QDSIX vs. EBSIX
Compare and contrast key facts about AQR Diversifying Strategies Fund (QDSIX) and Campbell Systematic Macro Fund Class I Shares (EBSIX).
QDSIX is managed by AQR Funds. It was launched on Jun 7, 2020. EBSIX is managed by Campbell & Company. It was launched on Mar 4, 2013.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: QDSIX or EBSIX.
Key characteristics
| QDSIX | EBSIX | |
|---|---|---|
| YTD Return | 11.14% | 9.56% |
| 1Y Return | -0.40% | 6.75% |
| 3Y Return (Ann) | 7.91% | 10.74% |
| Sharpe Ratio | -0.08 | 0.59 |
| Sortino Ratio | -0.02 | 0.87 |
| Omega Ratio | 0.99 | 1.11 |
| Calmar Ratio | -0.08 | 0.50 |
| Martin Ratio | -0.22 | 2.61 |
| Ulcer Index | 4.32% | 2.12% |
| Daily Std Dev | 11.63% | 9.30% |
| Max Drawdown | -11.30% | -30.10% |
| Current Drawdown | -2.27% | -1.89% |
Correlation
The correlation between QDSIX and EBSIX is 0.37, 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.
Performance
QDSIX vs. EBSIX - Performance Comparison
In the year-to-date period, QDSIX achieves a 11.14% return, which is significantly higher than EBSIX's 9.56% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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QDSIX vs. EBSIX - Expense Ratio Comparison
QDSIX has a 0.20% expense ratio, which is lower than EBSIX's 1.75% expense ratio.
Risk-Adjusted Performance
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.
Dividends
QDSIX vs. EBSIX - Dividend Comparison
QDSIX's dividend yield for the trailing twelve months is around 10.06%, more than EBSIX's 1.65% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|
QDSIX AQR Diversifying Strategies Fund | 10.06% | 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 | 0.00% | 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 -11.30%, 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.
Volatility
QDSIX vs. EBSIX - Volatility Comparison
The current volatility for AQR Diversifying Strategies Fund (QDSIX) is 1.57%, while Campbell Systematic Macro Fund Class I Shares (EBSIX) has a volatility of 2.49%. 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.