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AQR Large Cap Defensive Style Fund (AUEIX)

Mutual Fund · Currency in USD · Last updated Mar 21, 2023

The fund pursues a "defensive" investment style, seeking to provide downside protection with upside potential through active stock selection, risk management and diversification. It pursues its objective by investing, under normal market conditions, at least 80% of its net assets (including any borrowings for investment purposes) in Equity Instruments of large-cap issuers. The fund can invest in companies of any size and may invest in small- and mid-cap companies from time to time in the discretion of the Adviser.

Share Price Chart


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Performance

The chart shows the growth of $10,000 invested in AQR Large Cap Defensive Style Fund in Oct 2022 and compares it to the S&P 500 index or another benchmark. It would be worth nearly $34,371 for a total return of roughly 243.71%. All prices are adjusted for splits and dividends.


0.00%5.00%10.00%15.00%20.00%NovemberDecember2023FebruaryMarch
5.95%
7.43%
AUEIX (AQR Large Cap Defensive Style Fund)
Benchmark (^GSPC)

S&P 500

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Return

AQR Large Cap Defensive Style Fund had a return of -1.28% year-to-date (YTD) and -8.26% in the last 12 months. Over the past 10 years, AQR Large Cap Defensive Style Fund had an annualized return of 11.81%, outperforming the S&P 500 benchmark which had an annualized return of 9.86%.


PeriodReturnBenchmark
1 month-3.03%-3.13%
Year-To-Date-1.28%2.92%
6 months2.33%2.02%
1 year-8.26%-11.46%
5 years (annualized)8.27%7.79%
10 years (annualized)11.81%9.86%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20232.48%-3.36%
2022-7.31%8.56%5.75%-3.90%

Sharpe Ratio Chart

The Sharpe ratio shows whether the portfolio's excess returns are due to smart investment decisions or a result of taking a higher risk. The higher a portfolio's Sharpe ratio, the better its risk-adjusted performance.

The current AQR Large Cap Defensive Style Fund Sharpe ratio is -0.32. A negative Sharpe ratio means that the risk-free rate is higher than the portfolio's return. This value does not convey any meaningful information.

The chart below displays rolling 12-month Sharpe Ratio.


-0.80-0.60-0.40-0.200.00NovemberDecember2023FebruaryMarch
-0.32
-0.45
AUEIX (AQR Large Cap Defensive Style Fund)
Benchmark (^GSPC)

Dividend History

AQR Large Cap Defensive Style Fund granted a 10.40% dividend yield in the last twelve months. The annual payout for that period amounted to $2.57 per share.


PeriodTTM20222021202020192018201720162015201420132012
Dividend$2.57$2.57$0.81$0.34$0.27$0.31$0.45$0.32$0.90$0.71$0.13$0.07

Dividend yield

10.40%10.26%2.80%1.46%1.29%1.93%2.79%2.40%7.60%6.39%1.31%1.01%

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.


JanFebMarAprMayJunJulAugSepOctNovDec
2023$0.00$0.00
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
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
2020$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.34
2019$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.27
2018$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.31
2017$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.45
2016$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.32
2015$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.90
2014$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.71
2013$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.13
2012$0.07

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-25.00%-20.00%-15.00%-10.00%-5.00%NovemberDecember2023FebruaryMarch
-15.12%
-17.62%
AUEIX (AQR Large Cap Defensive Style Fund)
Benchmark (^GSPC)

Worst Drawdowns

The table below shows the maximum drawdowns of the AQR Large Cap Defensive Style Fund. A maximum drawdown is an indicator of risk. It shows a reduction in portfolio value from its maximum due to a series of losing trades.

The maximum drawdown since January 2010 for the AQR Large Cap Defensive Style Fund is 33.57%, recorded on Mar 23, 2020. It took 107 trading sessions for the portfolio to recover.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-33.57%Feb 20, 202023Mar 23, 2020107Aug 24, 2020130
-22.08%Dec 30, 2021190Sep 30, 2022
-13.26%Sep 24, 201863Dec 21, 201856Mar 15, 2019119
-9.52%Aug 18, 20156Aug 25, 201587Dec 29, 201593
-8.99%Jan 29, 20189Feb 8, 2018107Jul 13, 2018116
-8.27%Dec 30, 201514Jan 20, 201636Mar 11, 201650
-7.93%Sep 3, 202014Sep 23, 202035Nov 11, 202049
-6.61%Sep 3, 202121Oct 4, 202119Oct 29, 202140
-6.01%Oct 8, 201227Nov 15, 201233Jan 4, 201360
-5.83%Feb 16, 202113Mar 4, 202116Mar 26, 202129

Volatility Chart

Current AQR Large Cap Defensive Style Fund volatility is 16.25%. The chart below shows the rolling 10-day volatility. Volatility is a statistical measure showing how big price swings are in either direction. The higher asset volatility, the riskier it is, because the price movements are less predictable.


10.00%20.00%30.00%40.00%50.00%60.00%70.00%NovemberDecember2023FebruaryMarch
16.25%
20.82%
AUEIX (AQR Large Cap Defensive Style Fund)
Benchmark (^GSPC)