SVPFX vs. AUEIX

Last updated Jun 4, 2026

SVPFX (Goldman Sachs Strategic Volatility Premium Fund) and AUEIX (AQR Large Cap Defensive Style Fund) are both Large Cap Blend Equities funds. Over the past 5 years, SVPFX returned 2.10%/yr vs 6.90%/yr for AUEIX. At a 0.12 correlation, their price movements are largely independent. SVPFX charges 0.38%/yr vs 0.37%/yr for AUEIX.

Performance

SVPFX vs. AUEIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Goldman Sachs Strategic Volatility Premium Fund (SVPFX) and AQR Large Cap Defensive Style Fund (AUEIX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, SVPFX achieves a 1.49% return, which is significantly lower than AUEIX's 7.03% return.

SVPFX

• 1D: 0.00%
• 1M: 0.10%
• YTD: 1.49%
• 6M: 1.85%
• 1Y: 4.97%
• 3Y*: 4.40%
• 5Y*: 2.10%
• 10Y*: —

AUEIX

• 1D: 0.00%
• 1M: 2.77%
• YTD: 7.03%
• 6M: 6.47%
• 1Y: 8.16%
• 3Y*: 11.85%
• 5Y*: 6.90%
• 10Y*: 11.02%

*Multi-year figures are annualized to reflect compound growth (CAGR)

SVPFX vs. AUEIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021
SVPFX Goldman Sachs Strategic Volatility Premium Fund	1.49%	4.19%	3.82%	5.30%	-4.37%	0.78%
AUEIX AQR Large Cap Defensive Style Fund	7.03%	6.95%	13.85%	9.49%	-13.81%	17.33%

Correlation

The correlation between SVPFX and AUEIX is 0.25, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.25
Correlation (3Y) Calculated over the trailing 3-year period	0.10
Correlation (5Y) Calculated over the trailing 5-year period	0.12
Correlation (All Time) Calculated using the full available price history since Apr 8, 2021	0.12

The correlation between SVPFX and AUEIX shifts across timeframes, from 0.10 (3 years) to 0.25 (1 year), reflecting how their relationship changes across market environments.

Return for Risk

SVPFX vs. AUEIX — Risk / Return Rank

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

SVPFX

SVPFX Risk / Return Rank: 73
SVPFX Sharpe Ratio Rank: 64
SVPFX Sortino Ratio Rank: 66
SVPFX Omega Ratio Rank: 81
SVPFX Calmar Ratio Rank: 84
SVPFX Martin Ratio Rank: 70

AUEIX

AUEIX Risk / Return Rank: 15
AUEIX Sharpe Ratio Rank: 14
AUEIX Sortino Ratio Rank: 14
AUEIX Omega Ratio Rank: 13
AUEIX Calmar Ratio Rank: 16
AUEIX Martin Ratio Rank: 17

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.

SVPFX vs. AUEIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Goldman Sachs Strategic Volatility Premium Fund (SVPFX) and AQR Large Cap Defensive Style Fund (AUEIX). 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.

	SVPFX	AUEIX	Difference
Sharpe ratio: Return per unit of total volatility	2.35	1.05	+1.30
Sortino ratio: Return per unit of downside risk	3.40	1.55	+1.85
Omega ratio: Gain probability vs. loss probability	1.53	1.18	+0.35
Calmar ratio: Return relative to maximum drawdown	3.97	1.40	+2.56
Martin ratio: Return relative to average drawdown	13.46	4.69	+8.78
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

SVPFX vs. AUEIX - Sharpe Ratio Comparison

The current SVPFX Sharpe Ratio is 2.35, which is higher than the AUEIX Sharpe Ratio of 1.05. The chart below compares the historical Sharpe Ratios of SVPFX and AUEIX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	SVPFX	AUEIX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.35	1.05	+1.30
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.38	0.53	-0.15
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.73	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.39	0.86	-0.47

Drawdowns

SVPFX vs. AUEIX - Drawdown Comparison

The maximum SVPFX drawdown since its inception was -6.37%, smaller than the maximum AUEIX drawdown of -30.82%. Use the drawdown chart below to compare losses from any high point for SVPFX and AUEIX.

Drawdown Indicators

	SVPFX	AUEIX	Difference
Max Drawdown Largest peak-to-trough decline	-6.37%	-30.82%	+24.45%
Max Drawdown (1Y) Largest decline over 1 year	-1.33%	-5.91%	+4.58%
Max Drawdown (3Y) Largest decline over 3 years	-5.32%	-10.27%	+4.95%
Max Drawdown (5Y) Largest decline over 5 years	-6.37%	-22.08%	+15.71%
Max Drawdown (10Y) Largest decline over 10 years	—	-30.82%	—
Current Drawdown Current decline from peak	-0.20%	0.00%	-0.20%
Average Drawdown Average peak-to-trough decline	-1.93%	-3.42%	+1.49%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.43%	1.77%	-1.34%

Volatility

SVPFX vs. AUEIX - Volatility Comparison

The current volatility for Goldman Sachs Strategic Volatility Premium Fund (SVPFX) is 0.67%, while AQR Large Cap Defensive Style Fund (AUEIX) has a volatility of 1.90%. This indicates that SVPFX experiences smaller price fluctuations and is considered to be less risky than AUEIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	SVPFX	AUEIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.67%	1.90%	-1.23%
Volatility (6M) Calculated over the trailing 6-month period	1.47%	5.60%	-4.13%
Volatility (1Y) Calculated over the trailing 1-year period	2.26%	7.91%	-5.65%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	5.60%	12.99%	-7.39%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	5.51%	15.19%	-9.68%

SVPFX vs. AUEIX - Expense Ratio Comparison

SVPFX has a 0.38% expense ratio, which is higher than AUEIX's 0.37% expense ratio.

Dividends

SVPFX vs. AUEIX - Dividend Comparison

SVPFX's dividend yield for the trailing twelve months is around 2.47%, less than AUEIX's 21.21% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
AUEIX AQR Large Cap Defensive Style Fund	21.21%	22.70%	24.31%	24.28%	10.26%	2.54%	1.29%	1.12%	1.67%	2.36%	1.99%	6.18%
SVPFX Goldman Sachs Strategic Volatility Premium Fund	2.47%	1.83%	4.37%	4.29%	0.76%	0.38%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both SVPFX and AUEIX in my portfolio?

SVPFX and AUEIX have a correlation of 0.25, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, SVPFX or AUEIX?

AUEIX has higher volatility (1.90%) compared to SVPFX (0.67%). In terms of maximum drawdown, SVPFX dropped -6.37% vs AUEIX's -30.82%.

Which has better risk-adjusted returns?

SVPFX currently has the higher Sharpe Ratio (2.35 vs 1.05), 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.