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.
Performance
AUEIX vs. MDY - Performance Comparison
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AUEIX vs. MDY - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
AUEIX AQR Large Cap Defensive Style Fund | 1.76% | 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 | 3.32% | 7.19% | 13.64% | 16.07% | -13.28% | 24.53% | 13.50% | 25.78% | -11.29% | 15.93% |
Returns By Period
In the year-to-date period, AUEIX achieves a 1.76% return, which is significantly lower than MDY's 3.32% return. Both investments have delivered pretty close results over the past 10 years, with AUEIX having a 10.56% annualized return and MDY not far behind at 10.34%.
AUEIX
- 1D
- 0.96%
- 1M
- -4.32%
- YTD
- 1.76%
- 6M
- -0.28%
- 1Y
- 3.95%
- 3Y*
- 10.04%
- 5Y*
- 6.77%
- 10Y*
- 10.56%
MDY
- 1D
- 0.82%
- 1M
- -5.32%
- YTD
- 3.32%
- 6M
- 4.62%
- 1Y
- 17.32%
- 3Y*
- 12.06%
- 5Y*
- 6.51%
- 10Y*
- 10.34%
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AUEIX vs. MDY - Expense Ratio Comparison
AUEIX has a 0.37% expense ratio, which is higher than MDY's 0.23% expense ratio.
Return for Risk
AUEIX vs. MDY — Risk / Return Rank
AUEIX
MDY
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.
| AUEIX | MDY | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.34 | 0.82 | -0.49 |
Sortino ratioReturn per unit of downside risk | 0.56 | 1.30 | -0.74 |
Omega ratioGain probability vs. loss probability | 1.08 | 1.18 | -0.10 |
Calmar ratioReturn relative to maximum drawdown | 0.55 | 1.28 | -0.72 |
Martin ratioReturn relative to average drawdown | 2.51 | 5.46 | -2.95 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| AUEIX | MDY | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.34 | 0.82 | -0.49 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.52 | 0.33 | +0.19 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.70 | 0.49 | +0.21 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.84 | 0.51 | +0.33 |
Correlation
The correlation between AUEIX and MDY is 0.81, 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.
Dividends
AUEIX vs. MDY - Dividend Comparison
AUEIX's dividend yield for the trailing twelve months is around 22.31%, more than MDY's 1.15% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
AUEIX AQR Large Cap Defensive Style Fund | 22.31% | 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 | 1.15% | 1.15% | 1.18% | 1.21% | 1.37% | 0.96% | 1.12% | 1.34% | 1.39% | 1.18% | 1.31% | 1.35% |
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.
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Drawdown Indicators
| AUEIX | MDY | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -30.82% | -55.33% | +24.51% |
Max Drawdown (1Y)Largest decline over 1 year | -8.94% | -14.07% | +5.13% |
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 DrawdownCurrent decline from peak | -4.32% | -5.36% | +1.04% |
Average DrawdownAverage peak-to-trough decline | -3.44% | -7.06% | +3.62% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.96% | 3.29% | -1.33% |
Volatility
AUEIX vs. MDY - Volatility Comparison
The current volatility for AQR Large Cap Defensive Style Fund (AUEIX) is 2.79%, while SPDR S&P MidCap 400 ETF (MDY) has a volatility of 6.42%. 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.
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Volatility by Period
| AUEIX | MDY | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.79% | 6.42% | -3.63% |
Volatility (6M)Calculated over the trailing 6-month period | 5.78% | 11.89% | -6.11% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.06% | 21.11% | -9.05% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 13.07% | 19.78% | -6.71% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 15.21% | 21.17% | -5.96% |