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AQR Equity Market Neutral Fund N (QMNNX)
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Fund Info

ISIN

US00191K7818

CUSIP

00191K781

Issuer

AQR Funds

Inception Date

Oct 7, 2014

Min. Investment

$2,500

Asset Class

Equity

Expense Ratio

QMNNX has a high expense ratio of 5.28%, indicating above-average management fees.


Share Price Chart


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Compare to other instruments

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


Performance

Performance Chart


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Returns By Period

AQR Equity Market Neutral Fund N (QMNNX) returned 11.34% year-to-date (YTD) and 20.07% over the past 12 months. Over the past 10 years, QMNNX returned 4.51% annually, underperforming the S&P 500 benchmark at 10.77%.


QMNNX

YTD

11.34%

1M

2.25%

6M

14.60%

1Y

20.07%

5Y*

13.10%

10Y*

4.51%

^GSPC (Benchmark)

YTD

0.08%

1M

9.75%

6M

-1.63%

1Y

12.74%

5Y*

15.66%

10Y*

10.77%

*Annualized

Monthly Returns

The table below presents the monthly returns of QMNNX, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20253.27%3.96%2.09%1.86%-0.27%11.34%
20245.66%0.46%5.22%3.34%2.82%-1.01%-0.62%0.41%-0.72%1.55%3.67%2.02%24.98%
20231.50%3.19%-3.53%0.80%-1.36%3.57%2.78%3.78%5.94%2.06%0.29%-3.01%16.72%
202211.10%1.50%-0.98%6.95%6.50%-4.69%-4.81%-0.84%-0.61%4.76%3.14%3.41%27.08%
20212.73%2.34%8.86%-0.14%3.65%-5.96%0.00%-2.31%1.77%-2.17%1.78%4.95%15.73%
2020-0.99%-2.77%-1.94%-3.25%-5.76%2.04%-1.75%-1.40%0.13%-2.19%-3.29%-15.24%-31.69%
2019-0.28%-1.59%-0.38%-4.21%-2.00%-0.41%0.20%-0.31%-0.31%-0.00%-0.93%-5.49%-14.77%
20182.13%-1.04%-1.14%-2.62%-1.43%-4.70%-0.45%-1.53%0.18%-3.38%-1.98%3.59%-11.93%
2017-0.58%0.84%0.50%0.42%-0.08%-0.08%0.83%2.38%0.48%1.28%-0.24%-0.28%5.56%
20162.09%-0.43%0.17%-2.23%0.70%-0.26%0.35%-0.26%1.22%1.72%1.02%1.27%5.42%
20152.90%-0.78%0.39%-2.34%4.29%-0.10%3.45%0.56%5.80%0.09%0.35%1.74%17.30%
20141.20%2.57%1.99%5.87%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

With an overall rank of 97, QMNNX is among the top 3% of mutual funds on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.


The Risk-Adjusted Performance Rank of QMNNX is 9797
Overall Rank
The Sharpe Ratio Rank of QMNNX is 9898
Sharpe Ratio Rank
The Sortino Ratio Rank of QMNNX is 9696
Sortino Ratio Rank
The Omega Ratio Rank of QMNNX is 9595
Omega Ratio Rank
The Calmar Ratio Rank of QMNNX is 9797
Calmar Ratio Rank
The Martin Ratio Rank of QMNNX is 9797
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

Risk-Adjusted Performance Indicators

The charts below present risk-adjusted performance metrics for AQR Equity Market Neutral Fund N (QMNNX) and compare them to a chosen benchmark (^GSPC). These indicators evaluate an investment's returns against its associated risks.


The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

AQR Equity Market Neutral Fund N Sharpe ratios as of May 14, 2025 (values are recalculated daily):

  • 1-Year: 3.11
  • 5-Year: 1.08
  • 10-Year: 0.46
  • All Time: 0.53

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

The chart below shows the rolling Sharpe ratio of AQR Equity Market Neutral Fund N compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time. For deeper analysis or to customize the calculation, use the Sharpe ratio tool.


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Dividends

Dividend History

AQR Equity Market Neutral Fund N provided a 5.45% dividend yield over the last twelve months, with an annual payout of $0.59 per share.


0.00%5.00%10.00%15.00%20.00%$0.00$0.50$1.00$1.5020142015201620172018201920202021202220232024
Dividends
Dividend Yield
PeriodTTM20242023202220212020201920182017201620152014
Dividend$0.59$0.59$1.79$0.50$0.00$0.00$0.00$0.05$0.41$0.14$0.28$0.58

Dividend yield

5.45%6.07%21.59%5.78%0.00%0.00%0.00%0.49%3.37%1.18%2.40%5.79%

Monthly Dividends

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2025$0.00$0.00$0.00$0.00$0.00$0.00
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$0.00$0.00
2020$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00
2019$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00
2018$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.05$0.05
2017$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.41$0.41
2016$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.14$0.14
2015$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.28$0.28
2014$0.58$0.58

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 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 N was 50.11%, occurring on Dec 30, 2020. Recovery took 855 trading sessions.

The current AQR Equity Market Neutral Fund N drawdown is 0.37%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-50.11%Jan 30, 2018736Dec 30, 2020855May 24, 20241591
-4.46%Jun 3, 202445Aug 6, 202451Oct 17, 202496
-4.09%Sep 30, 20158Oct 9, 201512Oct 27, 201520
-3.98%Jan 20, 2016163Sep 9, 201636Oct 31, 2016199
-3.86%Mar 20, 201528Apr 29, 201519May 27, 201547

Volatility

Volatility Chart

The chart below shows the rolling one-month volatility.


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