AQGNX vs. VTWAX

Last updated Jun 26, 2026

AQGNX (AQR Global Equity Fund Class N) and VTWAX (Vanguard Total World Stock Index Fund Admiral Shares) are both Global Equities funds - AQGNX tracks the MSCI World Net Total Return USD Index while VTWAX tracks the FTSE Global All Cap Index. Both are passively managed. Over the past 5 years, AQGNX returned 14.63%/yr vs 10.38%/yr for VTWAX. With a 0.95 correlation, they move nearly in lockstep. AQGNX charges 1.07%/yr vs 0.09%/yr for VTWAX.

Performance

AQGNX vs. VTWAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AQR Global Equity Fund Class N (AQGNX) and Vanguard Total World Stock Index Fund Admiral Shares (VTWAX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

The year-to-date returns for both investments are quite close, with AQGNX having a 9.76% return and VTWAX slightly higher at 9.97%.

AQGNX

• 1D: -0.68%
• 1M: -1.13%
• YTD: 9.76%
• 6M: 8.49%
• 1Y: 27.66%
• 3Y*: 25.43%
• 5Y*: 14.63%
• 10Y*: 13.36%

VTWAX

• 1D: -0.04%
• 1M: -1.57%
• YTD: 9.97%
• 6M: 9.03%
• 1Y: 24.28%
• 3Y*: 19.84%
• 5Y*: 10.38%
• 10Y*: —

*Multi-year figures are annualized to reflect compound growth (CAGR)

AQGNX vs. VTWAX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019
AQGNX AQR Global Equity Fund Class N	9.76%	31.37%	24.14%	22.74%	-14.45%	18.04%	8.96%	10.21%
VTWAX Vanguard Total World Stock Index Fund Admiral Shares	9.97%	22.43%	16.43%	21.85%	-18.02%	18.17%	16.67%	17.53%

Correlation

The correlation between AQGNX and VTWAX is 0.93, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.93
Correlation (3Y) Calculated over the trailing 3-year period	0.94
Correlation (5Y) Calculated over the trailing 5-year period	0.95
Correlation (All Time) Calculated using the full available price history since Feb 7, 2019	0.95

The correlation between AQGNX and VTWAX has been stable across timeframes, ranging from 0.93 to 0.95 - a consistent structural relationship.

Return for Risk

AQGNX vs. VTWAX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

AQGNX

AQGNX Risk / Return Rank: 69
AQGNX Sharpe Ratio Rank: 68
AQGNX Sortino Ratio Rank: 65
AQGNX Omega Ratio Rank: 62
AQGNX Calmar Ratio Rank: 72
AQGNX Martin Ratio Rank: 79

VTWAX

VTWAX Risk / Return Rank: 56
VTWAX Sharpe Ratio Rank: 55
VTWAX Sortino Ratio Rank: 51
VTWAX Omega Ratio Rank: 54
VTWAX Calmar Ratio Rank: 56
VTWAX Martin Ratio Rank: 65

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

AQGNX vs. VTWAX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for AQR Global Equity Fund Class N (AQGNX) and Vanguard Total World Stock Index Fund Admiral Shares (VTWAX). 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.

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.

	AQGNX	VTWAX	Difference
Sharpe ratio: Return per unit of total volatility	1.96	1.83	+0.13
Sortino ratio: Return per unit of downside risk	2.71	2.51	+0.20
Omega ratio: Gain probability vs. loss probability	1.35	1.34	+0.01
Calmar ratio: Return relative to maximum drawdown	2.78	2.51	+0.27
Martin ratio: Return relative to average drawdown	12.16	10.87	+1.29

AQGNX vs. VTWAX - Sharpe Ratio Comparison

The current AQGNX Sharpe Ratio is 1.96, which is comparable to the VTWAX Sharpe Ratio of 1.83. The chart below compares the historical Sharpe Ratios of AQGNX and VTWAX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

AQGNX vs. VTWAX - Drawdown Comparison

The maximum AQGNX drawdown since its inception was -35.76%, roughly equal to the maximum VTWAX drawdown of -34.20%. Use the drawdown chart below to compare losses from any high point for AQGNX and VTWAX.

Drawdown Indicators

	AQGNX	VTWAX	Difference
Max Drawdown Largest peak-to-trough decline	-35.76%	-34.20%	-1.56%
Max Drawdown (1Y) Largest decline over 1 year	-9.90%	-9.64%	-0.26%
Max Drawdown (3Y) Largest decline over 3 years	-18.51%	-16.43%	-2.08%
Max Drawdown (5Y) Largest decline over 5 years	-29.72%	-26.40%	-3.32%
Max Drawdown (10Y) Largest decline over 10 years	-35.76%	—	—
Current Drawdown Current decline from peak	-3.52%	-2.81%	-0.71%
Average Drawdown Average peak-to-trough decline	-7.27%	-5.27%	-2.00%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.26%	2.22%	+0.04%

Volatility

AQGNX vs. VTWAX - Volatility Comparison

AQR Global Equity Fund Class N (AQGNX) has a higher volatility of 5.87% compared to Vanguard Total World Stock Index Fund Admiral Shares (VTWAX) at 5.56%. This indicates that AQGNX's price experiences larger fluctuations and is considered to be riskier than VTWAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	AQGNX	VTWAX	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.87%	5.56%	+0.31%
Volatility (6M) Calculated over the trailing 6-month period	11.32%	10.97%	+0.35%
Volatility (1Y) Calculated over the trailing 1-year period	14.13%	13.27%	+0.86%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	18.31%	15.86%	+2.45%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.86%	18.23%	-0.37%

AQGNX vs. VTWAX - Expense Ratio Comparison

AQGNX has a 1.07% expense ratio, which is higher than VTWAX's 0.09% expense ratio.

Dividends

AQGNX vs. VTWAX - Dividend Comparison

AQGNX's dividend yield for the trailing twelve months is around 12.09%, more than VTWAX's 1.58% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016
AQGNX AQR Global Equity Fund Class N	12.09%	13.27%	13.26%	5.82%	4.30%	12.07%	1.08%	1.26%	4.74%	4.75%	10.16%
VTWAX Vanguard Total World Stock Index Fund Admiral Shares	1.58%	1.80%	1.92%	2.06%	2.17%	1.79%	1.64%	2.28%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both AQGNX and VTWAX in my portfolio?

With a correlation of 0.93, AQGNX and VTWAX move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.

Which is riskier, AQGNX or VTWAX?

AQGNX has higher volatility (5.87%) compared to VTWAX (5.56%). In terms of maximum drawdown, AQGNX dropped -35.76% vs VTWAX's -34.20%.

Which has better risk-adjusted returns?

AQGNX currently has the higher Sharpe Ratio (1.96 vs 1.83), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.