MXEBX vs. AUEIX

Last updated Jun 23, 2026

MXEBX (Great-West Core Strategies: U.S. Equity Fund) and AUEIX (AQR Large Cap Defensive Style Fund) are both Large Cap Blend Equities funds. Over the past 5 years, MXEBX returned 12.89%/yr vs 6.79%/yr for AUEIX. A 0.79 correlation means they provide meaningful diversification when combined. MXEBX charges 0.55%/yr vs 0.37%/yr for AUEIX.

Performance

MXEBX vs. AUEIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Great-West Core Strategies: U.S. Equity Fund (MXEBX) 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, MXEBX achieves a 11.80% return, which is significantly higher than AUEIX's 5.72% return.

MXEBX

• 1D: 1.06%
• 1M: 1.98%
• YTD: 11.80%
• 6M: 10.84%
• 1Y: 27.37%
• 3Y*: 19.70%
• 5Y*: 12.89%
• 10Y*: —

AUEIX

• 1D: 0.43%
• 1M: -0.27%
• YTD: 5.72%
• 6M: 4.77%
• 1Y: 8.26%
• 3Y*: 10.69%
• 5Y*: 6.79%
• 10Y*: 10.90%

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

MXEBX vs. AUEIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018
MXEBX Great-West Core Strategies: U.S. Equity Fund	11.80%	15.39%	21.55%	23.27%	-15.57%	26.53%	16.92%	30.28%	-14.15%
AUEIX AQR Large Cap Defensive Style Fund	5.72%	6.95%	13.85%	9.49%	-13.81%	23.52%	13.10%	28.63%	-5.10%

Correlation

The correlation between MXEBX and AUEIX is 0.60, 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	0.60
Correlation (3Y) Calculated over the trailing 3-year period	0.62
Correlation (5Y) Calculated over the trailing 5-year period	0.74
Correlation (All Time) Calculated using the full available price history since Jul 10, 2018	0.79

The correlation between MXEBX and AUEIX shifts across timeframes, from 0.60 (1 year) to 0.79 (all time), reflecting how their relationship changes across market environments.

Return for Risk

MXEBX vs. AUEIX — Risk / Return Rank

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

MXEBX

MXEBX Risk / Return Rank: 74
MXEBX Sharpe Ratio Rank: 75
MXEBX Sortino Ratio Rank: 69
MXEBX Omega Ratio Rank: 68
MXEBX Calmar Ratio Rank: 76
MXEBX Martin Ratio Rank: 81

AUEIX

AUEIX Risk / Return Rank: 16
AUEIX Sharpe Ratio Rank: 14
AUEIX Sortino Ratio Rank: 14
AUEIX Omega Ratio Rank: 13
AUEIX Calmar Ratio Rank: 17
AUEIX Martin Ratio Rank: 20

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.

MXEBX vs. AUEIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Great-West Core Strategies: U.S. Equity Fund (MXEBX) 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.

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.

	MXEBX	AUEIX	Difference
Sharpe ratio: Return per unit of total volatility	2.31	1.00	+1.31
Sortino ratio: Return per unit of downside risk	3.16	1.45	+1.71
Omega ratio: Gain probability vs. loss probability	1.42	1.18	+0.24
Calmar ratio: Return relative to maximum drawdown	3.25	1.41	+1.84
Martin ratio: Return relative to average drawdown	13.92	4.67	+9.26

MXEBX vs. AUEIX - Sharpe Ratio Comparison

The current MXEBX Sharpe Ratio is 2.31, which is higher than the AUEIX Sharpe Ratio of 1.00. The chart below compares the historical Sharpe Ratios of MXEBX 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.

Drawdowns

MXEBX vs. AUEIX - Drawdown Comparison

The maximum MXEBX drawdown since its inception was -35.75%, which is greater than AUEIX's maximum drawdown of -30.82%. Use the drawdown chart below to compare losses from any high point for MXEBX and AUEIX.

Drawdown Indicators

	MXEBX	AUEIX	Difference
Max Drawdown Largest peak-to-trough decline	-35.75%	-30.82%	-4.93%
Max Drawdown (1Y) Largest decline over 1 year	-8.78%	-5.91%	-2.87%
Max Drawdown (3Y) Largest decline over 3 years	-18.77%	-10.27%	-8.50%
Max Drawdown (5Y) Largest decline over 5 years	-22.94%	-22.08%	-0.86%
Max Drawdown (10Y) Largest decline over 10 years	—	-30.82%	—
Current Drawdown Current decline from peak	-0.42%	-1.32%	+0.90%
Average Drawdown Average peak-to-trough decline	-5.16%	-3.41%	-1.75%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.01%	1.78%	+0.23%

Volatility

MXEBX vs. AUEIX - Volatility Comparison

Great-West Core Strategies: U.S. Equity Fund (MXEBX) has a higher volatility of 4.40% compared to AQR Large Cap Defensive Style Fund (AUEIX) at 3.42%. This indicates that MXEBX'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

	MXEBX	AUEIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.40%	3.42%	+0.98%
Volatility (6M) Calculated over the trailing 6-month period	9.64%	6.24%	+3.40%
Volatility (1Y) Calculated over the trailing 1-year period	12.35%	8.38%	+3.97%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.99%	13.04%	+3.95%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	19.79%	15.22%	+4.57%

MXEBX vs. AUEIX - Expense Ratio Comparison

MXEBX has a 0.55% expense ratio, which is higher than AUEIX's 0.37% expense ratio.

Dividends

MXEBX vs. AUEIX - Dividend Comparison

MXEBX's dividend yield for the trailing twelve months is around 4.69%, less than AUEIX's 21.47% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
AUEIX AQR Large Cap Defensive Style Fund	21.47%	22.70%	24.31%	24.28%	10.26%	2.54%	1.29%	1.12%	1.67%	2.36%	1.99%	6.18%
MXEBX Great-West Core Strategies: U.S. Equity Fund	4.69%	5.24%	8.63%	4.31%	7.75%	10.25%	0.50%	1.95%	0.62%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both MXEBX and AUEIX in my portfolio?

MXEBX and AUEIX have a correlation of 0.60, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, MXEBX or AUEIX?

MXEBX has higher volatility (4.40%) compared to AUEIX (3.42%). In terms of maximum drawdown, MXEBX dropped -35.75% vs AUEIX's -30.82%.

Which has better risk-adjusted returns?

MXEBX currently has the higher Sharpe Ratio (2.31 vs 1.00), 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.