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EBSIX vs. QDSIX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

EBSIX vs. QDSIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Campbell Systematic Macro Fund Class I Shares (EBSIX) and AQR Diversifying Strategies Fund (QDSIX). The values are adjusted to include any dividend payments, if applicable.

-6.00%-4.00%-2.00%0.00%2.00%4.00%6.00%JuneJulyAugustSeptemberOctoberNovember
0.74%
-0.55%
EBSIX
QDSIX

Returns By Period

In the year-to-date period, EBSIX achieves a 6.33% return, which is significantly lower than QDSIX's 12.39% return.


EBSIX

YTD

6.33%

1M

-1.44%

6M

0.74%

1Y

3.46%

5Y (annualized)

8.58%

10Y (annualized)

4.29%

QDSIX

YTD

12.39%

1M

2.19%

6M

-0.55%

1Y

0.32%

5Y (annualized)

N/A

10Y (annualized)

N/A

Key characteristics


EBSIXQDSIX
Sharpe Ratio0.350.03
Sortino Ratio0.530.09
Omega Ratio1.071.03
Calmar Ratio0.320.03
Martin Ratio1.550.07
Ulcer Index2.24%4.33%
Daily Std Dev9.80%11.62%
Max Drawdown-30.10%-11.30%
Current Drawdown-4.78%-1.18%

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EBSIX vs. QDSIX - Expense Ratio Comparison

EBSIX has a 1.75% expense ratio, which is higher than QDSIX's 0.20% expense ratio.


EBSIX
Campbell Systematic Macro Fund Class I Shares
Expense ratio chart for EBSIX: current value at 1.75% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.75%
Expense ratio chart for QDSIX: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%

Correlation

-0.50.00.51.00.4

The correlation between EBSIX and QDSIX is 0.37, 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.

Risk-Adjusted Performance

EBSIX vs. QDSIX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Campbell Systematic Macro Fund Class I Shares (EBSIX) and AQR Diversifying Strategies Fund (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.


Sharpe ratio
The chart of Sharpe ratio for EBSIX, currently valued at 0.35, compared to the broader market-1.000.001.002.003.004.005.000.350.03
The chart of Sortino ratio for EBSIX, currently valued at 0.53, compared to the broader market0.005.0010.000.530.09
The chart of Omega ratio for EBSIX, currently valued at 1.07, compared to the broader market1.002.003.004.001.071.03
The chart of Calmar ratio for EBSIX, currently valued at 0.32, compared to the broader market0.005.0010.0015.0020.000.320.03
The chart of Martin ratio for EBSIX, currently valued at 1.55, compared to the broader market0.0020.0040.0060.0080.00100.001.550.07
EBSIX
QDSIX

The current EBSIX Sharpe Ratio is 0.35, which is higher than the QDSIX Sharpe Ratio of 0.03. The chart below compares the historical Sharpe Ratios of EBSIX and QDSIX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Rolling 12-month Sharpe Ratio0.000.501.00JuneJulyAugustSeptemberOctoberNovember
0.35
0.03
EBSIX
QDSIX

Dividends

EBSIX vs. QDSIX - Dividend Comparison

EBSIX has not paid dividends to shareholders, while QDSIX's dividend yield for the trailing twelve months is around 9.94%.


TTM2023202220212020201920182017201620152014
EBSIX
Campbell Systematic Macro Fund Class I Shares
0.00%1.81%2.34%6.61%0.00%10.31%14.06%0.00%0.00%2.09%6.01%
QDSIX
AQR Diversifying Strategies Fund
9.94%11.18%8.06%4.70%1.93%0.00%0.00%0.00%0.00%0.00%0.00%

Drawdowns

EBSIX vs. QDSIX - Drawdown Comparison

The maximum EBSIX drawdown since its inception was -30.10%, which is greater than QDSIX's maximum drawdown of -11.30%. Use the drawdown chart below to compare losses from any high point for EBSIX and QDSIX. For additional features, visit the drawdowns tool.


-7.00%-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-4.78%
-1.18%
EBSIX
QDSIX

Volatility

EBSIX vs. QDSIX - Volatility Comparison

Campbell Systematic Macro Fund Class I Shares (EBSIX) has a higher volatility of 4.20% compared to AQR Diversifying Strategies Fund (QDSIX) at 1.47%. This indicates that EBSIX's price experiences larger fluctuations and is considered to be riskier than QDSIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%1.50%2.00%2.50%3.00%3.50%4.00%4.50%JuneJulyAugustSeptemberOctoberNovember
4.20%
1.47%
EBSIX
QDSIX