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EFA vs. QDSIX
Performance
Return for Risk
Drawdowns
Volatility
Dividends

EFA vs. QDSIX

Last updated Jun 14, 2026

EFA (iShares MSCI EAFE ETF) and QDSIX (AQR Diversifying Strategies Fund) are both funds - EFA is a Foreign Large Cap Equities fund tracking the MSCI EAFE Index (Net), while QDSIX is a Multistrategy fund managed by AQR Funds. Over the past 5 years, EFA returned 8.36%/yr vs 10.94%/yr for QDSIX. At a 0.23 correlation, their price movements are largely independent. EFA charges 0.32%/yr vs 0.20%/yr for QDSIX.

Performance

EFA vs. QDSIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in iShares MSCI EAFE ETF (EFA) and AQR Diversifying Strategies Fund (QDSIX). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, EFA achieves a 9.36% return, which is significantly higher than QDSIX's 5.00% return.

EFA

1D
0.28%
1M
1.51%
YTD
9.36%
6M
10.80%
1Y
21.90%
3Y*
16.14%
5Y*
8.36%
10Y*
9.84%

QDSIX

1D
0.34%
1M
-0.27%
YTD
5.00%
6M
6.36%
1Y
13.68%
3Y*
13.04%
5Y*
10.94%
10Y*
—
*Multi-year figures are annualized to reflect compound growth (CAGR)

EFA vs. QDSIX - Yearly Performance Comparison

2026 (YTD)202520242023202220212020
EFA
iShares MSCI EAFE ETF		9.36%31.55%3.49%18.36%-14.39%11.45%17.09%
QDSIX
AQR Diversifying Strategies Fund		5.00%16.36%9.71%8.88%14.69%10.64%5.50%

Correlation

The correlation between EFA and QDSIX is 0.41, which is low. Their price movements are largely independent, making them effective diversification partners.

Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

0.41

Correlation (3Y)
Calculated over the trailing 3-year period

0.33

Correlation (5Y)
Calculated over the trailing 5-year period

0.18

Correlation (All Time)
Calculated using the full available price history since Jun 10, 2020

0.23

The correlation between EFA and QDSIX shifts across timeframes, from 0.18 (5 years) to 0.41 (1 year), reflecting how their relationship changes across market environments.

Compare stocks, funds, or ETFs

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iShares MSCI EAFE ETF

AQR Diversifying Strategies Fund

Often compared with EFA:
EFA vs. IEFAEFA vs. VEAEFA vs. EFGEFA vs. XEF.TOEFA vs. EFAVEFA vs. IEUREFA vs. EFO
Often compared with QDSIX:
QDSIX vs. QSPIXQDSIX vs. EBSIXQDSIX vs. FSMSXQDSIX vs. SRDAXQDSIX vs. GFSYXQDSIX vs. BLNDXQDSIX vs. PSMIX

Return for Risk

EFA vs. QDSIX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
EFA
EFA Risk / Return Rank: 4242
Overall Rank
EFA Sharpe Ratio Rank: 4242
Sharpe Ratio Rank
EFA Sortino Ratio Rank: 4242
Sortino Ratio Rank
EFA Omega Ratio Rank: 4141
Omega Ratio Rank
EFA Calmar Ratio Rank: 4040
Calmar Ratio Rank
EFA Martin Ratio Rank: 4646
Martin Ratio Rank
QDSIX
QDSIX Risk / Return Rank: 9393
Overall Rank
QDSIX Sharpe Ratio Rank: 9393
Sharpe Ratio Rank
QDSIX Sortino Ratio Rank: 9191
Sortino Ratio Rank
QDSIX Omega Ratio Rank: 8787
Omega Ratio Rank
QDSIX Calmar Ratio Rank: 9898
Calmar Ratio Rank
QDSIX Martin Ratio Rank: 9696
Martin Ratio Rank
The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

EFA vs. QDSIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for iShares MSCI EAFE ETF (EFA) 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

EFAQDSIXDifference
Sharpe ratioReturn per unit of total volatility
1.31
2.74

-1.43

Sortino ratioReturn per unit of downside risk
1.91
4.05

-2.14

Omega ratioGain probability vs. loss probability

1.24

1.52

-0.28

Calmar ratioReturn relative to maximum drawdown

1.79

7.16

-5.37

Martin ratioReturn relative to average drawdown

6.67

20.24

-13.57

EFA vs. QDSIX - Sharpe Ratio Comparison

The current EFA Sharpe Ratio is 1.31, which is lower than the QDSIX Sharpe Ratio of 2.74. The chart below compares the historical Sharpe Ratios of EFA and QDSIX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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Drawdowns

EFA vs. QDSIX - Drawdown Comparison

The maximum EFA drawdown since its inception was -61.04%, which is greater than QDSIX's maximum drawdown of -7.06%. Use the drawdown chart below to compare losses from any high point for EFA and QDSIX.

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Drawdown Indicators

EFAQDSIXDifference

Max Drawdown

Largest peak-to-trough decline

-61.04%

-7.06%

-53.98%

Max Drawdown (1Y)

Largest decline over 1 year

-11.42%

-1.96%

-9.46%

Max Drawdown (3Y)

Largest decline over 3 years

-14.05%

-6.90%

-7.15%

Max Drawdown (5Y)

Largest decline over 5 years

-29.53%

-7.06%

-22.47%

Max Drawdown (10Y)

Largest decline over 10 years

-34.19%

—

—

Current Drawdown

Current decline from peak

-0.61%

-1.41%

+0.80%

Average Drawdown

Average peak-to-trough decline

-11.92%

-1.44%

-10.48%

Ulcer Index

Depth and duration of drawdowns from previous peaks

3.07%

0.69%

+2.38%

Volatility

EFA vs. QDSIX - Volatility Comparison

iShares MSCI EAFE ETF (EFA) has a higher volatility of 5.50% compared to AQR Diversifying Strategies Fund (QDSIX) at 1.73%. This indicates that EFA'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.

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Volatility by Period

EFAQDSIXDifference

Volatility (1M)

Calculated over the trailing 1-month period

5.50%

1.73%

+3.77%

Volatility (6M)

Calculated over the trailing 6-month period

13.19%

3.72%

+9.47%

Volatility (1Y)

Calculated over the trailing 1-year period

15.64%

5.11%

+10.53%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

16.58%

7.65%

+8.93%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

17.27%

7.32%

+9.95%

EFA vs. QDSIX - Expense Ratio Comparison

EFA has a 0.32% expense ratio, which is higher than QDSIX's 0.20% expense ratio.

Dividends

EFA vs. QDSIX - Dividend Comparison

EFA's dividend yield for the trailing twelve months is around 3.09%, more than QDSIX's 2.13% yield.

PositionTTM20252024202320222021202020192018201720162015
EFA
iShares MSCI EAFE ETF		3.09%3.38%3.24%2.98%2.69%3.33%2.13%3.10%3.39%2.57%3.07%2.76%
QDSIX
AQR Diversifying Strategies Fund		2.13%2.23%0.00%11.35%8.22%6.07%1.93%0.00%0.00%0.00%0.00%0.00%

Frequently Asked Questions

EFA and QDSIX have a correlation of 0.41, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

EFA has higher volatility (5.50%) compared to QDSIX (1.73%). In terms of maximum drawdown, EFA dropped -61.04% vs QDSIX's -7.06%.

QDSIX currently has the higher Sharpe Ratio (2.74 vs 1.31), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.

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