AUEIX vs. SSSYX
Compare and contrast key facts about AQR Large Cap Defensive Style Fund (AUEIX) and State Street Equity 500 Index Fund Class K (SSSYX).
AUEIX is managed by AQR Funds. It was launched on Jul 9, 2012. SSSYX is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Sep 17, 2014.
Performance
AUEIX vs. SSSYX - Performance Comparison
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AUEIX vs. SSSYX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
AUEIX AQR Large Cap Defensive Style Fund | 0.79% | 6.95% | 13.85% | 9.49% | -13.81% | 23.52% | 13.10% | 28.63% | -0.27% | 22.14% |
SSSYX State Street Equity 500 Index Fund Class K | -7.05% | 17.81% | 24.99% | 26.27% | -18.16% | 28.51% | 18.31% | 31.38% | -4.38% | 21.61% |
Returns By Period
In the year-to-date period, AUEIX achieves a 0.79% return, which is significantly higher than SSSYX's -7.05% return. Over the past 10 years, AUEIX has underperformed SSSYX with an annualized return of 10.46%, while SSSYX has yielded a comparatively higher 13.69% annualized return.
AUEIX
- 1D
- 0.74%
- 1M
- -5.02%
- YTD
- 0.79%
- 6M
- -1.36%
- 1Y
- 3.06%
- 3Y*
- 9.70%
- 5Y*
- 6.73%
- 10Y*
- 10.46%
SSSYX
- 1D
- -0.39%
- 1M
- -7.67%
- YTD
- -7.05%
- 6M
- -4.60%
- 1Y
- 14.40%
- 3Y*
- 17.15%
- 5Y*
- 11.37%
- 10Y*
- 13.69%
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AUEIX vs. SSSYX - Expense Ratio Comparison
AUEIX has a 0.37% expense ratio, which is higher than SSSYX's 0.02% expense ratio.
Return for Risk
AUEIX vs. SSSYX — Risk / Return Rank
AUEIX
SSSYX
AUEIX vs. SSSYX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Large Cap Defensive Style Fund (AUEIX) and State Street Equity 500 Index Fund Class K (SSSYX). 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 | SSSYX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.33 | 0.84 | -0.51 |
Sortino ratioReturn per unit of downside risk | 0.54 | 1.30 | -0.75 |
Omega ratioGain probability vs. loss probability | 1.08 | 1.20 | -0.12 |
Calmar ratioReturn relative to maximum drawdown | 0.34 | 1.06 | -0.72 |
Martin ratioReturn relative to average drawdown | 1.55 | 5.13 | -3.58 |
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 | SSSYX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.33 | 0.84 | -0.51 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.52 | 0.68 | -0.16 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.69 | 0.11 | +0.58 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.83 | 0.11 | +0.73 |
Correlation
The correlation between AUEIX and SSSYX is 0.88, 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. SSSYX - Dividend Comparison
AUEIX's dividend yield for the trailing twelve months is around 22.52%, more than SSSYX's 1.55% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
AUEIX AQR Large Cap Defensive Style Fund | 22.52% | 22.70% | 24.31% | 24.28% | 10.26% | 2.54% | 1.29% | 1.12% | 1.67% | 2.36% | 1.99% | 6.18% |
SSSYX State Street Equity 500 Index Fund Class K | 1.55% | 1.44% | 1.63% | 1.78% | 2.16% | 2.76% | 1.86% | 4.44% | 5.18% | 5.94% | 2.07% | 1.84% |
Drawdowns
AUEIX vs. SSSYX - Drawdown Comparison
The maximum AUEIX drawdown since its inception was -30.82%, smaller than the maximum SSSYX drawdown of -91.48%. Use the drawdown chart below to compare losses from any high point for AUEIX and SSSYX.
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Drawdown Indicators
| AUEIX | SSSYX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -30.82% | -91.48% | +60.66% |
Max Drawdown (1Y)Largest decline over 1 year | -8.94% | -12.10% | +3.16% |
Max Drawdown (5Y)Largest decline over 5 years | -22.08% | -24.49% | +2.41% |
Max Drawdown (10Y)Largest decline over 10 years | -30.82% | -91.48% | +60.66% |
Current DrawdownCurrent decline from peak | -5.22% | -8.88% | +3.66% |
Average DrawdownAverage peak-to-trough decline | -3.44% | -4.20% | +0.76% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.95% | 2.49% | -0.54% |
Volatility
AUEIX vs. SSSYX - Volatility Comparison
The current volatility for AQR Large Cap Defensive Style Fund (AUEIX) is 2.56%, while State Street Equity 500 Index Fund Class K (SSSYX) has a volatility of 4.24%. This indicates that AUEIX experiences smaller price fluctuations and is considered to be less risky than SSSYX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| AUEIX | SSSYX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.56% | 4.24% | -1.68% |
Volatility (6M)Calculated over the trailing 6-month period | 5.70% | 9.08% | -3.38% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.05% | 18.10% | -6.05% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 13.06% | 16.85% | -3.79% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 15.21% | 124.43% | -109.22% |