ADAIX vs. QMNNX
Compare and contrast key facts about AQR Diversified Arbitrage Fund Class I (ADAIX) and AQR Equity Market Neutral Fund N (QMNNX).
ADAIX is an actively managed fund by AQR Funds. It was launched on Jan 15, 2009. QMNNX is managed by AQR Funds. It was launched on Oct 7, 2014.
Performance
ADAIX vs. QMNNX - Performance Comparison
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ADAIX vs. QMNNX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
ADAIX AQR Diversified Arbitrage Fund Class I | 0.78% | 8.03% | 3.19% | 4.51% | -3.30% | 6.27% | 25.24% | 8.53% | 2.19% | 5.93% |
QMNNX AQR Equity Market Neutral Fund N | -3.36% | 26.19% | 25.43% | 16.30% | 27.07% | 17.38% | -19.79% | -11.55% | -11.94% | 5.56% |
Returns By Period
In the year-to-date period, ADAIX achieves a 0.78% return, which is significantly higher than QMNNX's -3.36% return. Over the past 10 years, ADAIX has outperformed QMNNX with an annualized return of 6.75%, while QMNNX has yielded a comparatively lower 6.09% annualized return.
ADAIX
- 1D
- -0.15%
- 1M
- 0.08%
- YTD
- 0.78%
- 6M
- 2.60%
- 1Y
- 6.24%
- 3Y*
- 5.17%
- 5Y*
- 2.72%
- 10Y*
- 6.75%
QMNNX
- 1D
- 0.51%
- 1M
- 0.26%
- YTD
- -3.36%
- 6M
- 2.30%
- 1Y
- 11.26%
- 3Y*
- 20.75%
- 5Y*
- 18.31%
- 10Y*
- 6.09%
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ADAIX vs. QMNNX - Expense Ratio Comparison
ADAIX has a 1.38% expense ratio, which is lower than QMNNX's 5.28% expense ratio.
Return for Risk
ADAIX vs. QMNNX — Risk / Return Rank
ADAIX
QMNNX
ADAIX vs. QMNNX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Diversified Arbitrage Fund Class I (ADAIX) and AQR Equity Market Neutral Fund N (QMNNX). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
| ADAIX | QMNNX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 4.19 | 1.83 | +2.35 |
Sortino ratioReturn per unit of downside risk | 6.86 | 2.48 | +4.38 |
Omega ratioGain probability vs. loss probability | 2.06 | 1.35 | +0.72 |
Calmar ratioReturn relative to maximum drawdown | 9.83 | 2.06 | +7.77 |
Martin ratioReturn relative to average drawdown | 37.48 | 5.17 | +32.31 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| ADAIX | QMNNX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 4.19 | 1.83 | +2.35 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 1.02 | 1.93 | -0.91 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 1.56 | 0.74 | +0.82 |
Sharpe Ratio (All Time)Calculated using the full available price history | 1.19 | 0.88 | +0.31 |
Correlation
The correlation between ADAIX and QMNNX is -0.15. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.
Dividends
ADAIX vs. QMNNX - Dividend Comparison
ADAIX's dividend yield for the trailing twelve months is around 2.10%, more than QMNNX's 1.30% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ADAIX AQR Diversified Arbitrage Fund Class I | 2.10% | 2.12% | 1.23% | 2.74% | 0.10% | 0.65% | 1.60% | 2.11% | 6.53% | 7.17% | 7.18% | 4.93% |
QMNNX AQR Equity Market Neutral Fund N | 1.30% | 1.26% | 6.06% | 21.67% | 5.77% | 1.41% | 17.64% | 3.86% | 0.49% | 3.37% | 1.19% | 2.51% |
Drawdowns
ADAIX vs. QMNNX - Drawdown Comparison
The maximum ADAIX drawdown since its inception was -14.75%, smaller than the maximum QMNNX drawdown of -39.22%. Use the drawdown chart below to compare losses from any high point for ADAIX and QMNNX.
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Drawdown Indicators
| ADAIX | QMNNX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -14.75% | -39.22% | +24.47% |
Max Drawdown (1Y)Largest decline over 1 year | -0.64% | -5.47% | +4.83% |
Max Drawdown (5Y)Largest decline over 5 years | -7.40% | -14.23% | +6.83% |
Max Drawdown (10Y)Largest decline over 10 years | -14.75% | -39.22% | +24.47% |
Current DrawdownCurrent decline from peak | -0.31% | -3.76% | +3.45% |
Average DrawdownAverage peak-to-trough decline | -2.85% | -10.67% | +7.82% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 0.17% | 2.18% | -2.01% |
Volatility
ADAIX vs. QMNNX - Volatility Comparison
The current volatility for AQR Diversified Arbitrage Fund Class I (ADAIX) is 0.38%, while AQR Equity Market Neutral Fund N (QMNNX) has a volatility of 1.40%. This indicates that ADAIX experiences smaller price fluctuations and is considered to be less risky than QMNNX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ADAIX | QMNNX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 0.38% | 1.40% | -1.02% |
Volatility (6M)Calculated over the trailing 6-month period | 1.11% | 4.09% | -2.98% |
Volatility (1Y)Calculated over the trailing 1-year period | 1.54% | 6.30% | -4.76% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 2.69% | 9.54% | -6.85% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 4.33% | 8.23% | -3.90% |