AUEIX vs. MDY

Last updated Aug 1, 2026

AUEIX (AQR Large Cap Defensive Style Fund) and MDY (SPDR S&P MidCap 400 ETF) are both funds - AUEIX is a Large Cap Blend Equities fund managed by AQR, while MDY is a Mid Cap Blend Equities fund tracking the S&P MidCap 400 Index. Over the past 10 years, AUEIX returned 10.72%/yr vs 10.79%/yr for MDY. Their correlation of 0.80 means they have usually moved in the same direction. AUEIX charges 0.37%/yr vs 0.23%/yr for MDY.

Performance

AUEIX vs. MDY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AQR Large Cap Defensive Style Fund (AUEIX) and SPDR S&P MidCap 400 ETF (MDY). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, AUEIX achieves a 7.82% return, which is significantly lower than MDY's 14.33% return. Both investments have delivered pretty close results over the past 10 years, with AUEIX having a 10.72% annualized return and MDY not far ahead at 10.79%.

AUEIX

• 1D: 0.58%
• 1M: 1.28%
• 6M: 4.68%
• YTD: 7.82%
• 1Y: 10.25%
• 3Y*: 10.69%
• 5Y*: 5.93%
• 10Y*: 10.72%
• ALL TIME*: 12.09%

MDY

• 1D: -0.13%
• 1M: -1.06%
• 6M: 9.90%
• YTD: 14.33%
• 1Y: 22.39%
• 3Y*: 12.71%
• 5Y*: 8.19%
• 10Y*: 10.79%
• ALL TIME*: 11.29%

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

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
AUEIX AQR Large Cap Defensive Style Fund	$0.00	$0.00	$0.00
MDY SPDR S&P MidCap 400 ETF	$420.06M	$401.19M	$471.25M

AUEIX vs. MDY - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
AUEIX AQR Large Cap Defensive Style Fund	7.82%	6.95%	13.85%	9.49%	-13.81%	23.52%	13.10%	28.63%	-0.27%	22.14%
MDY SPDR S&P MidCap 400 ETF	14.33%	7.19%	13.64%	16.07%	-13.28%	24.53%	13.50%	25.78%	-11.29%	15.93%

Correlation

The correlation between AUEIX and MDY is 0.59, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.59
Correlation (3Y) Balances recent behavior with more history.	0.69
Correlation (5Y) Shows whether the relationship held over a longer period.	0.77
Correlation (10Y) Provides a long-term view across more market conditions.	0.78
Correlation (All Time) Calculated using the full available price history since Jul 9, 2012	0.80

Over the past year, the correlation between AUEIX and MDY has dropped to 0.59 - well below their long-term average of 0.80, suggesting their price drivers have been diverging.

Return for Risk

AUEIX vs. MDY — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

AUEIX

AUEIX Risk / Return Rank: 33
AUEIX Sharpe Ratio Rank: 33
AUEIX Sortino Ratio Rank: 33
AUEIX Omega Ratio Rank: 32
AUEIX Calmar Ratio Rank: 35
AUEIX Martin Ratio Rank: 33

MDY

MDY Risk / Return Rank: 61
MDY Sharpe Ratio Rank: 56
MDY Sortino Ratio Rank: 59
MDY Omega Ratio Rank: 54
MDY Calmar Ratio Rank: 68
MDY Martin Ratio Rank: 69

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

AUEIX vs. MDY - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for AQR Large Cap Defensive Style Fund (AUEIX) and SPDR S&P MidCap 400 ETF (MDY). 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.

	AUEIX	MDY	Difference
Sharpe ratio: Return per unit of total volatility	1.05	1.32	-0.28
Sortino ratio: Return per unit of downside risk	1.52	1.98	-0.46
Omega ratio: Gain probability vs. loss probability	1.19	1.24	-0.05
Calmar ratio: Return relative to maximum drawdown	1.45	2.34	-0.89
Martin ratio: Return relative to average drawdown	4.81	8.48	-3.67

AUEIX vs. MDY - Sharpe Ratio Comparison

The current AUEIX Sharpe Ratio is 1.05, which is comparable to the MDY Sharpe Ratio of 1.32. The chart below compares the historical Sharpe Ratios of AUEIX and MDY, 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

AUEIX vs. MDY - Drawdown Comparison

The maximum AUEIX drawdown since its inception was -30.82%, smaller than the maximum MDY drawdown of -55.33%. Use the drawdown chart below to compare losses from any high point for AUEIX and MDY.

Drawdown Indicators

	AUEIX	MDY	Difference
Max Drawdown Largest peak-to-trough decline	-30.82%	-55.33%	+24.51%
Max Drawdown (1Y) Largest decline over 1 year	-5.91%	-8.82%	+2.91%
Max Drawdown (3Y) Largest decline over 3 years	-10.27%	-24.03%	+13.76%
Max Drawdown (5Y) Largest decline over 5 years	-22.08%	-24.03%	+1.95%
Max Drawdown (10Y) Largest decline over 10 years	-30.82%	-42.22%	+11.40%
Current Drawdown Current decline from peak	-0.31%	-2.42%	+2.11%
Average Drawdown Average peak-to-trough decline	-3.39%	-7.00%	+3.61%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.78%	2.44%	-0.66%

Volatility

AUEIX vs. MDY - Volatility Comparison

The current volatility for AQR Large Cap Defensive Style Fund (AUEIX) is 1.82%, while SPDR S&P MidCap 400 ETF (MDY) has a volatility of 3.45%. This indicates that AUEIX experiences smaller price fluctuations and is considered to be less risky than MDY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	AUEIX	MDY	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.82%	3.45%	-1.63%
Volatility (6M) Calculated over the trailing 6-month period	6.22%	11.59%	-5.37%
Volatility (1Y) Calculated over the trailing 1-year period	8.23%	15.69%	-7.46%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	13.00%	19.69%	-6.69%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	15.17%	21.14%	-5.97%

AUEIX vs. MDY - Expense Ratio Comparison

AUEIX has a 0.37% expense ratio, which is higher than MDY's 0.23% expense ratio.

Dividends

AUEIX vs. MDY - Dividend Comparison

AUEIX's dividend yield for the trailing twelve months is around 21.05%, more than MDY's 1.02% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
AUEIX AQR Large Cap Defensive Style Fund	21.05%	22.70%	24.31%	24.28%	10.26%	2.54%	1.29%	1.12%	1.67%	2.36%	1.99%	6.18%
MDY SPDR S&P MidCap 400 ETF	1.02%	1.15%	1.18%	1.21%	1.37%	0.96%	1.12%	1.34%	1.39%	1.18%	1.31%	1.35%

Frequently Asked Questions

Can I hold both AUEIX and MDY in my portfolio?

AUEIX and MDY have a correlation of 0.59, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, AUEIX or MDY?

MDY has higher volatility (3.45%) compared to AUEIX (1.82%). In terms of maximum drawdown, AUEIX dropped -30.82% vs MDY's -55.33%.

Which has better risk-adjusted returns?

MDY currently has the higher Sharpe Ratio (1.32 vs 1.05), 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.