AQR Equity Market Neutral Fund Class I (QMNIX)

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AQR Equity Market Neutral Fund Class I (QMNIX) is down 5.9% since the beginning of the year. QMNIX is currently trading at $12 per share. Investors who bought $1,000 worth of QMNIX shares 5 years ago would now be looking at an investment worth $2,209.

AQR Equity Market Neutral Fund Class I (QMNIX) has returned -5.92% so far this year and 3.62% over the past 12 months. Over the last ten years, QMNIX has returned 6.27% per year, falling short of the S&P 500 Index benchmark, which averaged 13.66% annually.

Based on dividend-adjusted daily data since Jan 2, 2015, QMNIX's average daily return is +0.03%, while the average monthly return is +0.60%. At this rate, an investment would double in approximately 9.7 years.

Historically, 56% of months were positive and 44% were negative. The best month was Jan 2022 with a return of +11.1%, while the worst month was Jun 2021 at -6.1%. The longest winning streak lasted 9 consecutive months, and the longest losing streak was 10 months.

On a daily basis, QMNIX closed higher 48% of trading days. The best single day was Aug 26, 2015 with a return of +2.6%, while the worst single day was Feb 24, 2022 at -3.1%.

AQR Equity Market Neutral Fund Class I has an annualized alpha of 7.62%, beta of -0.02, and R2 of 0.00 versus S&P 500 Index. Calculated based on daily prices since January 05, 2015.

• This fund captured 4.95% of S&P 500 Index gains and tended to rise during its downturns (downside capture of -45.69%) - a profile typical of hedging or uncorrelated assets.
• Beta of -0.02 may look defensive, but with R2 of 0.00 this fund is largely uncorrelated with S&P 500 Index - low beta reflects independence, not downside protection. See the Volatility section for a true picture of this fund's risk.
• R2 of 0.00 means this fund moves largely independently of S&P 500 Index - capture ratios reflect limited market correlation rather than active downside protection. Consider using a more representative benchmark.

QMNIX has a high expense ratio of 5.48%, indicating above-average management fees.

QMNIX ranks 6 for risk / return — in the bottom 6% of mutual funds on our site. This means you're taking on significantly more risk than the returns justify. Consider whether the potential upside is worth the volatility, or explore alternatives with better risk / return profiles.

The table below present risk-adjusted performance metrics for AQR Equity Market Neutral Fund Class I (QMNIX) and compare them to S&P 500 Index.

AQR Equity Market Neutral Fund Class I provided a 1.50% dividend yield over the last twelve months, with an annual payout of $0.18 per share.

The table displays the monthly dividend distributions for AQR Equity Market Neutral Fund Class I. The dividends shown in the table have been adjusted to account for any splits that may have occurred.

The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.

The table below displays the maximum drawdowns of the AQR Equity Market Neutral Fund Class I. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.

The maximum drawdown for the AQR Equity Market Neutral Fund Class I was 38.80%, occurring on Nov 12, 2020. Recovery took 684 trading sessions.

The current AQR Equity Market Neutral Fund Class I drawdown is 6.23%.

The chart below shows the rolling one-month volatility.