AUEIX vs. QDSIX
AUEIX (AQR Large Cap Defensive Style Fund) and QDSIX (AQR Diversifying Strategies Fund - Class I) are both mutual funds - AUEIX is a Large Cap Blend Equities fund managed by AQR, while QDSIX is a Multistrategy fund managed by AQR. Over the past 5 years, AUEIX returned 5.99%/yr vs 11.28%/yr for QDSIX. Their 0.16 correlation means their historical movements had little consistent relationship. AUEIX charges 0.37%/yr vs 1.23%/yr for QDSIX.
Performance
AUEIX vs. QDSIX - Performance Comparison
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Returns By Period
In the year-to-date period, AUEIX achieves a 8.16% return, which is significantly higher than QDSIX's 5.71% return.
AUEIX
- 1D
- 0.32%
- 1M
- 1.60%
- 6M
- 4.60%
- YTD
- 8.16%
- 1Y
- 10.60%
- 3Y*
- 10.89%
- 5Y*
- 5.99%
- 10Y*
- 10.80%
- ALL TIME*
- 12.11%
QDSIX
- 1D
- 0.20%
- 1M
- 2.42%
- 6M
- 3.49%
- YTD
- 5.71%
- 1Y
- 14.11%
- 3Y*
- 12.11%
- 5Y*
- 11.28%
- 10Y*
- —
- ALL TIME*
- 11.65%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $0.00 | $0.00 | $0.00 |
AUEIX vs. QDSIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|---|---|
AUEIX AQR Large Cap Defensive Style Fund | 8.16% | 6.95% | 13.85% | 9.49% | -13.81% | 23.52% | 14.15% |
QDSIX AQR Diversifying Strategies Fund - Class I | 5.71% | 16.36% | 9.71% | 8.88% | 14.69% | 10.64% | 5.50% |
Correlation
The correlation between AUEIX and QDSIX is 0.34, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.34 |
Correlation (3Y) Balances recent behavior with more history. | 0.27 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.10 |
Correlation (All Time) Calculated using the full available price history since Jun 10, 2020 | 0.16 |
The correlation between AUEIX and QDSIX shifts across timeframes, from 0.10 (5 years) to 0.34 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
AUEIX vs. QDSIX — Risk / Return Rank
AUEIX
QDSIX
AUEIX vs. QDSIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Large Cap Defensive Style Fund (AUEIX) and AQR Diversifying Strategies Fund - Class I (QDSIX). 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 | QDSIX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.33 | ||
| Sortino ratioReturn per unit of downside risk | -1.96 | ||
| Omega ratioGain probability vs. loss probability | 1.21 | 1.47 | -0.25 |
| Calmar ratioReturn relative to maximum drawdown | 1.63 | 4.34 | -2.71 |
| Martin ratioReturn relative to average drawdown | 5.41 | 14.36 | -8.95 |
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Drawdowns
AUEIX vs. QDSIX - Drawdown Comparison
The maximum AUEIX drawdown since its inception was -30.82%, which is greater than QDSIX's maximum drawdown of -7.06%. Use the drawdown chart below to compare losses from any high point for AUEIX and QDSIX.
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Drawdown Indicators
| AUEIX | QDSIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -30.82% | -7.06% | -23.76% |
Max Drawdown (1Y)Largest decline over 1 year | -5.91% | -3.08% | -2.83% |
Max Drawdown (3Y)Largest decline over 3 years | -10.27% | -6.90% | -3.37% |
Max Drawdown (5Y)Largest decline over 5 years | -22.08% | -7.06% | -15.02% |
Max Drawdown (10Y)Largest decline over 10 years | -30.82% | — | — |
Current DrawdownCurrent decline from peak | 0.00% | -0.74% | +0.74% |
Average DrawdownAverage peak-to-trough decline | -3.39% | -1.44% | -1.95% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.78% | 0.93% | +0.85% |
Volatility
AUEIX vs. QDSIX - Volatility Comparison
AQR Large Cap Defensive Style Fund (AUEIX) and AQR Diversifying Strategies Fund - Class I (QDSIX) have volatilities of 1.83% and 1.79%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| AUEIX | QDSIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.83% | 1.79% | +0.04% |
Volatility (6M)Calculated over the trailing 6-month period | 6.22% | 3.93% | +2.29% |
Volatility (1Y)Calculated over the trailing 1-year period | 8.22% | 5.35% | +2.87% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 13.00% | 7.63% | +5.37% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 15.17% | 7.29% | +7.88% |
AUEIX vs. QDSIX - Expense Ratio Comparison
AUEIX has a 0.37% expense ratio, which is lower than QDSIX's 1.23% expense ratio.
Dividends
AUEIX vs. QDSIX - Dividend Comparison
AUEIX's dividend yield for the trailing twelve months is around 20.99%, more than QDSIX's 2.11% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
AUEIX AQR Large Cap Defensive Style Fund | 20.99% | 22.70% | 24.31% | 24.28% | 10.26% | 2.54% | 1.29% | 1.12% | 1.67% | 2.36% | 1.99% | 6.18% |
QDSIX AQR Diversifying Strategies Fund - Class I | 2.11% | 2.23% | 0.00% | 11.35% | 8.22% | 6.07% | 1.93% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
AUEIX and QDSIX have a correlation of 0.34, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
AUEIX has higher volatility (1.83%) compared to QDSIX (1.79%). In terms of maximum drawdown, AUEIX dropped -30.82% vs QDSIX's -7.06%.
QDSIX currently has the higher Sharpe Ratio (2.51 vs 1.18), 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.
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