QICLX vs. EEM
Compare and contrast key facts about AQR International Multi-Style Fund (QICLX) and iShares MSCI Emerging Markets ETF (EEM).
QICLX is managed by AQR Funds. It was launched on Mar 25, 2013. EEM is a passively managed fund by iShares that tracks the performance of the MSCI Emerging Markets Index. It was launched on Apr 11, 2003.
Performance
QICLX vs. EEM - Performance Comparison
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QICLX vs. EEM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
QICLX AQR International Multi-Style Fund | 2.85% | 42.80% | 4.86% | 19.55% | -12.22% | 12.24% | 6.04% | 20.42% | -14.75% | 24.96% |
EEM iShares MSCI Emerging Markets ETF | 4.61% | 33.98% | 6.49% | 8.95% | -20.56% | -3.63% | 17.02% | 18.22% | -15.31% | 37.26% |
Returns By Period
In the year-to-date period, QICLX achieves a 2.85% return, which is significantly lower than EEM's 4.61% return. Over the past 10 years, QICLX has outperformed EEM with an annualized return of 9.74%, while EEM has yielded a comparatively lower 7.66% annualized return.
QICLX
- 1D
- 3.34%
- 1M
- -6.12%
- YTD
- 2.85%
- 6M
- 8.11%
- 1Y
- 30.86%
- 3Y*
- 19.24%
- 5Y*
- 11.00%
- 10Y*
- 9.74%
EEM
- 1D
- 0.77%
- 1M
- -6.94%
- YTD
- 4.61%
- 6M
- 7.86%
- 1Y
- 33.69%
- 3Y*
- 16.02%
- 5Y*
- 3.61%
- 10Y*
- 7.66%
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QICLX vs. EEM - Expense Ratio Comparison
QICLX has a 0.56% expense ratio, which is lower than EEM's 0.72% expense ratio.
Return for Risk
QICLX vs. EEM — Risk / Return Rank
QICLX
EEM
QICLX vs. EEM - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR International Multi-Style Fund (QICLX) and iShares MSCI Emerging Markets ETF (EEM). 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.
| QICLX | EEM | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.79 | 1.67 | +0.12 |
Sortino ratioReturn per unit of downside risk | 2.38 | 2.26 | +0.12 |
Omega ratioGain probability vs. loss probability | 1.36 | 1.33 | +0.02 |
Calmar ratioReturn relative to maximum drawdown | 2.67 | 2.52 | +0.15 |
Martin ratioReturn relative to average drawdown | 10.43 | 9.62 | +0.81 |
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
| QICLX | EEM | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.79 | 1.67 | +0.12 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.69 | 0.20 | +0.49 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.58 | 0.38 | +0.20 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.42 | 0.35 | +0.07 |
Correlation
The correlation between QICLX and EEM is 0.75, 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
QICLX vs. EEM - Dividend Comparison
QICLX's dividend yield for the trailing twelve months is around 8.30%, more than EEM's 2.12% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
QICLX AQR International Multi-Style Fund | 8.30% | 8.54% | 5.68% | 3.25% | 3.22% | 2.97% | 1.79% | 2.93% | 3.79% | 2.42% | 2.64% | 1.41% |
EEM iShares MSCI Emerging Markets ETF | 2.12% | 2.22% | 2.43% | 2.63% | 2.50% | 1.99% | 1.45% | 2.76% | 2.24% | 1.89% | 1.89% | 2.49% |
Drawdowns
QICLX vs. EEM - Drawdown Comparison
The maximum QICLX drawdown since its inception was -36.19%, smaller than the maximum EEM drawdown of -66.43%. Use the drawdown chart below to compare losses from any high point for QICLX and EEM.
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Drawdown Indicators
| QICLX | EEM | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -36.19% | -66.43% | +30.24% |
Max Drawdown (1Y)Largest decline over 1 year | -11.28% | -13.52% | +2.24% |
Max Drawdown (5Y)Largest decline over 5 years | -28.88% | -37.82% | +8.94% |
Max Drawdown (10Y)Largest decline over 10 years | -36.19% | -39.82% | +3.63% |
Current DrawdownCurrent decline from peak | -7.81% | -9.60% | +1.79% |
Average DrawdownAverage peak-to-trough decline | -7.74% | -16.12% | +8.38% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.89% | 3.55% | -0.66% |
Volatility
QICLX vs. EEM - Volatility Comparison
The current volatility for AQR International Multi-Style Fund (QICLX) is 8.07%, while iShares MSCI Emerging Markets ETF (EEM) has a volatility of 9.51%. This indicates that QICLX experiences smaller price fluctuations and is considered to be less risky than EEM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| QICLX | EEM | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 8.07% | 9.51% | -1.44% |
Volatility (6M)Calculated over the trailing 6-month period | 11.60% | 15.13% | -3.53% |
Volatility (1Y)Calculated over the trailing 1-year period | 17.69% | 20.24% | -2.55% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.08% | 18.43% | -2.35% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.76% | 20.32% | -3.56% |