EBSIX vs. QDSIX
Compare and contrast key facts about Campbell Systematic Macro Fund Class I Shares (EBSIX) and AQR Diversifying Strategies Fund (QDSIX).
EBSIX is managed by Campbell & Company. It was launched on Mar 4, 2013. QDSIX is managed by AQR Funds. It was launched on Jun 7, 2020.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: EBSIX or QDSIX.
Key characteristics
| EBSIX | QDSIX | |
|---|---|---|
| YTD Return | 8.44% | 11.23% |
| 1Y Return | 4.33% | 0.48% |
| 3Y Return (Ann) | 10.86% | 8.03% |
| Sharpe Ratio | 0.57 | 0.03 |
| Sortino Ratio | 0.84 | 0.10 |
| Omega Ratio | 1.11 | 1.03 |
| Calmar Ratio | 0.49 | 0.04 |
| Martin Ratio | 2.38 | 0.09 |
| Ulcer Index | 2.24% | 4.31% |
| Daily Std Dev | 9.32% | 11.67% |
| Max Drawdown | -30.10% | -11.30% |
| Current Drawdown | -2.89% | -2.19% |
Correlation
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.
Performance
EBSIX vs. QDSIX - Performance Comparison
In the year-to-date period, EBSIX achieves a 8.44% return, which is significantly lower than QDSIX's 11.23% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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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.
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.
Dividends
EBSIX vs. QDSIX - Dividend Comparison
EBSIX's dividend yield for the trailing twelve months is around 1.67%, less than QDSIX's 10.05% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|
EBSIX Campbell Systematic Macro Fund Class I Shares | 1.67% | 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 | 10.05% | 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.
Volatility
EBSIX vs. QDSIX - Volatility Comparison
Campbell Systematic Macro Fund Class I Shares (EBSIX) has a higher volatility of 2.52% compared to AQR Diversifying Strategies Fund (QDSIX) at 1.54%. 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.