their relationship changes across market environments.

Return for Risk

QSPNX vs. VGPMX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

QSPNX

QSPNX Risk / Return Rank: 59
QSPNX Sharpe Ratio Rank: 53
QSPNX Sortino Ratio Rank: 60
QSPNX Omega Ratio Rank: 46
QSPNX Calmar Ratio Rank: 84
QSPNX Martin Ratio Rank: 53

VGPMX

VGPMX Risk / Return Rank: 87
VGPMX Sharpe Ratio Rank: 93
VGPMX Sortino Ratio Rank: 83
VGPMX Omega Ratio Rank: 83
VGPMX Calmar Ratio Rank: 88
VGPMX Martin Ratio Rank: 89

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

QSPNX vs. VGPMX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for AQR Style Premia Alternative Fund Class N (QSPNX) and Vanguard Global Capital Cycles Fund (VGPMX). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	QSPNX	VGPMX	Difference
Sharpe ratio: Return per unit of total volatility	1.77	2.73	-0.96
Sortino ratio: Return per unit of downside risk	2.66	3.38	-0.72
Omega ratio: Gain probability vs. loss probability	1.31	1.47	-0.17
Calmar ratio: Return relative to maximum drawdown	3.44	3.82	-0.38
Martin ratio: Return relative to average drawdown	9.28	14.76	-5.48

QSPNX vs. VGPMX - Sharpe Ratio Comparison

The current QSPNX Sharpe Ratio is 1.77, which is lower than the VGPMX Sharpe Ratio of 2.73. The chart below compares the historical Sharpe Ratios of QSPNX and VGPMX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

QSPNX vs. VGPMX - Drawdown Comparison

The maximum QSPNX drawdown since its inception was -41.79%, smaller than the maximum VGPMX drawdown of -78.85%. Use the drawdown chart below to compare losses from any high point for QSPNX and VGPMX.

Drawdown Indicators

	QSPNX	VGPMX	Difference
Max Drawdown Largest peak-to-trough decline	-41.79%	-78.85%	+37.06%
Max Drawdown (1Y) Largest decline over 1 year	-5.05%	-12.80%	+7.75%
Max Drawdown (3Y) Largest decline over 3 years	-9.31%	-14.63%	+5.32%
Max Drawdown (5Y) Largest decline over 5 years	-17.17%	-22.71%	+5.54%
Max Drawdown (10Y) Largest decline over 10 years	-41.79%	-54.59%	+12.80%
Current Drawdown Current decline from peak	-1.75%	-8.47%	+6.72%
Average Drawdown Average peak-to-trough decline	-9.56%	-34.51%	+24.95%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.87%	3.30%	-1.43%

Volatility

QSPNX vs. VGPMX - Volatility Comparison

The current volatility for AQR Style Premia Alternative Fund Class N (QSPNX) is 3.70%, while Vanguard Global Capital Cycles Fund (VGPMX) has a volatility of 7.30%. This indicates that QSPNX experiences smaller price fluctuations and is considered to be less risky than VGPMX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	QSPNX	VGPMX	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.70%	7.30%	-3.60%
Volatility (6M) Calculated over the trailing 6-month period	7.26%	15.31%	-8.05%
Volatility (1Y) Calculated over the trailing 1-year period	9.83%	17.91%	-8.08%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	15.86%	17.53%	-1.67%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	12.84%	20.89%	-8.05%

QSPNX vs. VGPMX - Expense Ratio Comparison

QSPNX has a 6.14% expense ratio, which is higher than VGPMX's 0.36% expense ratio.

Dividends

QSPNX vs. VGPMX - Dividend Comparison

QSPNX's dividend yield for the trailing twelve months is around 2.14%, less than VGPMX's 3.52% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
QSPNX AQR Style Premia Alternative Fund Class N	2.14%	2.39%	6.80%	23.73%	22.62%	12.61%	0.00%	1.63%	0.51%	6.81%	1.75%	5.68%
VGPMX Vanguard Global Capital Cycles Fund	3.52%	2.59%	2.68%	3.22%	3.27%	3.26%	2.03%	2.39%	3.02%	0.02%	1.72%	2.32%

Frequently Asked Questions

Can I hold both QSPNX and VGPMX in my portfolio?

QSPNX and VGPMX have a correlation of -0.12, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, QSPNX or VGPMX?

VGPMX has higher volatility (7.30%) compared to QSPNX (3.70%). In terms of maximum drawdown, QSPNX dropped -41.79% vs VGPMX's -78.85%.

Which has better risk-adjusted returns?

VGPMX currently has the higher Sharpe Ratio (2.73 vs 1.77), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.