AQR Large Cap Defensive Style I (AUEIX)

25.96 -0.09 (-0.35%) USD  |  Dec 12 2024
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AUEIX Max Drawdown (5Y): 33.57% for Nov. 30, 2024

Max Drawdown (5Y) Chart

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Sep '18
Jan '19
May '19
 
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270.00
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240.00
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Historical Data

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Max Drawdown Definition

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Max drawdown is an indicator of the risk of a portfolio chosen based on a certain strategy. It measures the largest single drop from peak to bottom in the value of a portfolio before a new peak is achieved.

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Max Drawdown (5Y) Range, Past 5 Years

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Max Drawdown (5Y) Benchmarks

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DFA US Sustainability Core 1 35.68%
Calvert US Large Cap Core Rspnb Idx I 32.82%
DFA US Large Cap Equity Institutional 34.83%
DFA US Core Equity 2 I 37.21%
Vanguard Russell 3000 Index I 34.96%

Max Drawdown (5Y) Related Metrics

Alpha (5Y) -3.077
Beta (5Y) 0.8269
Alpha (vs YCharts Benchmark) (5Y) -3.077
Beta (vs YCharts Benchmark) (5Y) 0.8269
Annualized Standard Deviation of Monthly Returns (5Y Lookback) 16.74%
Historical Sharpe Ratio (5Y) 0.476
Historical Sortino (5Y) 0.499
Monthly Value at Risk (VaR) 5% (5Y Lookback) 6.88%

Max Drawdown (5Y) Excel Add-In Codes

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Metric Code: max_drawdown_5y
Latest Data Point: =YCP("M:AUEIX", "max_drawdown_5y")
Last 5 Data Points: =YCS("M:AUEIX", "max_drawdown_5y", -4)
To find the codes for any of our securities and financial metrics, see our Complete Excel Reference.