HECA vs. QMNNX

Last updated Jun 5, 2026

HECA (Hedgeye Capital Allocation ETF) and QMNNX (AQR Equity Market Neutral Fund N) are both funds - HECA is a Global Allocation fund actively managed by Hedgeye, while QMNNX is a Equity Market Neutral fund managed by AQR Funds. At a correlation of -0.19, they often move in opposite directions. HECA charges 1.02%/yr vs 5.28%/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 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 0.54% return, which is significantly higher than QMNNX's -5.98% return.

HECA

• 1D: 0.32%
• 1M: -0.14%
• YTD: 0.54%
• 6M: -0.07%
• 1Y: —
• 3Y*: —
• 5Y*: —
• 10Y*: —

QMNNX

• 1D: 0.00%
• 1M: 1.33%
• YTD: -5.98%
• 6M: -3.37%
• 1Y: 3.79%
• 3Y*: 19.60%
• 5Y*: 16.89%
• 10Y*: 6.01%

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

HECA vs. QMNNX - Yearly Performance Comparison

	2026 (YTD)	2025
HECA Hedgeye Capital Allocation ETF	0.54%	12.83%
QMNNX AQR Equity Market Neutral Fund N	-5.98%	10.10%

Correlation

The correlation between HECA and QMNNX is -0.19, 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 (All Time) Calculated using the full available price history since Jul 2, 2025	-0.19

Return for Risk

HECA vs. QMNNX — Risk / Return Rank

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

QMNNX

QMNNX Risk / Return Rank: 5
QMNNX Sharpe Ratio Rank: 6
QMNNX Sortino Ratio Rank: 6
QMNNX Omega Ratio Rank: 6
QMNNX Calmar Ratio Rank: 5
QMNNX Martin Ratio Rank: 5

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 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.

Risk / return metrics aren't available yet — we need at least 12 months of trading data to calculate them.

Sharpe Ratios by Period

	HECA	QMNNX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	—	0.50	—
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	—	1.81	—
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.73	—
Sharpe Ratio (All Time) Calculated using the full available price history	1.18	0.83	+0.35

Drawdowns

HECA vs. QMNNX - Drawdown Comparison

The maximum HECA drawdown since its inception was -11.81%, 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	-11.81%	-39.22%	+27.41%
Max Drawdown (1Y) Largest decline over 1 year	—	-8.41%	—
Max Drawdown (3Y) Largest decline over 3 years	—	-8.41%	—
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	-9.80%	-6.37%	-3.43%
Average Drawdown Average peak-to-trough decline	-3.18%	-10.61%	+7.43%
Ulcer Index Depth and duration of drawdowns from previous peaks	—	3.63%	—

Volatility

Volatility by Period

	HECA	QMNNX	Difference
Volatility (1M) Calculated over the trailing 1-month period	—	2.81%	—
Volatility (6M) Calculated over the trailing 6-month period	—	5.24%	—
Volatility (1Y) Calculated over the trailing 1-year period	12.41%	6.72%	+5.69%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	12.41%	9.40%	+3.01%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	12.41%	8.30%	+4.11%

HECA vs. QMNNX - Expense Ratio Comparison

HECA has a 1.02% expense ratio, which is lower than QMNNX's 5.28% expense ratio.

Dividends

HECA vs. QMNNX - Dividend Comparison

HECA's dividend yield for the trailing twelve months is around 2.01%, more than QMNNX's 1.34% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
HECA Hedgeye Capital Allocation ETF	2.01%	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 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 HECA and QMNNX in my portfolio?

HECA and QMNNX have a correlation of -0.19, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.