AUEIX vs. MDY
Compare and contrast key facts about AQR Large Cap Defensive Style Fund (AUEIX) and SPDR S&P MidCap 400 ETF (MDY).
AUEIX is managed by AQR Funds. It was launched on Jul 9, 2012. MDY is a passively managed fund by State Street that tracks the performance of the S&P MidCap 400 Index. It was launched on May 4, 1995.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: AUEIX or MDY.
Performance
AUEIX vs. MDY - Performance Comparison
Returns By Period
The year-to-date returns for both investments are quite close, with AUEIX having a 19.22% return and MDY slightly higher at 19.40%. Over the past 10 years, AUEIX has outperformed MDY with an annualized return of 11.56%, while MDY has yielded a comparatively lower 9.97% annualized return.
AUEIX
19.22%
1.47%
10.60%
22.49%
10.28%
11.56%
MDY
19.40%
4.74%
12.00%
30.43%
12.10%
9.97%
Key characteristics
| AUEIX | MDY | |
|---|---|---|
| Sharpe Ratio | 0.74 | 1.95 |
| Sortino Ratio | 1.28 | 2.74 |
| Omega Ratio | 1.44 | 1.34 |
| Calmar Ratio | 1.14 | 3.05 |
| Martin Ratio | 1.98 | 11.15 |
| Ulcer Index | 11.66% | 2.80% |
| Daily Std Dev | 31.09% | 16.01% |
| Max Drawdown | -33.57% | -55.33% |
| Current Drawdown | -3.32% | -1.15% |
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
AUEIX vs. MDY - Expense Ratio Comparison
AUEIX has a 0.37% expense ratio, which is higher than MDY's 0.23% expense ratio.
Correlation
The correlation between AUEIX and MDY is 0.82, 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. MDY - Risk-Adjusted Performance 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.
Dividends
AUEIX vs. MDY - Dividend Comparison
AUEIX's dividend yield for the trailing twelve months is around 1.99%, more than MDY's 1.09% 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% |
MDY SPDR S&P MidCap 400 ETF | 1.09% | 1.21% | 1.37% | 0.96% | 1.12% | 1.34% | 1.39% | 1.18% | 1.31% | 1.35% | 1.17% | 1.07% |
Drawdowns
AUEIX vs. MDY - Drawdown Comparison
The maximum AUEIX drawdown since its inception was -33.57%, 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. For additional features, visit the drawdowns tool.
Volatility
AUEIX vs. MDY - Volatility Comparison
The current volatility for AQR Large Cap Defensive Style Fund (AUEIX) is 3.33%, while SPDR S&P MidCap 400 ETF (MDY) has a volatility of 5.40%. 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.