HECA vs. QMNNX

Last updated Jul 15, 2026

HECA (Hedgeye Capital Allocation ETF) and QMNNX (AQR Equity Market Neutral Fund Class N) are both funds - HECA is a Global Allocation fund actively managed by Hedgeye, while QMNNX is a Equity Market Neutral fund actively managed by AQR Funds. Both are actively managed. Over the past year, HECA returned 11.08% vs 3.28% for QMNNX. At a correlation of -0.18, they often move in opposite directions. HECA charges 1.02%/yr vs 1.62%/yr for QMNNX.

Performance

HECA vs. QMNNX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Hedgeye Capital Allocation ETF (HECA) 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, HECA achieves a -1.05% return, which is significantly higher than QMNNX's -7.87% return.

HECA

• 1D: 0.37%
• 1M: 0.59%
• 6M: -4.87%
• YTD: -1.05%
• 1Y: 11.08%
• 3Y*: —
• 5Y*: —
• 10Y*: —

QMNNX

• 1D: 0.54%
• 1M: -1.23%
• 6M: -5.70%
• YTD: -7.87%
• 1Y: 3.28%
• 3Y*: 17.38%
• 5Y*: 17.69%
• 10Y*: 5.79%

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

HECA vs. QMNNX - Yearly Performance Comparison

	2026 (YTD)	2025
HECA Hedgeye Capital Allocation ETF	-1.05%	12.83%
QMNNX AQR Equity Market Neutral Fund Class N	-7.87%	10.40%

Correlation

The correlation between HECA and QMNNX is -0.17, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	-0.17
Correlation (All Time) Calculated using the full available price history since Jul 1, 2025	-0.18

Return for Risk

HECA vs. QMNNX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

HECA

HECA Risk / Return Rank: 26
HECA Sharpe Ratio Rank: 30
HECA Sortino Ratio Rank: 29
HECA Omega Ratio Rank: 29
HECA Calmar Ratio Rank: 22
HECA Martin Ratio Rank: 20

QMNNX

QMNNX Risk / Return Rank: 8
QMNNX Sharpe Ratio Rank: 10
QMNNX Sortino Ratio Rank: 9
QMNNX Omega Ratio Rank: 9
QMNNX Calmar Ratio Rank: 6
QMNNX Martin Ratio Rank: 6

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

HECA vs. QMNNX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Hedgeye Capital Allocation ETF (HECA) 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.

	HECA	QMNNX	Difference
Sharpe ratio: Return per unit of total volatility	0.89	0.53	+0.36
Sortino ratio: Return per unit of downside risk	1.32	0.79	+0.53
Omega ratio: Gain probability vs. loss probability	1.17	1.09	+0.08
Calmar ratio: Return relative to maximum drawdown	0.87	0.36	+0.51
Martin ratio: Return relative to average drawdown	1.85	0.81	+1.04

HECA vs. QMNNX - Sharpe Ratio Comparison

The current HECA Sharpe Ratio is 0.89, which is higher than the QMNNX Sharpe Ratio of 0.53. The chart below compares the historical Sharpe Ratios of HECA 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

HECA vs. QMNNX - Drawdown Comparison

The maximum HECA drawdown since its inception was -12.82%, smaller than the maximum QMNNX drawdown of -39.22%. Use the drawdown chart below to compare losses from any high point for HECA and QMNNX.

Drawdown Indicators

	HECA	QMNNX	Difference
Max Drawdown Largest peak-to-trough decline	-12.82%	-39.22%	+26.40%
Max Drawdown (1Y) Largest decline over 1 year	-12.82%	-9.96%	-2.86%
Max Drawdown (3Y) Largest decline over 3 years	—	-9.96%	—
Max Drawdown (5Y) Largest decline over 5 years	—	-13.98%	—
Max Drawdown (10Y) Largest decline over 10 years	—	-39.22%	—
Current Drawdown Current decline from peak	-11.23%	-8.24%	-2.99%
Average Drawdown Average peak-to-trough decline	-4.03%	-10.58%	+6.55%
Ulcer Index Depth and duration of drawdowns from previous peaks	6.01%	4.42%	+1.59%

Volatility

HECA vs. QMNNX - Volatility Comparison

The current volatility for Hedgeye Capital Allocation ETF (HECA) is 1.57%, while AQR Equity Market Neutral Fund Class N (QMNNX) has a volatility of 2.30%. This indicates that HECA 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.

Volatility by Period

	HECA	QMNNX	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.57%	2.30%	-0.73%
Volatility (6M) Calculated over the trailing 6-month period	8.52%	5.46%	+3.06%
Volatility (1Y) Calculated over the trailing 1-year period	12.44%	6.77%	+5.67%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	12.28%	9.31%	+2.97%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	12.28%	8.32%	+3.96%

HECA vs. QMNNX - Expense Ratio Comparison

HECA has a 1.02% expense ratio, which is lower than QMNNX's 1.62% expense ratio.

Dividends

HECA vs. QMNNX - Dividend Comparison

HECA's dividend yield for the trailing twelve months is around 2.04%, more than QMNNX's 1.36% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
HECA Hedgeye Capital Allocation ETF	2.04%	2.02%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%
QMNNX AQR Equity Market Neutral Fund Class N	1.36%	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 HECA and QMNNX in my portfolio?

HECA and QMNNX have a correlation of -0.17, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, HECA or QMNNX?

QMNNX has higher volatility (2.30%) compared to HECA (1.57%). In terms of maximum drawdown, HECA dropped -12.82% vs QMNNX's -39.22%.

Which has better risk-adjusted returns?

HECA currently has the higher Sharpe Ratio (0.89 vs 0.53), 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.