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QDSIX vs. EFA
Performance
Return for Risk
Drawdowns
Volatility
Dividends

QDSIX vs. EFA

Last updated Jun 13, 2026

QDSIX (AQR Diversifying Strategies Fund) and EFA (iShares MSCI EAFE ETF) are both funds - QDSIX is a Multistrategy fund managed by AQR Funds, while EFA is a Foreign Large Cap Equities fund tracking the MSCI EAFE Index (Net). Over the past 5 years, QDSIX returned 10.94%/yr vs 8.36%/yr for EFA. At a 0.23 correlation, their price movements are largely independent. QDSIX charges 0.20%/yr vs 0.32%/yr for EFA.

Performance

QDSIX vs. EFA - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AQR Diversifying Strategies Fund (QDSIX) and iShares MSCI EAFE ETF (EFA). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, QDSIX achieves a 5.00% return, which is significantly lower than EFA's 9.36% return.

QDSIX

1D
0.34%
1M
-0.27%
YTD
5.00%
6M
6.36%
1Y
13.68%
3Y*
13.04%
5Y*
10.94%
10Y*
—

EFA

1D
0.28%
1M
1.51%
YTD
9.36%
6M
10.80%
1Y
21.90%
3Y*
16.14%
5Y*
8.36%
10Y*
9.84%
*Multi-year figures are annualized to reflect compound growth (CAGR)

QDSIX vs. EFA - Yearly Performance Comparison

2026 (YTD)202520242023202220212020
QDSIX
AQR Diversifying Strategies Fund		5.00%16.36%9.71%8.88%14.69%10.64%5.50%
EFA
iShares MSCI EAFE ETF		9.36%31.55%3.49%18.36%-14.39%11.45%17.09%

Correlation

The correlation between QDSIX and EFA is 0.41, which is low. Their price movements are largely independent, making them effective diversification partners.

Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

0.41

Correlation (3Y)
Calculated over the trailing 3-year period

0.33

Correlation (5Y)
Calculated over the trailing 5-year period

0.18

Correlation (All Time)
Calculated using the full available price history since Jun 10, 2020

0.23

The correlation between QDSIX and EFA shifts across timeframes, from 0.18 (5 years) to 0.41 (1 year), reflecting how their relationship changes across market environments.

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AQR Diversifying Strategies Fund

iShares MSCI EAFE ETF

Often compared with QDSIX:
QDSIX vs. QSPIXQDSIX vs. EBSIXQDSIX vs. FSMSXQDSIX vs. SRDAXQDSIX vs. GFSYXQDSIX vs. BLNDXQDSIX vs. PSMIX
Often compared with EFA:
EFA vs. IEFAEFA vs. VEAEFA vs. EFGEFA vs. XEF.TOEFA vs. EFAVEFA vs. IEUREFA vs. EFO

Return for Risk

QDSIX vs. EFA — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
QDSIX
QDSIX Risk / Return Rank: 9393
Overall Rank
QDSIX Sharpe Ratio Rank: 9393
Sharpe Ratio Rank
QDSIX Sortino Ratio Rank: 9191
Sortino Ratio Rank
QDSIX Omega Ratio Rank: 8787
Omega Ratio Rank
QDSIX Calmar Ratio Rank: 9898
Calmar Ratio Rank
QDSIX Martin Ratio Rank: 9696
Martin Ratio Rank
EFA
EFA Risk / Return Rank: 4242
Overall Rank
EFA Sharpe Ratio Rank: 4242
Sharpe Ratio Rank
EFA Sortino Ratio Rank: 4242
Sortino Ratio Rank
EFA Omega Ratio Rank: 4141
Omega Ratio Rank
EFA Calmar Ratio Rank: 4040
Calmar Ratio Rank
EFA Martin Ratio Rank: 4646
Martin Ratio Rank
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.

QDSIX vs. EFA - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for AQR Diversifying Strategies Fund (QDSIX) and iShares MSCI EAFE ETF (EFA). 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.

QDSIXEFADifference
Sharpe ratioReturn per unit of total volatility
2.74
1.31

+1.43

Sortino ratioReturn per unit of downside risk
4.05
1.91

+2.14

Omega ratioGain probability vs. loss probability

1.52

1.24

+0.28

Calmar ratioReturn relative to maximum drawdown

7.16

1.79

+5.37

Martin ratioReturn relative to average drawdown

20.24

6.67

+13.57

QDSIX vs. EFA - Sharpe Ratio Comparison

The current QDSIX Sharpe Ratio is 2.74, which is higher than the EFA Sharpe Ratio of 1.31. The chart below compares the historical Sharpe Ratios of QDSIX and EFA, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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Drawdowns

QDSIX vs. EFA - Drawdown Comparison

The maximum QDSIX drawdown since its inception was -7.06%, smaller than the maximum EFA drawdown of -61.04%. Use the drawdown chart below to compare losses from any high point for QDSIX and EFA.

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Drawdown Indicators

QDSIXEFADifference

Max Drawdown

Largest peak-to-trough decline

-7.06%

-61.04%

+53.98%

Max Drawdown (1Y)

Largest decline over 1 year

-1.96%

-11.42%

+9.46%

Max Drawdown (3Y)

Largest decline over 3 years

-6.90%

-14.05%

+7.15%

Max Drawdown (5Y)

Largest decline over 5 years

-7.06%

-29.53%

+22.47%

Max Drawdown (10Y)

Largest decline over 10 years

—

-34.19%

—

Current Drawdown

Current decline from peak

-1.41%

-0.61%

-0.80%

Average Drawdown

Average peak-to-trough decline

-1.44%

-11.92%

+10.48%

Ulcer Index

Depth and duration of drawdowns from previous peaks

0.69%

3.07%

-2.38%

Volatility

QDSIX vs. EFA - Volatility Comparison

The current volatility for AQR Diversifying Strategies Fund (QDSIX) is 1.73%, while iShares MSCI EAFE ETF (EFA) has a volatility of 5.50%. This indicates that QDSIX experiences smaller price fluctuations and is considered to be less risky than EFA based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

QDSIXEFADifference

Volatility (1M)

Calculated over the trailing 1-month period

1.73%

5.50%

-3.77%

Volatility (6M)

Calculated over the trailing 6-month period

3.72%

13.19%

-9.47%

Volatility (1Y)

Calculated over the trailing 1-year period

5.11%

15.64%

-10.53%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

7.65%

16.58%

-8.93%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

7.32%

17.27%

-9.95%

QDSIX vs. EFA - Expense Ratio Comparison

QDSIX has a 0.20% expense ratio, which is lower than EFA's 0.32% expense ratio.

Dividends

QDSIX vs. EFA - Dividend Comparison

QDSIX's dividend yield for the trailing twelve months is around 2.13%, less than EFA's 3.09% yield.

PositionTTM20252024202320222021202020192018201720162015
EFA
iShares MSCI EAFE ETF		3.09%3.38%3.24%2.98%2.69%3.33%2.13%3.10%3.39%2.57%3.07%2.76%
QDSIX
AQR Diversifying Strategies Fund		2.13%2.23%0.00%11.35%8.22%6.07%1.93%0.00%0.00%0.00%0.00%0.00%

Frequently Asked Questions

QDSIX and EFA have a correlation of 0.41, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

EFA has higher volatility (5.50%) compared to QDSIX (1.73%). In terms of maximum drawdown, QDSIX dropped -7.06% vs EFA's -61.04%.

QDSIX currently has the higher Sharpe Ratio (2.74 vs 1.31), 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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