BDMAX vs. QMNNX
BDMAX (BlackRock Global Equity Market Neutral Fund) and QMNNX (AQR Equity Market Neutral Fund Class N) are both Equity Market Neutral funds. Both are actively managed. Over the past 10 years, BDMAX returned 8.21%/yr vs 5.90%/yr for QMNNX. Their 0.27 correlation means their historical movements had little consistent relationship. BDMAX charges 1.60%/yr vs 1.62%/yr for QMNNX.
Performance
BDMAX vs. QMNNX - Performance Comparison
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Returns By Period
In the year-to-date period, BDMAX achieves a 11.82% return, which is significantly higher than QMNNX's -6.23% return. Over the past 10 years, BDMAX has outperformed QMNNX with an annualized return of 8.21%, while QMNNX has yielded a comparatively lower 5.90% annualized return.
BDMAX
- 1D
- 1.16%
- 1M
- 1.62%
- 6M
- 10.73%
- YTD
- 11.82%
- 1Y
- 23.19%
- 3Y*
- 20.21%
- 5Y*
- 12.85%
- 10Y*
- 8.21%
- ALL TIME*
- 6.60%
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%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $0.00 | $0.00 | $0.00 |
BDMAX vs. QMNNX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
BDMAX BlackRock Global Equity Market Neutral Fund | 11.82% | 18.08% | 21.12% | 14.27% | 1.57% | 3.11% | -0.05% | -1.02% | 1.86% | 12.57% |
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 BDMAX and QMNNX is 0.44, which is low. Their historical price movements had little consistent relationship.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.44 |
Correlation (3Y) Balances recent behavior with more history. | 0.39 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.28 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.28 |
Correlation (All Time) Calculated using the full available price history since Jan 2, 2015 | 0.27 |
The correlation between BDMAX and QMNNX shifts across timeframes, from 0.27 (all time) to 0.44 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
BDMAX vs. QMNNX — Risk / Return Rank
BDMAX
QMNNX
BDMAX vs. QMNNX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for BlackRock Global Equity Market Neutral Fund (BDMAX) 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.
| BDMAX | QMNNX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +2.42 | ||
| Sortino ratioReturn per unit of downside risk | +3.48 | ||
| Omega ratioGain probability vs. loss probability | 1.60 | 1.14 | +0.47 |
| Calmar ratioReturn relative to maximum drawdown | 7.28 | 0.55 | +6.73 |
| Martin ratioReturn relative to average drawdown | 19.24 | 1.14 | +18.10 |
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Drawdowns
BDMAX vs. QMNNX - Drawdown Comparison
The maximum BDMAX drawdown since its inception was -12.37%, smaller than the maximum QMNNX drawdown of -39.22%. Use the drawdown chart below to compare losses from any high point for BDMAX and QMNNX.
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Drawdown Indicators
| BDMAX | QMNNX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -12.37% | -39.22% | +26.85% |
Max Drawdown (1Y)Largest decline over 1 year | -3.25% | -9.96% | +6.71% |
Max Drawdown (3Y)Largest decline over 3 years | -4.15% | -9.96% | +5.81% |
Max Drawdown (5Y)Largest decline over 5 years | -5.56% | -13.98% | +8.42% |
Max Drawdown (10Y)Largest decline over 10 years | -9.71% | -39.22% | +29.51% |
Current DrawdownCurrent decline from peak | -1.15% | -6.61% | +5.46% |
Average DrawdownAverage peak-to-trough decline | -2.80% | -10.57% | +7.77% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.23% | 4.76% | -3.53% |
Volatility
BDMAX vs. QMNNX - Volatility Comparison
BlackRock Global Equity Market Neutral Fund (BDMAX) and AQR Equity Market Neutral Fund Class N (QMNNX) have volatilities of 2.58% and 2.61%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| BDMAX | QMNNX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.58% | 2.61% | -0.03% |
Volatility (6M)Calculated over the trailing 6-month period | 5.36% | 5.65% | -0.29% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.39% | 7.00% | +0.39% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 6.67% | 9.30% | -2.63% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 5.90% | 8.35% | -2.45% |
BDMAX vs. QMNNX - Expense Ratio Comparison
BDMAX has a 1.60% expense ratio, which is lower than QMNNX's 1.62% expense ratio.
Dividends
BDMAX vs. QMNNX - Dividend Comparison
BDMAX's dividend yield for the trailing twelve months is around 11.66%, more than QMNNX's 1.34% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
BDMAX BlackRock Global Equity Market Neutral Fund | 11.66% | 8.94% | 13.39% | 7.14% | 0.00% | 1.25% | 0.04% | 6.60% | 0.85% | 0.00% | 0.00% | 1.56% |
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
BDMAX and QMNNX have a correlation of 0.44, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
QMNNX has higher volatility (2.61%) compared to BDMAX (2.58%). In terms of maximum drawdown, BDMAX dropped -12.37% vs QMNNX's -39.22%.
BDMAX currently has the higher Sharpe Ratio (3.20 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.
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