ESGIX vs. AUEIX

Last updated Jun 4, 2026

ESGIX (Dana Epiphany ESG Equity Fund) and AUEIX (AQR Large Cap Defensive Style Fund) are both Large Cap Blend Equities funds. Over the past 5 years, ESGIX returned 9.42%/yr vs 6.90%/yr for AUEIX. Their correlation of 0.85 suggests significant overlap in exposure. ESGIX charges 1.12%/yr vs 0.37%/yr for AUEIX.

Performance

ESGIX vs. AUEIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Dana Epiphany ESG Equity Fund (ESGIX) and AQR Large Cap Defensive Style Fund (AUEIX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, ESGIX achieves a 10.96% return, which is significantly higher than AUEIX's 7.03% return.

ESGIX

• 1D: 0.05%
• 1M: 5.01%
• YTD: 10.96%
• 6M: 10.33%
• 1Y: 27.18%
• 3Y*: 18.39%
• 5Y*: 9.42%
• 10Y*: —

AUEIX

• 1D: 0.00%
• 1M: 2.77%
• YTD: 7.03%
• 6M: 6.47%
• 1Y: 8.16%
• 3Y*: 11.85%
• 5Y*: 6.90%
• 10Y*: 11.02%

*Multi-year figures are annualized to reflect compound growth (CAGR)

ESGIX vs. AUEIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018
ESGIX Dana Epiphany ESG Equity Fund	10.96%	16.41%	17.86%	14.91%	-18.78%	25.81%	13.86%	29.17%	1.49%
AUEIX AQR Large Cap Defensive Style Fund	7.03%	6.95%	13.85%	9.49%	-13.81%	23.52%	13.10%	28.63%	1.52%

Correlation

The correlation between ESGIX and AUEIX is 0.62, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.62
Correlation (3Y) Calculated over the trailing 3-year period	0.69
Correlation (5Y) Calculated over the trailing 5-year period	0.81
Correlation (All Time) Calculated using the full available price history since Dec 21, 2018	0.85

Over the past year, the correlation between ESGIX and AUEIX has dropped to 0.62 - well below their long-term average of 0.85, suggesting their price drivers have been diverging.

Return for Risk

ESGIX vs. AUEIX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

ESGIX

ESGIX Risk / Return Rank: 56
ESGIX Sharpe Ratio Rank: 55
ESGIX Sortino Ratio Rank: 50
ESGIX Omega Ratio Rank: 49
ESGIX Calmar Ratio Rank: 61
ESGIX Martin Ratio Rank: 64

AUEIX

AUEIX Risk / Return Rank: 15
AUEIX Sharpe Ratio Rank: 14
AUEIX Sortino Ratio Rank: 14
AUEIX Omega Ratio Rank: 13
AUEIX Calmar Ratio Rank: 16
AUEIX Martin Ratio Rank: 17

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.

ESGIX vs. AUEIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Dana Epiphany ESG Equity Fund (ESGIX) and AQR Large Cap Defensive Style Fund (AUEIX). 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.

	ESGIX	AUEIX	Difference
Sharpe ratio: Return per unit of total volatility	2.18	1.05	+1.13
Sortino ratio: Return per unit of downside risk	3.00	1.55	+1.45
Omega ratio: Gain probability vs. loss probability	1.38	1.18	+0.20
Calmar ratio: Return relative to maximum drawdown	2.99	1.40	+1.59
Martin ratio: Return relative to average drawdown	12.61	4.69	+7.92
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

ESGIX vs. AUEIX - Sharpe Ratio Comparison

The current ESGIX Sharpe Ratio is 2.18, which is higher than the AUEIX Sharpe Ratio of 1.05. The chart below compares the historical Sharpe Ratios of ESGIX and AUEIX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	ESGIX	AUEIX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.18	1.05	+1.13
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.54	0.53	+0.01
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.73	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.70	0.86	-0.16

Drawdowns

ESGIX vs. AUEIX - Drawdown Comparison

The maximum ESGIX drawdown since its inception was -36.04%, which is greater than AUEIX's maximum drawdown of -30.82%. Use the drawdown chart below to compare losses from any high point for ESGIX and AUEIX.

Drawdown Indicators

	ESGIX	AUEIX	Difference
Max Drawdown Largest peak-to-trough decline	-36.04%	-30.82%	-5.22%
Max Drawdown (1Y) Largest decline over 1 year	-9.40%	-5.91%	-3.49%
Max Drawdown (3Y) Largest decline over 3 years	-21.36%	-10.27%	-11.09%
Max Drawdown (5Y) Largest decline over 5 years	-25.01%	-22.08%	-2.93%
Max Drawdown (10Y) Largest decline over 10 years	—	-30.82%	—
Current Drawdown Current decline from peak	0.00%	0.00%	0.00%
Average Drawdown Average peak-to-trough decline	-6.16%	-3.42%	-2.74%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.23%	1.77%	+0.46%

Volatility

ESGIX vs. AUEIX - Volatility Comparison

Dana Epiphany ESG Equity Fund (ESGIX) has a higher volatility of 3.04% compared to AQR Large Cap Defensive Style Fund (AUEIX) at 1.90%. This indicates that ESGIX's price experiences larger fluctuations and is considered to be riskier than AUEIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	ESGIX	AUEIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.04%	1.90%	+1.14%
Volatility (6M) Calculated over the trailing 6-month period	9.52%	5.60%	+3.92%
Volatility (1Y) Calculated over the trailing 1-year period	12.93%	7.91%	+5.02%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.56%	12.99%	+4.57%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	20.18%	15.19%	+4.99%

ESGIX vs. AUEIX - Expense Ratio Comparison

ESGIX has a 1.12% expense ratio, which is higher than AUEIX's 0.37% expense ratio.

Dividends

ESGIX vs. AUEIX - Dividend Comparison

ESGIX's dividend yield for the trailing twelve months is around 6.12%, less than AUEIX's 21.21% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
AUEIX AQR Large Cap Defensive Style Fund	21.21%	22.70%	24.31%	24.28%	10.26%	2.54%	1.29%	1.12%	1.67%	2.36%	1.99%	6.18%
ESGIX Dana Epiphany ESG Equity Fund	6.12%	6.78%	0.33%	0.76%	1.09%	1.81%	2.08%	18.54%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both ESGIX and AUEIX in my portfolio?

ESGIX and AUEIX have a correlation of 0.62, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ESGIX or AUEIX?

ESGIX has higher volatility (3.04%) compared to AUEIX (1.90%). In terms of maximum drawdown, ESGIX dropped -36.04% vs AUEIX's -30.82%.

Which has better risk-adjusted returns?

ESGIX currently has the higher Sharpe Ratio (2.18 vs 1.05), 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.