AUEIX vs. SPY
Compare and contrast key facts about AQR Large Cap Defensive Style Fund (AUEIX) and SPDR S&P 500 ETF (SPY).
AUEIX is managed by AQR Funds. It was launched on Jul 9, 2012. SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: AUEIX or SPY.
Performance
AUEIX vs. SPY - Performance Comparison
Returns By Period
In the year-to-date period, AUEIX achieves a 20.04% return, which is significantly lower than SPY's 26.47% return. Over the past 10 years, AUEIX has underperformed SPY with an annualized return of 11.64%, while SPY has yielded a comparatively higher 13.14% annualized return.
AUEIX
20.04%
2.65%
11.04%
23.33%
10.42%
11.64%
SPY
26.47%
3.03%
13.19%
32.65%
15.68%
13.14%
Key characteristics
| AUEIX | SPY | |
|---|---|---|
| Sharpe Ratio | 0.75 | 2.69 |
| Sortino Ratio | 1.30 | 3.59 |
| Omega Ratio | 1.44 | 1.50 |
| Calmar Ratio | 1.15 | 3.88 |
| Martin Ratio | 2.00 | 17.47 |
| Ulcer Index | 11.67% | 1.87% |
| Daily Std Dev | 31.09% | 12.14% |
| Max Drawdown | -33.57% | -55.19% |
| Current Drawdown | -2.66% | -0.54% |
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AUEIX vs. SPY - Expense Ratio Comparison
AUEIX has a 0.37% expense ratio, which is higher than SPY's 0.09% expense ratio.
Correlation
The correlation between AUEIX and SPY is 0.92, 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. SPY - 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 500 ETF (SPY). 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. SPY - Dividend Comparison
AUEIX's dividend yield for the trailing twelve months is around 1.98%, more than SPY's 1.18% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
AUEIX AQR Large Cap Defensive Style Fund | 1.98% | 2.38% | 1.39% | 1.06% | 1.29% | 1.10% | 1.22% | 1.44% | 1.45% | 0.95% | 1.98% | 0.63% |
SPY SPDR S&P 500 ETF | 1.18% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% | 1.81% |
Drawdowns
AUEIX vs. SPY - Drawdown Comparison
The maximum AUEIX drawdown since its inception was -33.57%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for AUEIX and SPY. For additional features, visit the drawdowns tool.
Volatility
AUEIX vs. SPY - Volatility Comparison
The current volatility for AQR Large Cap Defensive Style Fund (AUEIX) is 3.35%, while SPDR S&P 500 ETF (SPY) has a volatility of 3.98%. This indicates that AUEIX experiences smaller price fluctuations and is considered to be less risky than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.