SWZ vs. AUEIX
SWZ (Total Return Securities Fund) and AUEIX (AQR Large Cap Defensive Style Fund) are both Large Cap Blend Equities funds. Over the past 10 years, SWZ returned 11.67%/yr vs 10.72%/yr for AUEIX. Their 0.49 correlation means their historical movements had little consistent relationship. SWZ charges 1.06%/yr vs 0.37%/yr for AUEIX.
Performance
SWZ vs. AUEIX - Performance Comparison
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Returns By Period
In the year-to-date period, SWZ achieves a -5.14% return, which is significantly lower than AUEIX's 7.82% return. Over the past 10 years, SWZ has outperformed AUEIX with an annualized return of 11.67%, while AUEIX has yielded a comparatively lower 10.72% annualized return.
SWZ
- 1D
- 0.17%
- 1M
- -0.34%
- 6M
- -0.34%
- YTD
- -5.14%
- 1Y
- -1.67%
- 3Y*
- 19.90%
- 5Y*
- 11.63%
- 10Y*
- 11.67%
- ALL TIME*
- 6.33%
AUEIX
- 1D
- 0.58%
- 1M
- 1.28%
- 6M
- 4.68%
- YTD
- 7.82%
- 1Y
- 10.25%
- 3Y*
- 10.69%
- 5Y*
- 5.93%
- 10Y*
- 10.72%
- ALL TIME*
- 12.09%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $177.26K | $207.26K | $377.27K |
SWZ vs. AUEIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
SWZ Total Return Securities Fund | -5.14% | 86.85% | -2.46% | 15.50% | -17.69% | 18.20% | 14.19% | 24.00% | -13.18% | 26.28% |
AUEIX AQR Large Cap Defensive Style Fund | 7.82% | 6.95% | 13.85% | 9.49% | -13.81% | 23.52% | 13.10% | 28.63% | -0.27% | 22.14% |
Correlation
The correlation between SWZ and AUEIX is 0.37, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.37 |
Correlation (3Y) Balances recent behavior with more history. | 0.37 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.45 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.45 |
Correlation (All Time) Calculated using the full available price history since Jul 9, 2012 | 0.49 |
The correlation between SWZ and AUEIX shifts across timeframes, from 0.37 (1 year) to 0.49 (all time), reflecting how their relationship changes across market environments.
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Return for Risk
SWZ vs. AUEIX — Risk / Return Rank
SWZ
AUEIX
SWZ vs. AUEIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Total Return Securities Fund (SWZ) 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.
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.
| SWZ | AUEIX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.46 | ||
| Sortino ratioReturn per unit of downside risk | -2.01 | ||
| Omega ratioGain probability vs. loss probability | 0.94 | 1.19 | -0.25 |
| Calmar ratioReturn relative to maximum drawdown | -0.59 | 1.45 | -2.05 |
| Martin ratioReturn relative to average drawdown | -1.05 | 4.81 | -5.86 |
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Drawdowns
SWZ vs. AUEIX - Drawdown Comparison
The maximum SWZ drawdown since its inception was -69.62%, which is greater than AUEIX's maximum drawdown of -30.82%. Use the drawdown chart below to compare losses from any high point for SWZ and AUEIX.
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Drawdown Indicators
| SWZ | AUEIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -69.62% | -30.82% | -38.80% |
Max Drawdown (1Y)Largest decline over 1 year | -7.13% | -5.91% | -1.22% |
Max Drawdown (3Y)Largest decline over 3 years | -15.47% | -10.27% | -5.20% |
Max Drawdown (5Y)Largest decline over 5 years | -30.36% | -22.08% | -8.28% |
Max Drawdown (10Y)Largest decline over 10 years | -31.21% | -30.82% | -0.39% |
Current DrawdownCurrent decline from peak | -8.10% | -0.31% | -7.79% |
Average DrawdownAverage peak-to-trough decline | -21.91% | -3.39% | -18.52% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 4.03% | 1.78% | +2.25% |
Volatility
SWZ vs. AUEIX - Volatility Comparison
Total Return Securities Fund (SWZ) and AQR Large Cap Defensive Style Fund (AUEIX) have volatilities of 1.78% and 1.82%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| SWZ | AUEIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.78% | 1.82% | -0.04% |
Volatility (6M)Calculated over the trailing 6-month period | 6.56% | 6.22% | +0.34% |
Volatility (1Y)Calculated over the trailing 1-year period | 10.22% | 8.23% | +1.99% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 27.21% | 13.00% | +14.21% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 22.70% | 15.17% | +7.53% |
SWZ vs. AUEIX - Expense Ratio Comparison
SWZ has a 1.06% expense ratio, which is higher than AUEIX's 0.37% expense ratio.
Dividends
SWZ vs. AUEIX - Dividend Comparison
SWZ has not paid dividends to shareholders, while AUEIX's dividend yield for the trailing twelve months is around 21.05%.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
AUEIX AQR Large Cap Defensive Style Fund | 21.05% | 22.70% | 24.31% | 24.28% | 10.26% | 2.54% | 1.29% | 1.12% | 1.67% | 2.36% | 1.99% | 6.18% |
SWZ Total Return Securities Fund | 0.00% | 98.81% | 7.11% | 6.07% | 8.23% | 5.83% | 6.25% | 1.67% | 74.09% | 1.02% | 5.00% | 6.72% |
Frequently Asked Questions
SWZ and AUEIX have a correlation of 0.37, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
AUEIX has higher volatility (1.82%) compared to SWZ (1.78%). In terms of maximum drawdown, SWZ dropped -69.62% vs AUEIX's -30.82%.
AUEIX currently has the higher Sharpe Ratio (1.05 vs -0.41), 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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