QCELX vs. AUEIX
Compare and contrast key facts about AQR Large Cap Multi-Style Fund (QCELX) and AQR Large Cap Defensive Style Fund (AUEIX).
QCELX is managed by AQR Funds. It was launched on Mar 26, 2013. AUEIX is managed by AQR Funds. It was launched on Jul 9, 2012.
Performance
QCELX vs. AUEIX - Performance Comparison
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QCELX vs. AUEIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
QCELX AQR Large Cap Multi-Style Fund | -0.05% | 23.38% | 22.73% | 26.30% | -15.73% | 27.18% | 14.93% | 24.33% | -10.96% | 22.73% |
AUEIX AQR Large Cap Defensive Style Fund | 1.76% | 6.95% | 13.85% | 9.49% | -13.81% | 23.52% | 13.10% | 28.63% | -0.27% | 22.14% |
Returns By Period
In the year-to-date period, QCELX achieves a -0.05% return, which is significantly lower than AUEIX's 1.76% return. Over the past 10 years, QCELX has outperformed AUEIX with an annualized return of 13.18%, while AUEIX has yielded a comparatively lower 10.56% annualized return.
QCELX
- 1D
- 2.92%
- 1M
- -4.33%
- YTD
- -0.05%
- 6M
- 2.88%
- 1Y
- 28.05%
- 3Y*
- 21.93%
- 5Y*
- 13.20%
- 10Y*
- 13.18%
AUEIX
- 1D
- 0.96%
- 1M
- -4.32%
- YTD
- 1.76%
- 6M
- -0.28%
- 1Y
- 3.95%
- 3Y*
- 10.04%
- 5Y*
- 6.77%
- 10Y*
- 10.56%
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QCELX vs. AUEIX - Expense Ratio Comparison
QCELX has a 0.41% expense ratio, which is higher than AUEIX's 0.37% expense ratio.
Return for Risk
QCELX vs. AUEIX — Risk / Return Rank
QCELX
AUEIX
QCELX vs. AUEIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Large Cap Multi-Style Fund (QCELX) 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.
| QCELX | AUEIX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.55 | 0.34 | +1.22 |
Sortino ratioReturn per unit of downside risk | 2.26 | 0.56 | +1.70 |
Omega ratioGain probability vs. loss probability | 1.34 | 1.08 | +0.26 |
Calmar ratioReturn relative to maximum drawdown | 2.52 | 0.55 | +1.97 |
Martin ratioReturn relative to average drawdown | 12.59 | 2.51 | +10.08 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| QCELX | AUEIX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.55 | 0.34 | +1.22 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.70 | 0.52 | +0.18 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.70 | 0.70 | 0.00 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.64 | 0.84 | -0.19 |
Correlation
The correlation between QCELX and AUEIX is 0.87, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Dividends
QCELX vs. AUEIX - Dividend Comparison
QCELX's dividend yield for the trailing twelve months is around 14.41%, less than AUEIX's 22.31% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
QCELX AQR Large Cap Multi-Style Fund | 14.41% | 14.40% | 12.89% | 13.67% | 11.05% | 12.41% | 9.94% | 5.36% | 7.81% | 0.99% | 1.28% | 0.89% |
AUEIX AQR Large Cap Defensive Style Fund | 22.31% | 22.70% | 24.31% | 24.28% | 10.26% | 2.54% | 1.29% | 1.12% | 1.67% | 2.36% | 1.99% | 6.18% |
Drawdowns
QCELX vs. AUEIX - Drawdown Comparison
The maximum QCELX drawdown since its inception was -33.52%, which is greater than AUEIX's maximum drawdown of -30.82%. Use the drawdown chart below to compare losses from any high point for QCELX and AUEIX.
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Drawdown Indicators
| QCELX | AUEIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -33.52% | -30.82% | -2.70% |
Max Drawdown (1Y)Largest decline over 1 year | -11.68% | -8.94% | -2.74% |
Max Drawdown (5Y)Largest decline over 5 years | -28.70% | -22.08% | -6.62% |
Max Drawdown (10Y)Largest decline over 10 years | -33.52% | -30.82% | -2.70% |
Current DrawdownCurrent decline from peak | -5.23% | -4.32% | -0.91% |
Average DrawdownAverage peak-to-trough decline | -5.73% | -3.44% | -2.29% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.34% | 1.96% | +0.38% |
Volatility
QCELX vs. AUEIX - Volatility Comparison
AQR Large Cap Multi-Style Fund (QCELX) has a higher volatility of 5.33% compared to AQR Large Cap Defensive Style Fund (AUEIX) at 2.79%. This indicates that QCELX'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
| QCELX | AUEIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.33% | 2.79% | +2.54% |
Volatility (6M)Calculated over the trailing 6-month period | 10.27% | 5.78% | +4.49% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.73% | 12.06% | +6.67% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 18.96% | 13.07% | +5.89% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 18.96% | 15.21% | +3.75% |