QTERX vs. SOXL

Last updated Jul 16, 2026

QTERX (AQR Emerging Multi-Style II Fund Class R6) and SOXL (Direxion Daily Semiconductor Bull 3X ETF) are both funds - QTERX is a Emerging Markets Diversified fund actively managed by AQR Funds, while SOXL is a Leveraged Equities fund tracking the ICE Semiconductor Index. QTERX is actively managed, while SOXL is passively managed. Over the past 10 years, QTERX returned 9.74%/yr vs 56.10%/yr for SOXL. A 0.65 correlation means they provide meaningful diversification when combined. QTERX charges 0.62%/yr vs 0.75%/yr for SOXL.

Performance

QTERX vs. SOXL - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AQR Emerging Multi-Style II Fund Class R6 (QTERX) and Direxion Daily Semiconductor Bull 3X ETF (SOXL). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, QTERX achieves a 20.98% return, which is significantly lower than SOXL's 293.89% return. Over the past 10 years, QTERX has underperformed SOXL with an annualized return of 9.74%, while SOXL has yielded a comparatively higher 56.10% annualized return.

QTERX

• 1D: 1.68%
• 1M: -6.53%
• 6M: 14.39%
• YTD: 20.98%
• 1Y: 36.63%
• 3Y*: 23.07%
• 5Y*: 8.49%
• 10Y*: 9.74%

SOXL

• 1D: -6.29%
• 1M: -39.25%
• 6M: 198.93%
• YTD: 293.89%
• 1Y: 506.81%
• 3Y*: 85.96%
• 5Y*: 35.94%
• 10Y*: 56.10%

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

QTERX vs. SOXL - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
QTERX AQR Emerging Multi-Style II Fund Class R6	20.98%	32.94%	12.02%	12.66%	-21.13%	0.95%	17.08%	16.87%	-16.22%	37.22%
SOXL Direxion Daily Semiconductor Bull 3X ETF	293.89%	54.91%	-12.31%	226.98%	-85.66%	118.84%	70.04%	231.83%	-39.07%	141.71%

Correlation

The correlation between QTERX and SOXL is 0.71, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.71
Correlation (3Y) Calculated over the trailing 3-year period	0.65
Correlation (5Y) Calculated over the trailing 5-year period	0.65
Correlation (10Y) Calculated over the trailing 10-year period	0.64
Correlation (All Time) Calculated using the full available price history since Jan 4, 2016	0.65

The correlation between QTERX and SOXL has been stable across timeframes, ranging from 0.64 to 0.71 - a consistent structural relationship.

Return for Risk

QTERX vs. SOXL — Risk / Return Rank

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

QTERX

QTERX Risk / Return Rank: 63
QTERX Sharpe Ratio Rank: 61
QTERX Sortino Ratio Rank: 48
QTERX Omega Ratio Rank: 65
QTERX Calmar Ratio Rank: 78
QTERX Martin Ratio Rank: 64

SOXL

SOXL Risk / Return Rank: 93
SOXL Sharpe Ratio Rank: 98
SOXL Sortino Ratio Rank: 86
SOXL Omega Ratio Rank: 88
SOXL Calmar Ratio Rank: 98
SOXL Martin Ratio Rank: 97

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.

QTERX vs. SOXL - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for AQR Emerging Multi-Style II Fund Class R6 (QTERX) and Direxion Daily Semiconductor Bull 3X ETF (SOXL). 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.

	QTERX	SOXL	Difference
Sharpe ratio: Return per unit of total volatility	1.71	4.12	-2.41
Sortino ratio: Return per unit of downside risk	2.19	3.08	-0.89
Omega ratio: Gain probability vs. loss probability	1.33	1.43	-0.10
Calmar ratio: Return relative to maximum drawdown	2.82	11.35	-8.53
Martin ratio: Return relative to average drawdown	9.65	32.04	-22.39

QTERX vs. SOXL - Sharpe Ratio Comparison

The current QTERX Sharpe Ratio is 1.71, which is lower than the SOXL Sharpe Ratio of 4.12. The chart below compares the historical Sharpe Ratios of QTERX and SOXL, 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

QTERX vs. SOXL - Drawdown Comparison

The maximum QTERX drawdown since its inception was -39.15%, smaller than the maximum SOXL drawdown of -90.46%. Use the drawdown chart below to compare losses from any high point for QTERX and SOXL.

Drawdown Indicators

	QTERX	SOXL	Difference
Max Drawdown Largest peak-to-trough decline	-39.15%	-90.46%	+51.31%
Max Drawdown (1Y) Largest decline over 1 year	-13.32%	-45.05%	+31.73%
Max Drawdown (3Y) Largest decline over 3 years	-16.89%	-87.88%	+70.99%
Max Drawdown (5Y) Largest decline over 5 years	-34.84%	-90.46%	+55.62%
Max Drawdown (10Y) Largest decline over 10 years	-39.15%	-90.46%	+51.31%
Current Drawdown Current decline from peak	-7.79%	-44.96%	+37.17%
Average Drawdown Average peak-to-trough decline	-11.96%	-34.94%	+22.98%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.88%	15.92%	-12.04%

Volatility

QTERX vs. SOXL - Volatility Comparison

The current volatility for AQR Emerging Multi-Style II Fund Class R6 (QTERX) is 10.44%, while Direxion Daily Semiconductor Bull 3X ETF (SOXL) has a volatility of 61.91%. This indicates that QTERX experiences smaller price fluctuations and is considered to be less risky than SOXL based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	QTERX	SOXL	Difference
Volatility (1M) Calculated over the trailing 1-month period	10.44%	61.91%	-51.47%
Volatility (6M) Calculated over the trailing 6-month period	19.93%	108.49%	-88.56%
Volatility (1Y) Calculated over the trailing 1-year period	21.87%	124.02%	-102.15%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.95%	111.87%	-93.92%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	18.20%	101.35%	-83.15%

QTERX vs. SOXL - Expense Ratio Comparison

QTERX has a 0.62% expense ratio, which is lower than SOXL's 0.75% expense ratio.

Dividends

QTERX vs. SOXL - Dividend Comparison

QTERX's dividend yield for the trailing twelve months is around 3.51%, more than SOXL's 0.01% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016
QTERX AQR Emerging Multi-Style II Fund Class R6	3.51%	4.25%	4.91%	5.76%	4.73%	2.53%	1.68%	4.48%	2.40%	1.63%	2.57%
SOXL Direxion Daily Semiconductor Bull 3X ETF	0.01%	0.34%	1.18%	0.51%	1.07%	0.04%	0.05%	0.38%	1.30%	0.09%	4.84%

Frequently Asked Questions

Can I hold both QTERX and SOXL in my portfolio?

QTERX and SOXL have a correlation of 0.71, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, QTERX or SOXL?

SOXL has higher volatility (61.91%) compared to QTERX (10.44%). In terms of maximum drawdown, QTERX dropped -39.15% vs SOXL's -90.46%.

Which has better risk-adjusted returns?

SOXL currently has the higher Sharpe Ratio (4.12 vs 1.71), 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.