- ISIN
- US00203H7199
- CUSIP
- 00203H719
- Issuer
- AQR Funds
- Inception Date
- Jul 9, 2012
- Category
- Large Cap Blend Equities
- Min. Investment
- $5,000,000
- Distribution Policy
- Distributing
- Asset Class
- Equity
- Asset Class Size
- Large-Cap
- Asset Class Style
- Blend
Share Price Chart
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Performance
AUEIX Performance Chart
AQR Large Cap Defensive Style Fund (AUEIX) is up 5.7% since the beginning of the year. AUEIX is currently trading at $19 per share. Investors who bought $1,000 worth of AUEIX shares 5 years ago would now be looking at an investment worth $1,389.
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Returns By Period
AQR Large Cap Defensive Style Fund (AUEIX) has returned 5.72% so far this year and 8.26% over the past 12 months. Over the last ten years, AUEIX has returned 10.90% per year, falling short of the S&P 500 Index benchmark, which averaged 13.88% annually.
AQR Large Cap Defensive Style Fund
- 1D
- 0.43%
- 1M
- -0.27%
- YTD
- 5.72%
- 6M
- 4.77%
- 1Y
- 8.26%
- 3Y*
- 10.69%
- 5Y*
- 6.79%
- 10Y*
- 10.90%
Benchmark (S&P 500 Index)
- 1D
- -0.37%
- 1M
- -0.01%
- YTD
- 9.16%
- 6M
- 8.64%
- 1Y
- 25.22%
- 3Y*
- 19.78%
- 5Y*
- 11.99%
- 10Y*
- 13.88%
AUEIX Monthly Returns History
Based on dividend-adjusted daily data since Jul 9, 2012, AUEIX's average daily return is +0.05%, while the average monthly return is +1.01%. At this rate, an investment would double in approximately 5.7 years.
Historically, 67% of months were positive and 33% were negative. The best month was Apr 2020 with a return of +10.6%, while the worst month was Mar 2020 at -11.7%. The longest winning streak lasted 8 consecutive months, and the longest losing streak was 3 months.
On a daily basis, AUEIX closed higher 53% of trading days. The best single day was Mar 13, 2020 with a return of +8.3%, while the worst single day was Mar 16, 2020 at -11.4%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 3.00% | 3.03% | -4.11% | 2.62% | 1.84% | -0.59% | 5.72% | ||||||
| 2025 | 3.46% | 1.96% | -0.84% | -0.90% | 1.76% | 1.12% | -1.07% | 2.06% | 1.47% | -2.22% | 1.48% | -1.38% | 6.95% |
| 2024 | 2.60% | 3.33% | 2.62% | -3.31% | 2.34% | 1.18% | 2.72% | 3.87% | 0.39% | -1.25% | 5.30% | -6.15% | 13.85% |
| 2023 | 2.48% | -3.36% | 2.79% | 1.96% | -3.62% | 4.72% | 1.18% | -1.17% | -2.90% | -0.12% | 5.16% | 2.48% | 9.49% |
| 2022 | -7.10% | -3.13% | 4.31% | -5.99% | -1.17% | -6.34% | 6.16% | -2.81% | -7.31% | 8.56% | 5.75% | -3.90% | -13.81% |
| 2021 | -2.03% | 0.35% | 5.05% | 4.59% | 1.08% | 1.72% | 3.32% | 2.49% | -5.28% | 6.45% | -1.46% | 5.70% | 23.52% |
Benchmark Metrics
AQR Large Cap Defensive Style Fund has an annualized alpha of 1.59%, beta of 0.79, and R2 of 0.87 versus S&P 500 Index. Calculated based on daily prices since July 09, 2012.
- This fund participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (79.88%) than losses (77.69%) - typical of diversified or defensive assets.
- Alpha
- 1.59%
- Beta
- 0.79
- R²
- 0.87
- Upside Capture
- 79.88%
- Downside Capture
- 77.69%
Expense Ratio
AUEIX has an expense ratio of 0.37%, placing it in the medium range.
Return for Risk
Risk / Return Rank
AUEIX ranks 16 for risk / return — in the bottom 16% of mutual funds on our site. This means you're taking on significantly more risk than the returns justify. Consider whether the potential upside is worth the volatility, or explore alternatives with better risk / return profiles.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for AQR Large Cap Defensive Style Fund (AUEIX) and compare them to S&P 500 Index.
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.
| AUEIX | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.03 | ||
| Sortino ratioReturn per unit of downside risk | -1.31 | ||
| Omega ratioGain probability vs. loss probability | 1.18 | 1.37 | -0.19 |
| Calmar ratioReturn relative to maximum drawdown | 1.41 | 2.78 | -1.37 |
| Martin ratioReturn relative to average drawdown | 4.67 | 12.44 | -7.77 |
Dividends
Dividend History
AQR Large Cap Defensive Style Fund provided a 21.47% dividend yield over the last twelve months, with an annual payout of $4.01 per share.
| Period | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Dividend | $4.01 | $4.01 | $4.92 | $5.33 | $2.57 | $0.81 | $0.34 | $0.27 | $0.31 | $0.45 | $0.32 | $0.90 |
Dividend yield | 21.47% | 22.70% | 24.31% | 24.28% | 10.26% | 2.54% | 1.29% | 1.12% | 1.67% | 2.36% | 1.99% | 6.18% |
Monthly Dividends
The table displays the monthly dividend distributions for AQR Large Cap 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 | $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 | $4.01 | $4.01 |
| 2024 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $4.92 | $4.92 |
| 2023 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $5.33 | $5.33 |
| 2022 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $2.57 | $2.57 |
| 2021 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.81 | $0.81 |
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 Large Cap 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 Large Cap Defensive Style Fund was 30.82%, occurring on Mar 20, 2020. Recovery took 108 trading sessions.
The current AQR Large Cap Defensive Style Fund drawdown is 1.32%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
COVID crash2020 | -30.82%Mar 2020 | 29d | 5mo 7d | 6mo 6dFeb 2020 - Aug 2020 |
Bear market2022 | -22.08%Sep 2022 | 9mo 4d | 1y 4mo | 2y 1moDec 2021 - Feb 2024 |
Rate-hike selloffLate 2018 | -13.25%Dec 2018 | 2mo 28d | 2mo 24d | 5mo 22dSep 2018 - Mar 2019 |
2025 selloff2025 | -10.27%Apr 2025 | 4mo 7d | 2mo 23d | 7moDec 2024 - Jun 2025 |
2015 pullback2015 | -9.52%Aug 2015 | 7d | 4mo 6d | 4mo 13dAug 2015 - Dec 2015 |
Drawdown Indicators
| AUEIX | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -30.82% | -56.78% | +25.96% |
Max Drawdown (1Y)Largest decline over 1 year | -5.91% | -9.10% | +3.19% |
Max Drawdown (3Y)Largest decline over 3 years | -10.27% | -18.90% | +8.63% |
Max Drawdown (5Y)Largest decline over 5 years | -22.08% | -25.43% | +3.35% |
Max Drawdown (10Y)Largest decline over 10 years | -30.82% | -33.92% | +3.10% |
Current DrawdownCurrent decline from peak | -1.32% | -1.80% | +0.48% |
Average DrawdownAverage peak-to-trough decline | -3.41% | -10.71% | +7.30% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.78% | 2.03% | -0.25% |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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