NCGFX vs. AUEIX
NCGFX (New Covenant Growth Fund) and AUEIX (AQR Large Cap Defensive Style Fund) are both Large Cap Blend Equities funds. Over the past 10 years, NCGFX returned 13.30%/yr vs 10.72%/yr for AUEIX. Their correlation of 0.87 means they have usually moved in the same direction. NCGFX charges 0.97%/yr vs 0.37%/yr for AUEIX.
Performance
NCGFX vs. AUEIX - Performance Comparison
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Returns By Period
In the year-to-date period, NCGFX achieves a 9.17% return, which is significantly higher than AUEIX's 7.82% return. Over the past 10 years, NCGFX has outperformed AUEIX with an annualized return of 13.30%, while AUEIX has yielded a comparatively lower 10.72% annualized return.
NCGFX
- 1D
- 1.68%
- 1M
- -1.01%
- 6M
- 7.63%
- YTD
- 9.17%
- 1Y
- 20.10%
- 3Y*
- 17.23%
- 5Y*
- 9.93%
- 10Y*
- 13.30%
- ALL TIME*
- 6.91%
AUEIX
- 1D
- 0.58%
- 1M
- 1.28%
- 6M
- 4.68%
- YTD
- 7.82%
- 1Y
- 10.25%
- 3Y*
- 10.69%
- 5Y*
- 5.93%
- 10Y*
- 10.72%
- ALL TIME*
- 12.09%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $0.00 | $0.00 | $0.00 |
NCGFX vs. AUEIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
NCGFX New Covenant Growth Fund | 9.17% | 15.84% | 22.15% | 25.24% | -19.62% | 20.69% | 20.25% | 30.23% | -6.07% | 21.60% |
AUEIX AQR Large Cap Defensive Style Fund | 7.82% | 6.95% | 13.85% | 9.49% | -13.81% | 23.52% | 13.10% | 28.63% | -0.27% | 22.14% |
Correlation
The correlation between NCGFX and AUEIX is 0.65, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.65 |
Correlation (3Y) Balances recent behavior with more history. | 0.68 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.80 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.85 |
Correlation (All Time) Calculated using the full available price history since Jul 9, 2012 | 0.87 |
Over the past year, the correlation between NCGFX and AUEIX has dropped to 0.65 - well below their long-term average of 0.87, suggesting their price drivers have been diverging.
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Return for Risk
NCGFX vs. AUEIX — Risk / Return Rank
NCGFX
AUEIX
NCGFX vs. AUEIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for New Covenant Growth Fund (NCGFX) 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.
| NCGFX | AUEIX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.29 | ||
| Sortino ratioReturn per unit of downside risk | +0.37 | ||
| Omega ratioGain probability vs. loss probability | 1.24 | 1.19 | +0.05 |
| Calmar ratioReturn relative to maximum drawdown | 1.90 | 1.45 | +0.44 |
| Martin ratioReturn relative to average drawdown | 8.07 | 4.81 | +3.26 |
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Drawdowns
NCGFX vs. AUEIX - Drawdown Comparison
The maximum NCGFX drawdown since its inception was -55.18%, which is greater than AUEIX's maximum drawdown of -30.82%. Use the drawdown chart below to compare losses from any high point for NCGFX and AUEIX.
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Drawdown Indicators
| NCGFX | AUEIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -55.18% | -30.82% | -24.36% |
Max Drawdown (1Y)Largest decline over 1 year | -9.31% | -5.91% | -3.40% |
Max Drawdown (3Y)Largest decline over 3 years | -25.32% | -10.27% | -15.05% |
Max Drawdown (5Y)Largest decline over 5 years | -28.10% | -22.08% | -6.02% |
Max Drawdown (10Y)Largest decline over 10 years | -34.28% | -30.82% | -3.46% |
Current DrawdownCurrent decline from peak | -1.98% | -0.31% | -1.67% |
Average DrawdownAverage peak-to-trough decline | -11.41% | -3.39% | -8.02% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.19% | 1.78% | +0.41% |
Volatility
NCGFX vs. AUEIX - Volatility Comparison
New Covenant Growth Fund (NCGFX) has a higher volatility of 3.46% compared to AQR Large Cap Defensive Style Fund (AUEIX) at 1.82%. This indicates that NCGFX'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.
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Volatility by Period
| NCGFX | AUEIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.46% | 1.82% | +1.64% |
Volatility (6M)Calculated over the trailing 6-month period | 10.36% | 6.22% | +4.14% |
Volatility (1Y)Calculated over the trailing 1-year period | 13.21% | 8.23% | +4.98% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 18.62% | 13.00% | +5.62% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 18.95% | 15.17% | +3.78% |
NCGFX vs. AUEIX - Expense Ratio Comparison
NCGFX has a 0.97% expense ratio, which is higher than AUEIX's 0.37% expense ratio.
Dividends
NCGFX vs. AUEIX - Dividend Comparison
NCGFX's dividend yield for the trailing twelve months is around 8.87%, less than AUEIX's 21.05% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
AUEIX AQR Large Cap Defensive Style Fund | 21.05% | 22.70% | 24.31% | 24.28% | 10.26% | 2.54% | 1.29% | 1.12% | 1.67% | 2.36% | 1.99% | 6.18% |
NCGFX New Covenant Growth Fund | 8.87% | 9.67% | 10.12% | 6.81% | 1.61% | 1.45% | 4.07% | 5.55% | 8.44% | 6.54% | 0.66% | 7.83% |
Frequently Asked Questions
NCGFX and AUEIX have a correlation of 0.65, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
NCGFX has higher volatility (3.46%) compared to AUEIX (1.82%). In terms of maximum drawdown, NCGFX dropped -55.18% vs AUEIX's -30.82%.
NCGFX currently has the higher Sharpe Ratio (1.34 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.
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