AUEIX vs. SPLG
Compare and contrast key facts about AQR Large Cap Defensive Style Fund (AUEIX) and SPDR Portfolio S&P 500 ETF (SPLG).
AUEIX is managed by AQR Funds. It was launched on Jul 9, 2012. SPLG is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Nov 15, 2005.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: AUEIX or SPLG.
Key characteristics
| AUEIX | SPLG | |
|---|---|---|
| YTD Return | 5.19% | 5.61% |
| 1Y Return | 11.77% | 23.65% |
| 3Y Return (Ann) | 4.32% | 7.90% |
| 5Y Return (Ann) | 9.03% | 13.10% |
| 10Y Return (Ann) | 11.40% | 12.50% |
| Sharpe Ratio | 0.34 | 1.91 |
| Daily Std Dev | 31.14% | 11.63% |
| Max Drawdown | -33.57% | -54.50% |
| Current Drawdown | -14.70% | -4.37% |
Correlation
The correlation between AUEIX and SPLG is 0.86, 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.
Performance
AUEIX vs. SPLG - Performance Comparison
In the year-to-date period, AUEIX achieves a 5.19% return, which is significantly lower than SPLG's 5.61% return. Over the past 10 years, AUEIX has underperformed SPLG with an annualized return of 11.40%, while SPLG has yielded a comparatively higher 12.50% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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. SPLG - Expense Ratio Comparison
AUEIX has a 0.37% expense ratio, which is higher than SPLG's 0.03% expense ratio.
Risk-Adjusted Performance
AUEIX vs. SPLG - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Large Cap Defensive Style Fund (AUEIX) and SPDR Portfolio S&P 500 ETF (SPLG). 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. SPLG - Dividend Comparison
AUEIX's dividend yield for the trailing twelve months is around 23.08%, more than SPLG's 1.40% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
AUEIX AQR Large Cap Defensive Style Fund | 23.08% | 24.28% | 10.26% | 2.54% | 1.29% | 1.12% | 1.66% | 2.36% | 1.99% | 6.18% | 4.90% | 0.95% |
SPLG SPDR Portfolio S&P 500 ETF | 1.40% | 1.44% | 1.69% | 1.25% | 1.54% | 1.79% | 2.23% | 1.75% | 1.97% | 1.98% | 1.79% | 1.71% |
Drawdowns
AUEIX vs. SPLG - Drawdown Comparison
The maximum AUEIX drawdown since its inception was -33.57%, smaller than the maximum SPLG drawdown of -54.50%. Use the drawdown chart below to compare losses from any high point for AUEIX and SPLG. For additional features, visit the drawdowns tool.
Volatility
AUEIX vs. SPLG - Volatility Comparison
The current volatility for AQR Large Cap Defensive Style Fund (AUEIX) is 2.17%, while SPDR Portfolio S&P 500 ETF (SPLG) has a volatility of 3.88%. This indicates that AUEIX experiences smaller price fluctuations and is considered to be less risky than SPLG based on this measure. The chart below showcases a comparison of their rolling one-month volatility.