AUEIX vs. SVPFX
Compare and contrast key facts about AQR Large Cap Defensive Style Fund (AUEIX) and Goldman Sachs Strategic Volatility Premium Fund (SVPFX).
AUEIX is managed by AQR Funds. It was launched on Jul 9, 2012. SVPFX is managed by Goldman Sachs. It was launched on Mar 28, 2021.
Performance
AUEIX vs. SVPFX - Performance Comparison
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AUEIX vs. SVPFX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | |
|---|---|---|---|---|---|---|
AUEIX AQR Large Cap Defensive Style Fund | 0.79% | 6.95% | 13.85% | 9.49% | -13.81% | 17.33% |
SVPFX Goldman Sachs Strategic Volatility Premium Fund | 0.87% | 4.19% | 3.82% | 5.30% | -4.37% | 0.78% |
Returns By Period
In the year-to-date period, AUEIX achieves a 0.79% return, which is significantly lower than SVPFX's 0.87% 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%
SVPFX
- 1D
- 0.36%
- 1M
- -0.45%
- YTD
- 0.87%
- 6M
- 2.58%
- 1Y
- 3.47%
- 3Y*
- 4.08%
- 5Y*
- —
- 10Y*
- —
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AUEIX vs. SVPFX - Expense Ratio Comparison
AUEIX has a 0.37% expense ratio, which is lower than SVPFX's 0.38% expense ratio.
Return for Risk
AUEIX vs. SVPFX — Risk / Return Rank
AUEIX
SVPFX
AUEIX vs. SVPFX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Large Cap Defensive Style Fund (AUEIX) and Goldman Sachs Strategic Volatility Premium Fund (SVPFX). 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 | SVPFX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.33 | 0.44 | -0.11 |
Sortino ratioReturn per unit of downside risk | 0.54 | 0.61 | -0.07 |
Omega ratioGain probability vs. loss probability | 1.08 | 1.18 | -0.11 |
Calmar ratioReturn relative to maximum drawdown | 0.34 | 0.57 | -0.24 |
Martin ratioReturn relative to average drawdown | 1.55 | 3.10 | -1.55 |
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 | SVPFX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.33 | 0.44 | -0.11 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.52 | — | — |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.69 | — | — |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.83 | 0.38 | +0.46 |
Correlation
The correlation between AUEIX and SVPFX is 0.12, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Dividends
AUEIX vs. SVPFX - Dividend Comparison
AUEIX's dividend yield for the trailing twelve months is around 22.52%, more than SVPFX's 2.49% 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% |
SVPFX Goldman Sachs Strategic Volatility Premium Fund | 2.49% | 1.83% | 4.37% | 4.29% | 0.76% | 0.38% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
AUEIX vs. SVPFX - Drawdown Comparison
The maximum AUEIX drawdown since its inception was -30.82%, which is greater than SVPFX's maximum drawdown of -6.37%. Use the drawdown chart below to compare losses from any high point for AUEIX and SVPFX.
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Drawdown Indicators
| AUEIX | SVPFX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -30.82% | -6.37% | -24.45% |
Max Drawdown (1Y)Largest decline over 1 year | -8.94% | -5.22% | -3.72% |
Max Drawdown (5Y)Largest decline over 5 years | -22.08% | — | — |
Max Drawdown (10Y)Largest decline over 10 years | -30.82% | — | — |
Current DrawdownCurrent decline from peak | -5.22% | -0.45% | -4.77% |
Average DrawdownAverage peak-to-trough decline | -3.44% | -1.99% | -1.45% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.95% | 0.98% | +0.97% |
Volatility
AUEIX vs. SVPFX - Volatility Comparison
AQR Large Cap Defensive Style Fund (AUEIX) has a higher volatility of 2.56% compared to Goldman Sachs Strategic Volatility Premium Fund (SVPFX) at 0.87%. This indicates that AUEIX's price experiences larger fluctuations and is considered to be riskier than SVPFX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| AUEIX | SVPFX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.56% | 0.87% | +1.69% |
Volatility (6M)Calculated over the trailing 6-month period | 5.70% | 1.37% | +4.33% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.05% | 8.02% | +4.03% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 13.06% | 5.60% | +7.46% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 15.21% | 5.60% | +9.61% |