AUEIX vs. DFUSX
Compare and contrast key facts about AQR Large Cap Defensive Style Fund (AUEIX) and DFA U.S. Large Company Portfolio (DFUSX).
AUEIX is managed by AQR Funds. It was launched on Jul 9, 2012. DFUSX is managed by Dimensional Fund Advisors LP. It was launched on Sep 23, 1999.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: AUEIX or DFUSX.
Performance
AUEIX vs. DFUSX - Performance Comparison
Returns By Period
In the year-to-date period, AUEIX achieves a 19.22% return, which is significantly lower than DFUSX's 26.16% return. Over the past 10 years, AUEIX has underperformed DFUSX with an annualized return of 11.56%, while DFUSX has yielded a comparatively higher 13.15% annualized return.
AUEIX
19.22%
1.47%
10.60%
22.49%
10.28%
11.56%
DFUSX
26.16%
1.78%
13.65%
32.30%
15.65%
13.15%
Key characteristics
| AUEIX | DFUSX | |
|---|---|---|
| Sharpe Ratio | 0.74 | 2.67 |
| Sortino Ratio | 1.28 | 3.56 |
| Omega Ratio | 1.44 | 1.50 |
| Calmar Ratio | 1.14 | 3.88 |
| Martin Ratio | 1.98 | 17.45 |
| Ulcer Index | 11.66% | 1.88% |
| Daily Std Dev | 31.09% | 12.27% |
| Max Drawdown | -33.57% | -54.96% |
| Current Drawdown | -3.32% | -0.80% |
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AUEIX vs. DFUSX - Expense Ratio Comparison
AUEIX has a 0.37% expense ratio, which is higher than DFUSX's 0.08% expense ratio.
Correlation
The correlation between AUEIX and DFUSX is 0.92, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Risk-Adjusted Performance
AUEIX vs. DFUSX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Large Cap Defensive Style Fund (AUEIX) and DFA U.S. Large Company Portfolio (DFUSX). 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.
Dividends
AUEIX vs. DFUSX - Dividend Comparison
AUEIX's dividend yield for the trailing twelve months is around 1.99%, more than DFUSX's 1.10% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
AUEIX AQR Large Cap Defensive Style Fund | 1.99% | 2.38% | 1.39% | 1.06% | 1.29% | 1.10% | 1.22% | 1.44% | 1.45% | 0.95% | 1.98% | 0.63% |
DFUSX DFA U.S. Large Company Portfolio | 1.10% | 1.34% | 1.58% | 1.14% | 1.60% | 1.76% | 1.95% | 1.86% | 2.08% | 2.02% | 1.81% | 1.79% |
Drawdowns
AUEIX vs. DFUSX - Drawdown Comparison
The maximum AUEIX drawdown since its inception was -33.57%, smaller than the maximum DFUSX drawdown of -54.96%. Use the drawdown chart below to compare losses from any high point for AUEIX and DFUSX. For additional features, visit the drawdowns tool.
Volatility
AUEIX vs. DFUSX - Volatility Comparison
The current volatility for AQR Large Cap Defensive Style Fund (AUEIX) is 3.33%, while DFA U.S. Large Company Portfolio (DFUSX) has a volatility of 3.96%. This indicates that AUEIX experiences smaller price fluctuations and is considered to be less risky than DFUSX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.