WFIVX vs. QLEIX
Compare and contrast key facts about Wilshire 5000 Index Portfolio (WFIVX) and AQR Long-Short Equity Fund (QLEIX).
WFIVX is managed by Wilshire Mutual Funds. It was launched on Feb 1, 1999. QLEIX is managed by AQR Funds. It was launched on Jul 15, 2013.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: WFIVX or QLEIX.
Performance
WFIVX vs. QLEIX - Performance Comparison
Returns By Period
In the year-to-date period, WFIVX achieves a 23.71% return, which is significantly lower than QLEIX's 27.52% return. Over the past 10 years, WFIVX has underperformed QLEIX with an annualized return of 7.79%, while QLEIX has yielded a comparatively higher 8.99% annualized return.
WFIVX
23.71%
1.62%
11.99%
28.35%
9.05%
7.79%
QLEIX
27.52%
3.89%
7.48%
26.95%
15.26%
8.99%
Key characteristics
| WFIVX | QLEIX | |
|---|---|---|
| Sharpe Ratio | 2.27 | 3.60 |
| Sortino Ratio | 3.07 | 5.07 |
| Omega Ratio | 1.42 | 1.73 |
| Calmar Ratio | 2.06 | 4.66 |
| Martin Ratio | 14.25 | 22.05 |
| Ulcer Index | 1.96% | 1.20% |
| Daily Std Dev | 12.32% | 7.35% |
| Max Drawdown | -55.43% | -42.90% |
| Current Drawdown | -1.51% | -0.18% |
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WFIVX vs. QLEIX - Expense Ratio Comparison
WFIVX has a 0.54% expense ratio, which is lower than QLEIX's 1.30% expense ratio.
Correlation
The correlation between WFIVX and QLEIX is 0.48, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Risk-Adjusted Performance
WFIVX vs. QLEIX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Wilshire 5000 Index Portfolio (WFIVX) 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.
Dividends
WFIVX vs. QLEIX - Dividend Comparison
WFIVX's dividend yield for the trailing twelve months is around 0.83%, less than QLEIX's 16.31% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
WFIVX Wilshire 5000 Index Portfolio | 0.83% | 1.02% | 1.11% | 0.76% | 1.04% | 1.31% | 1.59% | 1.31% | 2.06% | 1.38% | 1.23% | 1.23% |
QLEIX AQR Long-Short Equity Fund | 16.31% | 20.80% | 10.30% | 0.00% | 0.00% | 0.00% | 0.37% | 4.04% | 1.86% | 4.82% | 8.00% | 6.58% |
Drawdowns
WFIVX vs. QLEIX - Drawdown Comparison
The maximum WFIVX drawdown since its inception was -55.43%, which is greater than QLEIX's maximum drawdown of -42.90%. Use the drawdown chart below to compare losses from any high point for WFIVX and QLEIX. For additional features, visit the drawdowns tool.
Volatility
WFIVX vs. QLEIX - Volatility Comparison
Wilshire 5000 Index Portfolio (WFIVX) has a higher volatility of 4.20% compared to AQR Long-Short Equity Fund (QLEIX) at 2.21%. This indicates that WFIVX'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.