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Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in AQR International Defensive Style Fund, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.
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Returns By Period
AQR International Defensive Style Fund (ANDIX) has returned -0.25% so far this year and 13.15% over the past 12 months. Over the last ten years, ANDIX has returned 6.30% per year, falling short of the S&P 500 Index benchmark, which averaged 12.16% annually.
AQR International Defensive Style Fund
- 1D
- 0.50%
- 1M
- -8.31%
- YTD
- -0.25%
- 6M
- 2.13%
- 1Y
- 13.15%
- 3Y*
- 9.32%
- 5Y*
- 4.98%
- 10Y*
- 6.30%
Benchmark (S&P 500 Index)
- 1D
- 2.91%
- 1M
- -5.09%
- YTD
- -4.63%
- 6M
- -2.39%
- 1Y
- 16.33%
- 3Y*
- 16.69%
- 5Y*
- 10.18%
- 10Y*
- 12.16%
Monthly Returns
Based on dividend-adjusted daily data since Jul 9, 2012, ANDIX's average daily return is +0.03%, while the average monthly return is +0.57%. At this rate, your investment would double in approximately 10.2 years.
Historically, 61% of months were positive and 39% were negative. The best month was Nov 2022 with a return of +11.3%, while the worst month was Mar 2020 at -10.1%. The longest winning streak lasted 14 consecutive months, and the longest losing streak was 4 months.
On a daily basis, ANDIX closed higher 50% of trading days. The best single day was Nov 10, 2022 with a return of +4.9%, while the worst single day was Mar 12, 2020 at -9.5%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 3.28% | 5.34% | -8.31% | -0.25% | |||||||||
| 2025 | 3.66% | 2.35% | 0.88% | 6.37% | 2.84% | 1.59% | -3.26% | 3.05% | -0.00% | -1.21% | 2.33% | 1.28% | 21.41% |
| 2024 | -0.65% | 1.09% | 1.87% | -3.10% | 4.51% | -1.60% | 4.46% | 4.20% | 0.33% | -4.60% | 0.34% | -3.51% | 2.83% |
| 2023 | 6.04% | -3.33% | 4.21% | 3.52% | -4.61% | 2.75% | 1.45% | -3.00% | -3.53% | -1.75% | 6.44% | 4.14% | 12.06% |
| 2022 | -5.67% | -0.98% | 0.92% | -5.17% | 0.74% | -7.98% | 4.46% | -4.80% | -8.48% | 3.50% | 11.32% | -1.31% | -14.26% |
| 2021 | -1.31% | -0.63% | 2.96% | 2.12% | 3.69% | -0.97% | 0.91% | 1.36% | -3.70% | 2.25% | -2.79% | 3.78% | 7.59% |
Benchmark Metrics
AQR International Defensive Style Fund has an annualized alpha of -0.82%, beta of 0.61, and R² of 0.64 versus S&P 500 Index. Calculated based on daily prices since July 10, 2012.
- This fund participated in 74.18% of S&P 500 Index downside but only 58.43% of its upside — more exposed to losses than it benefited from rallies.
- Beta of 0.61 indicates this fund moves significantly less than S&P 500 Index — a genuinely defensive profile with reduced participation in both market rallies and downturns.
- Alpha
- -0.82%
- Beta
- 0.61
- R²
- 0.64
- Upside Capture
- 58.43%
- Downside Capture
- 74.18%
Expense Ratio
ANDIX has an expense ratio of 0.55%, placing it in the medium range.
Return for Risk
Risk / Return Rank
ANDIX ranks 51 for risk / return — on par with similar mutual funds. You're getting a typical balance of risk and reward. Not a standout, but not a red flag either — a reasonable choice if other factors align with your goals.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for AQR International Defensive Style Fund (ANDIX) and compare them to a chosen benchmark (S&P 500 Index).
| ANDIX | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.99 | 0.90 | +0.09 |
Sortino ratioReturn per unit of downside risk | 1.40 | 1.39 | +0.01 |
Omega ratioGain probability vs. loss probability | 1.20 | 1.21 | -0.01 |
Calmar ratioReturn relative to maximum drawdown | 1.42 | 1.40 | +0.02 |
Martin ratioReturn relative to average drawdown | 5.30 | 6.61 | -1.30 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Explore ANDIX risk-adjusted metrics in detail
Dive deeper into individual metrics with historical trends, benchmark comparisons, and performance across different time periods.
Dividends
Dividend History
AQR International Defensive Style Fund provided a 4.76% dividend yield over the last twelve months, with an annual payout of $0.77 per share.
| Period | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Dividend | $0.77 | $0.77 | $0.32 | $0.42 | $0.25 | $0.38 | $0.25 | $0.34 | $0.28 | $0.44 | $0.17 | $0.23 |
Dividend yield | 4.76% | 4.74% | 2.29% | 3.02% | 2.00% | 2.53% | 1.73% | 2.51% | 2.40% | 3.30% | 1.47% | 2.09% |
Monthly Dividends
The table displays the monthly dividend distributions for AQR International Defensive Style Fund. The dividends shown in the table have been adjusted to account for any splits that may have occurred.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | $0.00 | $0.00 | $0.00 | $0.00 | |||||||||
| 2025 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.77 | $0.77 |
| 2024 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.32 | $0.32 |
| 2023 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.42 | $0.42 |
| 2022 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.25 | $0.25 |
| 2021 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.38 | $0.38 |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
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Worst Drawdowns
The table below displays the maximum drawdowns of the AQR International Defensive Style Fund. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.
The maximum drawdown for the AQR International Defensive Style Fund was 27.59%, occurring on Oct 12, 2022. Recovery took 463 trading sessions.
The current AQR International Defensive Style Fund drawdown is 8.31%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -27.59% | Sep 7, 2021 | 278 | Oct 12, 2022 | 463 | Aug 16, 2024 | 741 |
| -27.53% | Jan 21, 2020 | 39 | Mar 16, 2020 | 166 | Nov 9, 2020 | 205 |
| -16.67% | Jan 29, 2018 | 228 | Dec 21, 2018 | 246 | Dec 13, 2019 | 474 |
| -16.52% | May 18, 2015 | 171 | Jan 20, 2016 | 297 | Mar 24, 2017 | 468 |
| -10.18% | May 9, 2013 | 32 | Jun 24, 2013 | 60 | Sep 18, 2013 | 92 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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