QICLX vs. EEM
QICLX (AQR International Multi-Style Fund) and EEM (iShares MSCI Emerging Markets ETF) are both funds - QICLX is a Foreign Large Cap Equities fund managed by AQR Funds, while EEM is a Emerging Markets Diversified fund tracking the MSCI Emerging Markets Index (Net). Over the past 10 years, QICLX returned 10.21%/yr vs 9.93%/yr for EEM. A 0.76 correlation means they provide meaningful diversification when combined. QICLX charges 0.56%/yr vs 0.72%/yr for EEM.
Performance
QICLX vs. EEM - Performance Comparison
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Returns By Period
In the year-to-date period, QICLX achieves a 10.02% return, which is significantly lower than EEM's 27.80% return. Both investments have delivered pretty close results over the past 10 years, with QICLX having a 10.21% annualized return and EEM not far behind at 9.93%.
QICLX
- 1D
- 0.49%
- 1M
- 3.34%
- YTD
- 10.02%
- 6M
- 13.57%
- 1Y
- 26.86%
- 3Y*
- 22.18%
- 5Y*
- 11.03%
- 10Y*
- 10.21%
EEM
- 1D
- -1.24%
- 1M
- 9.08%
- YTD
- 27.80%
- 6M
- 30.51%
- 1Y
- 55.80%
- 3Y*
- 23.95%
- 5Y*
- 7.01%
- 10Y*
- 9.93%
QICLX vs. EEM - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
QICLX AQR International Multi-Style Fund | 10.02% | 42.80% | 4.86% | 19.55% | -12.22% | 12.24% | 6.04% | 20.42% | -14.75% | 24.96% |
EEM iShares MSCI Emerging Markets ETF | 27.80% | 33.98% | 6.49% | 8.95% | -20.56% | -3.63% | 17.02% | 18.22% | -15.31% | 37.26% |
Correlation
The correlation between QICLX and EEM is 0.74, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.74 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.72 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.74 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.76 |
Correlation (All Time) Calculated using the full available price history since Jan 3, 2014 | 0.76 |
The correlation between QICLX and EEM has been stable across timeframes, ranging from 0.72 to 0.76 - a consistent structural relationship.
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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 | -1.08 | ||
| Sortino ratioReturn per unit of downside risk | -1.21 | ||
| Omega ratioGain probability vs. loss probability | 1.31 | 1.51 | -0.20 |
| Calmar ratioReturn relative to maximum drawdown | 2.35 | 4.15 | -1.80 |
| Martin ratioReturn relative to average drawdown | 8.86 | 15.99 | -7.12 |
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 | 1.72 | 2.81 | -1.08 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.68 | 0.37 | +0.31 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.61 | 0.49 | +0.12 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.45 | 0.38 | +0.07 |
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 | -11.11% | -13.52% | +2.41% |
Max Drawdown (3Y)Largest decline over 3 years | -13.84% | -17.29% | +3.45% |
Max Drawdown (5Y)Largest decline over 5 years | -28.88% | -37.71% | +8.83% |
Max Drawdown (10Y)Largest decline over 10 years | -36.19% | -39.82% | +3.63% |
Current DrawdownCurrent decline from peak | -1.38% | -1.24% | -0.14% |
Average DrawdownAverage peak-to-trough decline | -7.68% | -16.02% | +8.34% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.94% | 3.50% | -0.56% |
Volatility
QICLX vs. EEM - Volatility Comparison
The current volatility for AQR International Multi-Style Fund (QICLX) is 4.73%, while iShares MSCI Emerging Markets ETF (EEM) has a volatility of 8.52%. 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 | 4.73% | 8.52% | -3.79% |
Volatility (6M)Calculated over the trailing 6-month period | 12.55% | 17.42% | -4.87% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.17% | 19.97% | -4.80% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.24% | 18.91% | -2.67% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.82% | 20.50% | -3.68% |
QICLX vs. EEM - Expense Ratio Comparison
QICLX has a 0.56% expense ratio, which is lower than EEM's 0.72% expense ratio.
Dividends
QICLX vs. EEM - Dividend Comparison
QICLX's dividend yield for the trailing twelve months is around 7.76%, more than EEM's 1.74% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EEM iShares MSCI Emerging Markets ETF | 1.74% | 2.22% | 2.43% | 2.63% | 2.50% | 1.99% | 1.45% | 2.76% | 2.24% | 1.89% | 1.89% | 2.49% |
QICLX AQR International Multi-Style Fund | 7.76% | 8.54% | 5.68% | 3.25% | 3.22% | 2.97% | 1.79% | 2.93% | 3.79% | 2.42% | 2.64% | 1.41% |
Frequently Asked Questions
QICLX and EEM have a correlation of 0.74, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
EEM has higher volatility (8.52%) compared to QICLX (4.73%). In terms of maximum drawdown, QICLX dropped -36.19% vs EEM's -66.43%.
EEM currently has the higher Sharpe Ratio (2.81 vs 1.72), 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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