SAOAX vs. QLEIX

Last updated Jun 23, 2026

SAOAX (Guggenheim Alpha Opportunity Fund) and QLEIX (AQR Long-Short Equity Fund) are both Long-Short funds. Over the past 10 years, SAOAX returned 3.41%/yr vs 12.00%/yr for QLEIX. At a 0.42 correlation, their price movements are largely independent. SAOAX charges 1.76%/yr vs 1.30%/yr for QLEIX.

Performance

SAOAX vs. QLEIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Guggenheim Alpha Opportunity Fund (SAOAX) and AQR Long-Short Equity Fund (QLEIX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, SAOAX achieves a 11.44% return, which is significantly higher than QLEIX's -0.71% return. Over the past 10 years, SAOAX has underperformed QLEIX with an annualized return of 3.41%, while QLEIX has yielded a comparatively higher 12.00% annualized return.

SAOAX

• 1D: -1.18%
• 1M: -3.49%
• YTD: 11.44%
• 6M: 10.83%
• 1Y: 13.86%
• 3Y*: 8.01%
• 5Y*: 5.63%
• 10Y*: 3.41%

QLEIX

• 1D: -0.28%
• 1M: 0.96%
• YTD: -0.71%
• 6M: -1.18%
• 1Y: 15.59%
• 3Y*: 25.93%
• 5Y*: 23.53%
• 10Y*: 12.00%

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

SAOAX vs. QLEIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
SAOAX Guggenheim Alpha Opportunity Fund	11.44%	-2.00%	10.49%	8.81%	-8.66%	14.38%	0.17%	-2.26%	-11.25%	7.48%
QLEIX AQR Long-Short Equity Fund	-0.71%	34.43%	30.50%	23.95%	19.18%	31.10%	-13.92%	1.19%	-16.33%	15.74%

Correlation

The correlation between SAOAX and QLEIX is 0.20, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.20
Correlation (3Y) Calculated over the trailing 3-year period	0.29
Correlation (5Y) Calculated over the trailing 5-year period	0.37
Correlation (10Y) Calculated over the trailing 10-year period	0.41
Correlation (All Time) Calculated using the full available price history since Jan 2, 2014	0.42

Over the past year, the correlation between SAOAX and QLEIX has dropped to 0.20 - well below their long-term average of 0.42, suggesting their price drivers have been diverging.

Return for Risk

SAOAX vs. QLEIX — Risk / Return Rank

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

SAOAX

SAOAX Risk / Return Rank: 34
SAOAX Sharpe Ratio Rank: 32
SAOAX Sortino Ratio Rank: 32
SAOAX Omega Ratio Rank: 30
SAOAX Calmar Ratio Rank: 42
SAOAX Martin Ratio Rank: 34

QLEIX

QLEIX Risk / Return Rank: 53
QLEIX Sharpe Ratio Rank: 58
QLEIX Sortino Ratio Rank: 63
QLEIX Omega Ratio Rank: 56
QLEIX Calmar Ratio Rank: 48
QLEIX Martin Ratio Rank: 38

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.

SAOAX vs. QLEIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Guggenheim Alpha Opportunity Fund (SAOAX) and AQR Long-Short Equity Fund (QLEIX). 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.

	SAOAX	QLEIX	Difference
Sharpe ratio: Return per unit of total volatility	1.52	2.06	-0.55
Sortino ratio: Return per unit of downside risk	2.20	3.02	-0.82
Omega ratio: Gain probability vs. loss probability	1.27	1.38	-0.11
Calmar ratio: Return relative to maximum drawdown	2.35	2.53	-0.18
Martin ratio: Return relative to average drawdown	7.26	7.87	-0.61

SAOAX vs. QLEIX - Sharpe Ratio Comparison

The current SAOAX Sharpe Ratio is 1.52, which is comparable to the QLEIX Sharpe Ratio of 2.06. The chart below compares the historical Sharpe Ratios of SAOAX and QLEIX, 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

SAOAX vs. QLEIX - Drawdown Comparison

The maximum SAOAX drawdown since its inception was -52.28%, which is greater than QLEIX's maximum drawdown of -38.11%. Use the drawdown chart below to compare losses from any high point for SAOAX and QLEIX.

Drawdown Indicators

	SAOAX	QLEIX	Difference
Max Drawdown Largest peak-to-trough decline	-52.28%	-38.11%	-14.17%
Max Drawdown (1Y) Largest decline over 1 year	-5.90%	-6.01%	+0.11%
Max Drawdown (3Y) Largest decline over 3 years	-35.90%	-7.07%	-28.83%
Max Drawdown (5Y) Largest decline over 5 years	-35.90%	-17.07%	-18.83%
Max Drawdown (10Y) Largest decline over 10 years	-35.90%	-38.11%	+2.21%
Current Drawdown Current decline from peak	-5.90%	-1.32%	-4.58%
Average Drawdown Average peak-to-trough decline	-8.69%	-7.70%	-0.99%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.91%	1.93%	-0.02%

Volatility

SAOAX vs. QLEIX - Volatility Comparison

Guggenheim Alpha Opportunity Fund (SAOAX) has a higher volatility of 3.77% compared to AQR Long-Short Equity Fund (QLEIX) at 2.82%. This indicates that SAOAX's price experiences larger fluctuations and is considered to be riskier than QLEIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	SAOAX	QLEIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.77%	2.82%	+0.95%
Volatility (6M) Calculated over the trailing 6-month period	6.98%	5.76%	+1.22%
Volatility (1Y) Calculated over the trailing 1-year period	9.16%	7.37%	+1.79%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	28.73%	10.02%	+18.71%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	21.17%	10.59%	+10.58%

SAOAX vs. QLEIX - Expense Ratio Comparison

SAOAX has a 1.76% expense ratio, which is higher than QLEIX's 1.30% expense ratio.

Dividends

SAOAX vs. QLEIX - Dividend Comparison

SAOAX's dividend yield for the trailing twelve months is around 0.64%, less than QLEIX's 1.76% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
QLEIX AQR Long-Short Equity Fund	1.76%	1.75%	7.12%	20.88%	14.15%	0.00%	1.57%	0.00%	6.03%	9.11%	3.01%	4.98%
SAOAX Guggenheim Alpha Opportunity Fund	0.64%	0.71%	1.06%	0.62%	0.72%	0.82%	1.22%	0.92%	1.17%	7.07%	0.03%	0.00%

Frequently Asked Questions

Can I hold both SAOAX and QLEIX in my portfolio?

SAOAX and QLEIX have a correlation of 0.20, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, SAOAX or QLEIX?

SAOAX has higher volatility (3.77%) compared to QLEIX (2.82%). In terms of maximum drawdown, SAOAX dropped -52.28% vs QLEIX's -38.11%.

Which has better risk-adjusted returns?

QLEIX currently has the higher Sharpe Ratio (2.06 vs 1.52), 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.