AQR versus SPY + BND

After reading a tout piece on the history of AQR as a quant fund I looked it up. AQR (symbol AQRIx) is a 60-40 stock/bond fund for rich people. The minimum individual investment is $5 Million!

SPY = SPDR S&P 500 ETF
AGG = iShares Aggregate Bond ETF
AQTIX = AQR Multi Asset Fund

Look at the YTD%Chg, down only a fraction of the market. AQR is the fund Bernie Madoff wanted to show his investors, nary a down year. But then again, while avoiding risk, you avoid gains as the 2,3,5,and 10 year returns show. 

Then again, why buy AGR when you can make your own 60/40 SPY/BND mix. And this mix triples while AGR doubles? Caveat: it will take work and cost rebalancing you own 60/40 portfolio. So maybe the difference between the green and orange is rebalancing cost.