PortfoliosLab logo
QDSIX vs. EBSIX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between QDSIX and EBSIX is 0.38, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.


-0.50.00.51.00.4

Performance

QDSIX vs. EBSIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AQR Diversifying Strategies Fund (QDSIX) and Campbell Systematic Macro Fund Class I Shares (EBSIX). The values are adjusted to include any dividend payments, if applicable.

-2.00%0.00%2.00%4.00%6.00%8.00%SeptemberOctoberNovemberDecember2025February
8.66%
6.10%
QDSIX
EBSIX

Key characteristics

Sharpe Ratio

QDSIX:

2.21

EBSIX:

1.13

Sortino Ratio

QDSIX:

2.90

EBSIX:

1.58

Omega Ratio

QDSIX:

1.43

EBSIX:

1.20

Calmar Ratio

QDSIX:

1.88

EBSIX:

1.49

Martin Ratio

QDSIX:

6.22

EBSIX:

5.95

Ulcer Index

QDSIX:

2.08%

EBSIX:

1.77%

Daily Std Dev

QDSIX:

5.89%

EBSIX:

9.36%

Max Drawdown

QDSIX:

-7.06%

EBSIX:

-30.10%

Current Drawdown

QDSIX:

0.00%

EBSIX:

-1.76%

Returns By Period

In the year-to-date period, QDSIX achieves a 5.61% return, which is significantly higher than EBSIX's 3.07% return.


QDSIX

YTD

5.61%

1M

4.00%

6M

8.66%

1Y

12.96%

5Y*

N/A

10Y*

N/A

EBSIX

YTD

3.07%

1M

1.21%

6M

6.11%

1Y

10.17%

5Y*

9.37%

10Y*

3.90%

*Annualized

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


QDSIX vs. EBSIX - Expense Ratio Comparison

QDSIX has a 0.20% expense ratio, which is lower than EBSIX's 1.75% expense ratio.


Expense ratio chart for EBSIX: current value at 1.75% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.75%
Expense ratio chart for QDSIX: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%

Risk-Adjusted Performance

QDSIX vs. EBSIX — Risk-Adjusted Performance Rank

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

QDSIX
The Risk-Adjusted Performance Rank of QDSIX is 8686
Overall Rank
The Sharpe Ratio Rank of QDSIX is 9090
Sharpe Ratio Rank
The Sortino Ratio Rank of QDSIX is 8888
Sortino Ratio Rank
The Omega Ratio Rank of QDSIX is 8989
Omega Ratio Rank
The Calmar Ratio Rank of QDSIX is 8585
Calmar Ratio Rank
The Martin Ratio Rank of QDSIX is 7777
Martin Ratio Rank

EBSIX
The Risk-Adjusted Performance Rank of EBSIX is 6969
Overall Rank
The Sharpe Ratio Rank of EBSIX is 6464
Sharpe Ratio Rank
The Sortino Ratio Rank of EBSIX is 6464
Sortino Ratio Rank
The Omega Ratio Rank of EBSIX is 6262
Omega Ratio Rank
The Calmar Ratio Rank of EBSIX is 8080
Calmar Ratio Rank
The Martin Ratio Rank of EBSIX is 7575
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

QDSIX vs. EBSIX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for AQR Diversifying Strategies Fund (QDSIX) and Campbell Systematic Macro Fund Class I Shares (EBSIX). 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.


The chart of Sharpe ratio for QDSIX, currently valued at 2.21, compared to the broader market-1.000.001.002.003.004.002.211.13
The chart of Sortino ratio for QDSIX, currently valued at 2.90, compared to the broader market0.002.004.006.008.0010.0012.002.901.58
The chart of Omega ratio for QDSIX, currently valued at 1.43, compared to the broader market1.002.003.004.001.431.20
The chart of Calmar ratio for QDSIX, currently valued at 1.88, compared to the broader market0.005.0010.0015.001.881.49
The chart of Martin ratio for QDSIX, currently valued at 6.22, compared to the broader market0.0020.0040.0060.0080.006.225.95
QDSIX
EBSIX

The current QDSIX Sharpe Ratio is 2.21, which is higher than the EBSIX Sharpe Ratio of 1.13. The chart below compares the historical Sharpe Ratios of QDSIX and EBSIX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.000.501.001.502.002.50SeptemberOctoberNovemberDecember2025February
2.21
1.13
QDSIX
EBSIX

Dividends

QDSIX vs. EBSIX - Dividend Comparison

QDSIX's dividend yield for the trailing twelve months is around 3.04%, more than EBSIX's 1.52% yield.


TTM20242023202220212020201920182017201620152014
QDSIX
AQR Diversifying Strategies Fund
3.04%3.21%11.18%8.06%4.70%1.93%0.00%0.00%0.00%0.00%0.00%0.00%
EBSIX
Campbell Systematic Macro Fund Class I Shares
1.52%1.57%1.81%2.34%6.61%0.00%10.31%14.06%0.00%0.00%2.09%6.01%

Drawdowns

QDSIX vs. EBSIX - Drawdown Comparison

The maximum QDSIX drawdown since its inception was -7.06%, smaller than the maximum EBSIX drawdown of -30.10%. Use the drawdown chart below to compare losses from any high point for QDSIX and EBSIX. For additional features, visit the drawdowns tool.


-5.00%-4.00%-3.00%-2.00%-1.00%0.00%SeptemberOctoberNovemberDecember2025February0
-1.76%
QDSIX
EBSIX

Volatility

QDSIX vs. EBSIX - Volatility Comparison

The current volatility for AQR Diversifying Strategies Fund (QDSIX) is 1.38%, while Campbell Systematic Macro Fund Class I Shares (EBSIX) has a volatility of 2.70%. This indicates that QDSIX experiences smaller price fluctuations and is considered to be less risky than EBSIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%1.50%2.00%2.50%3.00%3.50%4.00%4.50%SeptemberOctoberNovemberDecember2025February
1.38%
2.70%
QDSIX
EBSIX