- ISIN
- US00191K7818
- CUSIP
- 00191K781
- Issuer
- AQR
- Inception Date
- Oct 7, 2014
- Category
- Equity Market Neutral
- Leveraged
- 1x (No leverage)
- Min. Investment
- $2,500
- Index Tracked
- No Index (Active)
- Distribution Policy
- Distributing
- Asset Class
- Alternatives
Share Price Chart
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Performance
QMNNX Performance Chart
AQR Equity Market Neutral Fund Class N (QMNNX) is down 6.2% since the beginning of the year. QMNNX is currently trading at $11 per share. Investors who bought $1,000 worth of QMNNX shares 5 years ago would now be looking at an investment worth $2,311.
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Returns By Period
AQR Equity Market Neutral Fund Class N (QMNNX) has returned -6.23% so far this year and 5.21% over the past 12 months. Over the last ten years, QMNNX has returned 5.90% per year, falling short of the S&P 500 Index benchmark, which averaged 13.26% annually.
AQR Equity Market Neutral Fund Class N
- 1D
- 1.24%
- 1M
- 3.72%
- 6M
- -3.21%
- YTD
- -6.23%
- 1Y
- 5.21%
- 3Y*
- 17.30%
- 5Y*
- 18.24%
- 10Y*
- 5.90%
- ALL TIME*
- 6.64%
Benchmark (S&P 500 Index)
- 1D
- 0.70%
- 1M
- 0.09%
- 6M
- 7.94%
- YTD
- 9.41%
- 1Y
- 20.07%
- 3Y*
- 17.84%
- 5Y*
- 11.25%
- 10Y*
- 13.26%
- ALL TIME*
- 8.09%
QMNNX Monthly Returns History
Based on dividend-adjusted daily data since Jan 2, 2015, QMNNX's average daily return is +0.03%, while the average monthly return is +0.58%. At this rate, an investment would double in approximately 10.0 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 -6.0%. The longest winning streak lasted 9 consecutive months, and the longest losing streak was 7 months.
On a daily basis, QMNNX closed higher 48% of trading days. The best single day was Aug 26, 2015 with a return of +2.5%, while the worst single day was Feb 24, 2022 at -3.1%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | -3.11% | -0.51% | 0.09% | -3.74% | 0.62% | -2.54% | 2.97% | -6.23% | |||||
| 2025 | 3.27% | 3.96% | 2.09% | 1.86% | 2.20% | 0.18% | -1.70% | 2.64% | 3.37% | 1.03% | 1.70% | 3.03% | 26.19% |
| 2024 | 6.04% | 0.46% | 5.22% | 3.34% | 2.82% | -1.01% | -0.61% | 0.41% | -0.72% | 1.55% | 3.67% | 2.02% | 25.43% |
| 2023 | 1.50% | 3.19% | -3.53% | 0.80% | -1.36% | 3.57% | 2.78% | 3.78% | 5.94% | 2.06% | 0.29% | -3.36% | 16.30% |
| 2022 | 11.10% | 1.50% | -0.98% | 6.96% | 6.50% | -4.69% | -4.81% | -0.84% | -0.61% | 4.76% | 3.14% | 3.41% | 27.07% |
| 2021 | 2.73% | 2.34% | 8.85% | -0.14% | 3.65% | -5.96% | 0.00% | -2.31% | 1.77% | -2.17% | 1.78% | 6.45% | 17.38% |
Benchmark Metrics
AQR Equity Market Neutral Fund Class N has an annualized alpha of 7.21%, beta of -0.01, and R2 of 0.00 versus S&P 500 Index. Calculated based on daily prices since January 02, 2015.
- This fund captured 4.40% of S&P 500 Index gains and tended to rise during its downturns (downside capture of -43.84%) - a profile typical of hedging or uncorrelated assets.
- Beta of -0.01 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.
- Alpha
- 7.21%
- Beta
- -0.01
- R²
- 0.00
- Upside Capture
- 4.40%
- Downside Capture
- -43.84%
Expense Ratio
QMNNX has a high expense ratio of 1.62%, indicating above-average management fees.
Return for Risk
Risk / Return Rank
QMNNX ranks 15 for risk / return — above 15% of mutual funds peers on PortfoliosLab. Its historical combined result is below most peers; review the five component ranks for context.
Risk / Return Metrics
The table below present risk-adjusted performance metrics for AQR Equity Market Neutral Fund Class N (QMNNX) and compare them to S&P 500 Index.
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.
| QMNNX | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.64 | ||
| Sortino ratioReturn per unit of downside risk | -0.83 | ||
| Omega ratioGain probability vs. loss probability | 1.14 | 1.25 | -0.12 |
| Calmar ratioReturn relative to maximum drawdown | 0.55 | 2.00 | -1.46 |
| Martin ratioReturn relative to average drawdown | 1.14 | 8.49 | -7.35 |
Dividends
Dividend History
AQR Equity Market Neutral Fund Class N provided a 1.34% dividend yield over the last twelve months, with an annual payout of $0.15 per share.
| Period | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Dividend | $0.15 | $0.15 | $0.59 | $1.79 | $0.50 | $0.10 | $1.10 | $0.35 | $0.05 | $0.41 | $0.14 | $0.29 |
Dividend yield | 1.34% | 1.26% | 6.06% | 21.67% | 5.77% | 1.41% | 17.64% | 3.86% | 0.49% | 3.37% | 1.19% | 2.51% |
Monthly Dividends
The table displays the monthly dividend distributions for AQR Equity Market Neutral Fund Class N. The dividends shown in the table have been adjusted to account for any splits that may have occurred.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | |||||
| 2025 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.15 | $0.15 |
| 2024 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.59 | $0.59 |
| 2023 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $1.79 | $1.79 |
| 2022 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.50 | $0.50 |
| 2021 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.10 | $0.10 |
Drawdowns
Drawdowns Chart
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.
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Worst Drawdowns
The table below displays the maximum drawdowns of the AQR Equity Market Neutral Fund Class N. 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 N was 39.22%, occurring on Dec 30, 2020. Recovery took 657 trading sessions.
The current AQR Equity Market Neutral Fund Class N drawdown is 6.61%.
Drawdown | Fall | Recovery | Underwater | Related event |
|---|---|---|---|---|
-39.22%Dec 2020 | 2y 11mo | 2y 7mo | 5y 6moJan 2018 - Aug 2023 | — |
-9.96%Jul 2026 | 6mo 12d | — | 7mo 13dDec 2025 - now | — |
-4.46%Aug 2024 | 2mo 4d | 2mo 12d | 4mo 16dJun 2024 - Oct 2024 | — |
-4.09%Oct 2015 | 9d | 18d | 27dSep 2015 - Oct 2015 | — |
-4.01%Dec 2023 | 1mo 13d | 13d | 1mo 26dNov 2023 - Jan 2024 | — |
Drawdown Indicators
| QMNNX | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -39.22% | -56.78% | +17.56% |
Max Drawdown (1Y)Largest decline over 1 year | -9.96% | -9.10% | -0.86% |
Max Drawdown (3Y)Largest decline over 3 years | -9.96% | -18.90% | +8.94% |
Max Drawdown (5Y)Largest decline over 5 years | -13.98% | -25.43% | +11.45% |
Max Drawdown (10Y)Largest decline over 10 years | -39.22% | -33.92% | -5.30% |
Current DrawdownCurrent decline from peak | -6.61% | -1.58% | -5.03% |
Average DrawdownAverage peak-to-trough decline | -10.57% | -10.70% | +0.13% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 4.76% | 2.14% | +2.62% |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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