AUEIX's Sortino Ratio of 1.10 indicates that for each unit of downside volatility, it generates 1.10 units of excess return. The ratio is calculated using historical daily returns over the past 12 months (as of Jun 25, 2026).
Unlike other measures, Sortino only focuses on downside volatility (losses), making it particularly useful for investors more concerned about protecting against drawdowns than overall price swings.
AUEIX Sortino Ratio Rank
AUEIX ranks above 9.8% of all investments in our database based on Sortino Ratio over the past 12 months, indicating weak returns relative to downside risk taken. Securities are ranked from 0 (worst) to 100 (best).
What moves the rank
- Strong returns with minimal downside volatility → Higher rank
- Severe or frequent drawdowns → Lower rank
- Upside volatility → No impact (Sortino doesn't penalize upside swings)
What you can do with this information
- Weak downside-adjusted returns relative to category peers
- Evaluate whether this holding aligns with your risk-return objectives
- Consider reducing exposure or implementing downside hedges
- Review higher-ranked alternatives in the same category
AUEIX Sortino Ratio Market Positioning
The chart shows AUEIX's Sortino Ratio relative to all mutual funds on our platform, with color zones indicating percentile rankings. Higher ratios indicate better downside-adjusted returns.
- Red zone (bottom 25%): 1.74 or lower
- Yellow zone (middle 50%): 1.74 to 3.04
- Green zone (top 25%): 3.04 or higher
- Top 1%: 8.92+
- Median: 2.49 — half of all investments score higher
How it compares to other similar mutual funds
The table compares AQR Large Cap Defensive Style Fund's Sortino Ratio with other mutual funds in the Large Cap Blend Equities category across multiple time periods, showing how AUEIX's risk-adjusted performance compares to similar funds.
Data shows 1-, 5-, and 10-year periods, plus each fund's all-time average, as of Jun 25, 2026.
| Symbol | Name | 1Y Sortino Ratio | 5Y Sortino Ratio | 10Y Sortino Ratio | All Time Sortino Ratio |
|---|---|---|---|---|---|
| VPCCX | Vanguard PRIMECAP Core Fund | 4.51 | |||
| VPMAX | Vanguard PRIMECAP Fund Admiral Shares | 4.13 | |||
| POSKX | PrimeCap Odyssey Stock Fund | 4.08 | |||
| POGSX | Pin Oak Equity | 3.95 | |||
| ORDNX | North Square Preferred and Income Securities Fund | 3.71 | |||
| MISEX | Midas Magic | 3.69 | |||
| RESGX | Glenmede Responsible ESG U.S. Equity Portfolio | 3.67 | |||
| FTZIX | Fuller & Thaler Behavioral Unconstrained Equity Fund | 3.64 | |||
| GTLOX | Glenmede Quantitative U.S. Large Cap Core Equity Portfolio | 3.61 | |||
| DHAMX | Centre American Select Equity Fund | 3.60 | |||
| AUEIX | AQR Large Cap Defensive Style Fund | 1.10 |
Historical Sortino Ratio
The chart shows AUEIX's rolling Sortino ratio over time compared to your chosen benchmark. Rising trends indicate improving returns relative to downside risk, while declining trends may signal deteriorating risk-adjusted performance or increased volatility during market stress. Use multiple timeframes to distinguish short-term fluctuations from long-term patterns.
Identify market cycles by observing when AUEIX consistently outperforms (line above benchmark), underperforms (below benchmark), or aligns with the benchmark.
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