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AQR Equity Market Neutral Fund N (QMNNX) Sharpe Ratio: 0.72

Mutual Fund · Currency in USD · Last updated Jun 3, 2026

The fund aims to achieve market- or beta-neutral returns by investing at least 80% of its net assets in equity instruments and related derivatives, seeking to minimize correlation with equity market returns.

QMNNX's Sharpe Ratio of 0.72 indicates that for each unit of volatility, it generates 0.72 units of excess return above the risk-free rate. The ratio is calculated using historical daily returns over the past 12 months (as of Jun 3, 2026).

Sharpe uses total volatility (standard deviation) which includes both upside and downside price movements, making it useful for comparing risk-adjusted returns across different assets.

QMNNX Sharpe Ratio Rank

QMNNX Sharpe Ratio Rank: 8.48
Concerning

QMNNX ranks above 8.4% of all investments in our database based on Sharpe Ratio over the past 12 months, indicating weak returns relative to total risk taken. Securities are ranked from 0 (worst) to 100 (best).

What moves the rank

  • Strong returns with low total volatility → Higher rank
  • High volatility (both upside and downside) → Lower rank
  • Consistent returns → Higher rank than volatile returns of same magnitude
  • Sharp drawdowns increase volatility → Lower rank

What you can do with this information

  • Weak risk-adjusted returns relative to category peers
  • Evaluate whether this holding aligns with your risk-return objectives
  • Consider reducing exposure or re-evaluating position size
  • Review higher-ranked alternatives in the same category

QMNNX Sharpe Ratio Market Positioning

The chart shows QMNNX's Sharpe Ratio relative to all mutual funds on our platform, with color zones indicating percentile rankings. Higher ratios indicate better risk-adjusted returns.

  • Red zone (bottom 25%): 1.42 or lower
  • Yellow zone (middle 50%): 1.42 to 2.51
  • Green zone (top 25%): 2.51 or higher
  • Top 1%: 4.64+
  • Median: 2.09 — half of all investments score higher

How it compares to other similar mutual funds

The table compares AQR Equity Market Neutral Fund N's Sharpe Ratio with other mutual funds in the Equity Market Neutral category across multiple time periods, showing how QMNNX's risk-adjusted performance compares to similar funds.

Data shows 1-, 5-, and 10-year periods, plus each fund's all-time average, as of Jun 3, 2026.

SymbolName1Y Sharpe Ratio5Y Sharpe Ratio10Y Sharpe RatioAll Time Sharpe Ratio
MMNIXMiller Market Neutral Income Fund Class I6.22
BDMAXBlackRock Global Equity Market Neutral Fund3.16
BRGOXBridgeway Global Opportunities Fund Class N2.16
QQMNXFederated Hermes MDT Market Neutral Fund Institutional Shares0.79
QMNIXAQR Equity Market Neutral Fund Class I0.76
QMNNXAQR Equity Market Neutral Fund N0.72
GONIXGotham Neutral Fund Institutional Class-0.07

S&P 500 Index

How to choose period

Historical Sharpe Ratio

The chart shows QMNNX's rolling Sharpe ratio over time compared to your chosen benchmark. Rising trends indicate improving returns relative to total volatility, while declining trends may signal deteriorating risk-adjusted performance or increased volatility. Use multiple timeframes to distinguish short-term fluctuations from long-term patterns.

Identify market cycles by observing when QMNNX consistently outperforms (line above benchmark), underperforms (below benchmark), or aligns with the benchmark.

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Sharpe Ratio Calculator

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