AUEIX vs. QMNNX
Compare and contrast key facts about AQR Large Cap Defensive Style Fund (AUEIX) and AQR Equity Market Neutral Fund N (QMNNX).
AUEIX is managed by AQR Funds. It was launched on Jul 9, 2012. QMNNX is managed by AQR Funds. It was launched on Oct 7, 2014.
Performance
AUEIX vs. QMNNX - Performance Comparison
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AUEIX vs. QMNNX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
AUEIX AQR Large Cap Defensive Style Fund | 1.76% | 6.95% | 13.85% | 9.49% | -13.81% | 23.52% | 13.10% | 28.63% | -0.27% | 22.14% |
QMNNX AQR Equity Market Neutral Fund N | -3.52% | 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, AUEIX achieves a 1.76% return, which is significantly higher than QMNNX's -3.52% return. Over the past 10 years, AUEIX has outperformed QMNNX with an annualized return of 10.56%, while QMNNX has yielded a comparatively lower 6.07% annualized return.
AUEIX
- 1D
- 0.96%
- 1M
- -4.32%
- YTD
- 1.76%
- 6M
- -0.28%
- 1Y
- 3.95%
- 3Y*
- 10.04%
- 5Y*
- 6.77%
- 10Y*
- 10.56%
QMNNX
- 1D
- -0.17%
- 1M
- 0.43%
- YTD
- -3.52%
- 6M
- 1.87%
- 1Y
- 10.76%
- 3Y*
- 20.68%
- 5Y*
- 18.37%
- 10Y*
- 6.07%
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AUEIX vs. QMNNX - Expense Ratio Comparison
AUEIX has a 0.37% expense ratio, which is lower than QMNNX's 5.28% expense ratio.
Return for Risk
AUEIX vs. QMNNX — Risk / Return Rank
AUEIX
QMNNX
AUEIX vs. QMNNX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Large Cap Defensive Style Fund (AUEIX) 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.
| AUEIX | QMNNX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.34 | 1.77 | -1.43 |
Sortino ratioReturn per unit of downside risk | 0.56 | 2.40 | -1.84 |
Omega ratioGain probability vs. loss probability | 1.08 | 1.33 | -0.25 |
Calmar ratioReturn relative to maximum drawdown | 0.55 | 2.06 | -1.51 |
Martin ratioReturn relative to average drawdown | 2.51 | 5.15 | -2.63 |
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
| AUEIX | QMNNX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.34 | 1.77 | -1.43 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.52 | 1.94 | -1.42 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.70 | 0.74 | -0.04 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.84 | 0.87 | -0.04 |
Correlation
The correlation between AUEIX and QMNNX is 0.01, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Dividends
AUEIX vs. QMNNX - Dividend Comparison
AUEIX's dividend yield for the trailing twelve months is around 22.31%, more than QMNNX's 1.30% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
AUEIX AQR Large Cap Defensive Style Fund | 22.31% | 22.70% | 24.31% | 24.28% | 10.26% | 2.54% | 1.29% | 1.12% | 1.67% | 2.36% | 1.99% | 6.18% |
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
AUEIX vs. QMNNX - Drawdown Comparison
The maximum AUEIX drawdown since its inception was -30.82%, smaller than the maximum QMNNX drawdown of -39.22%. Use the drawdown chart below to compare losses from any high point for AUEIX and QMNNX.
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Drawdown Indicators
| AUEIX | QMNNX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -30.82% | -39.22% | +8.40% |
Max Drawdown (1Y)Largest decline over 1 year | -8.94% | -5.47% | -3.47% |
Max Drawdown (5Y)Largest decline over 5 years | -22.08% | -14.23% | -7.85% |
Max Drawdown (10Y)Largest decline over 10 years | -30.82% | -39.22% | +8.40% |
Current DrawdownCurrent decline from peak | -4.32% | -3.92% | -0.40% |
Average DrawdownAverage peak-to-trough decline | -3.44% | -10.67% | +7.23% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.96% | 2.19% | -0.23% |
Volatility
AUEIX vs. QMNNX - Volatility Comparison
AQR Large Cap Defensive Style Fund (AUEIX) has a higher volatility of 2.79% compared to AQR Equity Market Neutral Fund N (QMNNX) at 1.36%. This indicates that AUEIX'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.
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Volatility by Period
| AUEIX | QMNNX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.79% | 1.36% | +1.43% |
Volatility (6M)Calculated over the trailing 6-month period | 5.78% | 4.07% | +1.71% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.06% | 6.29% | +5.77% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 13.07% | 9.53% | +3.54% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 15.21% | 8.23% | +6.98% |