ARCNX vs. QMNNX

Last updated Aug 1, 2026

ARCNX (AQR Risk-Balanced Commodities Strategy Fund Class N) and QMNNX (AQR Equity Market Neutral Fund Class N) are both mutual funds - ARCNX is a Commodities fund managed by AQR, while QMNNX is a Equity Market Neutral fund actively managed by AQR. Over the past 10 years, ARCNX returned 11.32%/yr vs 5.90%/yr for QMNNX. Their -0.02 correlation means they have often moved in opposite directions in the past. ARCNX charges 1.28%/yr vs 1.62%/yr for QMNNX.

Performance

ARCNX vs. QMNNX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AQR Risk-Balanced Commodities Strategy Fund Class N (ARCNX) and AQR Equity Market Neutral Fund Class N (QMNNX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, ARCNX achieves a 16.04% return, which is significantly higher than QMNNX's -6.23% return. Over the past 10 years, ARCNX has outperformed QMNNX with an annualized return of 11.32%, while QMNNX has yielded a comparatively lower 5.90% annualized return.

ARCNX

• 1D: 0.29%
• 1M: 5.32%
• 6M: 7.37%
• YTD: 16.04%
• 1Y: 33.40%
• 3Y*: 13.01%
• 5Y*: 14.23%
• 10Y*: 11.32%
• ALL TIME*: 4.59%

QMNNX

• 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%

*Multi-year figures are annualized to reflect compound growth (CAGR)

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
ARCNX AQR Risk-Balanced Commodities Strategy Fund Class N	$0.00	$0.00	$0.00
QMNNX AQR Equity Market Neutral Fund Class N	$0.00	$0.00	$0.00

ARCNX vs. QMNNX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
ARCNX AQR Risk-Balanced Commodities Strategy Fund Class N	16.04%	20.76%	7.19%	-0.50%	20.97%	39.48%	8.11%	17.68%	-17.83%	10.20%
QMNNX AQR Equity Market Neutral Fund Class N	-6.23%	26.19%	25.43%	16.30%	27.07%	17.38%	-19.79%	-11.55%	-11.94%	5.56%

Correlation

The correlation between ARCNX and QMNNX is 0.12, which is low. Their historical price movements had little consistent relationship.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.12
Correlation (3Y) Balances recent behavior with more history.	0.01
Correlation (5Y) Shows whether the relationship held over a longer period.	0.06
Correlation (10Y) Provides a long-term view across more market conditions.	0.02
Correlation (All Time) Calculated using the full available price history since Jan 2, 2015	-0.02

The correlation between ARCNX and QMNNX shifts across timeframes, from -0.02 (all time) to 0.12 (1 year), reflecting how their relationship changes across market environments.

Return for Risk

ARCNX vs. QMNNX — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

ARCNX

ARCNX Risk / Return Rank: 70
ARCNX Sharpe Ratio Rank: 82
ARCNX Sortino Ratio Rank: 75
ARCNX Omega Ratio Rank: 77
ARCNX Calmar Ratio Rank: 65
ARCNX Martin Ratio Rank: 52

QMNNX

QMNNX Risk / Return Rank: 18
QMNNX Sharpe Ratio Rank: 23
QMNNX Sortino Ratio Rank: 22
QMNNX Omega Ratio Rank: 21
QMNNX Calmar Ratio Rank: 12
QMNNX Martin Ratio Rank: 10

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

ARCNX vs. QMNNX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for AQR Risk-Balanced Commodities Strategy Fund Class N (ARCNX) and AQR Equity Market Neutral Fund Class 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.

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.

	ARCNX	QMNNX	Difference
Sharpe ratio: Return per unit of total volatility	1.98	0.78	+1.20
Sortino ratio: Return per unit of downside risk	2.58	1.15	+1.43
Omega ratio: Gain probability vs. loss probability	1.34	1.14	+0.21
Calmar ratio: Return relative to maximum drawdown	2.17	0.55	+1.62
Martin ratio: Return relative to average drawdown	7.07	1.14	+5.93

ARCNX vs. QMNNX - Sharpe Ratio Comparison

The current ARCNX Sharpe Ratio is 1.98, which is higher than the QMNNX Sharpe Ratio of 0.78. The chart below compares the historical Sharpe Ratios of ARCNX and QMNNX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

ARCNX vs. QMNNX - Drawdown Comparison

The maximum ARCNX drawdown since its inception was -55.17%, which is greater than QMNNX's maximum drawdown of -39.22%. Use the drawdown chart below to compare losses from any high point for ARCNX and QMNNX.

Drawdown Indicators

	ARCNX	QMNNX	Difference
Max Drawdown Largest peak-to-trough decline	-55.17%	-39.22%	-15.95%
Max Drawdown (1Y) Largest decline over 1 year	-14.52%	-9.96%	-4.56%
Max Drawdown (3Y) Largest decline over 3 years	-14.52%	-9.96%	-4.56%
Max Drawdown (5Y) Largest decline over 5 years	-20.30%	-13.98%	-6.32%
Max Drawdown (10Y) Largest decline over 10 years	-32.80%	-39.22%	+6.42%
Current Drawdown Current decline from peak	-8.22%	-6.61%	-1.61%
Average Drawdown Average peak-to-trough decline	-25.77%	-10.57%	-15.20%
Ulcer Index Depth and duration of drawdowns from previous peaks	4.45%	4.76%	-0.31%

Volatility

ARCNX vs. QMNNX - Volatility Comparison

AQR Risk-Balanced Commodities Strategy Fund Class N (ARCNX) has a higher volatility of 4.80% compared to AQR Equity Market Neutral Fund Class N (QMNNX) at 2.61%. This indicates that ARCNX's price experiences larger fluctuations and is considered to be riskier than QMNNX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	ARCNX	QMNNX	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.80%	2.61%	+2.19%
Volatility (6M) Calculated over the trailing 6-month period	13.19%	5.65%	+7.54%
Volatility (1Y) Calculated over the trailing 1-year period	15.96%	7.00%	+8.96%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	18.92%	9.30%	+9.62%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.45%	8.35%	+9.10%

ARCNX vs. QMNNX - Expense Ratio Comparison

ARCNX has a 1.28% expense ratio, which is lower than QMNNX's 1.62% expense ratio.

Dividends

ARCNX vs. QMNNX - Dividend Comparison

ARCNX's dividend yield for the trailing twelve months is around 11.69%, more than QMNNX's 1.34% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
ARCNX AQR Risk-Balanced Commodities Strategy Fund Class N	11.69%	13.57%	1.89%	7.45%	9.45%	18.31%	0.09%	4.98%	0.29%	0.01%	4.69%	0.00%
QMNNX AQR Equity Market Neutral Fund Class N	1.34%	1.26%	6.06%	21.67%	5.77%	1.41%	17.64%	3.86%	0.49%	3.37%	1.19%	2.51%

Frequently Asked Questions

Can I hold both ARCNX and QMNNX in my portfolio?

ARCNX and QMNNX have a correlation of 0.12, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ARCNX or QMNNX?

ARCNX has higher volatility (4.80%) compared to QMNNX (2.61%). In terms of maximum drawdown, ARCNX dropped -55.17% vs QMNNX's -39.22%.

Which has better risk-adjusted returns?

ARCNX currently has the higher Sharpe Ratio (1.98 vs 0.78), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.