MMTM vs. QMNNX
Compare and contrast key facts about SPDR S&P 1500 Momentum Tilt ETF (MMTM) and AQR Equity Market Neutral Fund N (QMNNX).
MMTM is a passively managed fund by State Street that tracks the performance of the S&P 1500 Positive Momentum Tilt Index. It was launched on Oct 24, 2012. QMNNX is managed by AQR Funds. It was launched on Oct 7, 2014.
Performance
MMTM vs. QMNNX - Performance Comparison
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MMTM vs. QMNNX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
MMTM SPDR S&P 1500 Momentum Tilt ETF | -2.62% | 13.26% | 29.94% | 22.49% | -16.12% | 26.33% | 19.27% | 29.98% | -4.62% | 24.41% |
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, MMTM achieves a -2.62% return, which is significantly higher than QMNNX's -3.52% return. Over the past 10 years, MMTM has outperformed QMNNX with an annualized return of 13.89%, while QMNNX has yielded a comparatively lower 6.07% annualized return.
MMTM
- 1D
- 1.29%
- 1M
- -3.99%
- YTD
- -2.62%
- 6M
- -0.30%
- 1Y
- 18.11%
- 3Y*
- 20.04%
- 5Y*
- 12.33%
- 10Y*
- 13.89%
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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MMTM vs. QMNNX - Expense Ratio Comparison
MMTM has a 0.12% expense ratio, which is lower than QMNNX's 5.28% expense ratio.
Return for Risk
MMTM vs. QMNNX — Risk / Return Rank
MMTM
QMNNX
MMTM vs. QMNNX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for SPDR S&P 1500 Momentum Tilt ETF (MMTM) 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.
| MMTM | QMNNX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.86 | 1.77 | -0.91 |
Sortino ratioReturn per unit of downside risk | 1.34 | 2.40 | -1.05 |
Omega ratioGain probability vs. loss probability | 1.20 | 1.33 | -0.14 |
Calmar ratioReturn relative to maximum drawdown | 1.44 | 2.06 | -0.62 |
Martin ratioReturn relative to average drawdown | 6.58 | 5.15 | +1.43 |
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
| MMTM | QMNNX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.86 | 1.77 | -0.91 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.68 | 1.94 | -1.26 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.75 | 0.74 | +0.01 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.80 | 0.87 | -0.07 |
Correlation
The correlation between MMTM and QMNNX is -0.01. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.
Dividends
MMTM vs. QMNNX - Dividend Comparison
MMTM's dividend yield for the trailing twelve months is around 0.88%, less than QMNNX's 1.30% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
MMTM SPDR S&P 1500 Momentum Tilt ETF | 0.88% | 0.86% | 0.83% | 1.16% | 1.67% | 0.95% | 1.14% | 1.55% | 1.64% | 1.52% | 1.98% | 1.68% |
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
MMTM vs. QMNNX - Drawdown Comparison
The maximum MMTM drawdown since its inception was -33.85%, smaller than the maximum QMNNX drawdown of -39.22%. Use the drawdown chart below to compare losses from any high point for MMTM and QMNNX.
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Drawdown Indicators
| MMTM | QMNNX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -33.85% | -39.22% | +5.37% |
Max Drawdown (1Y)Largest decline over 1 year | -13.12% | -5.47% | -7.65% |
Max Drawdown (5Y)Largest decline over 5 years | -23.72% | -14.23% | -9.49% |
Max Drawdown (10Y)Largest decline over 10 years | -33.85% | -39.22% | +5.37% |
Current DrawdownCurrent decline from peak | -5.57% | -3.92% | -1.65% |
Average DrawdownAverage peak-to-trough decline | -4.24% | -10.67% | +6.43% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.87% | 2.19% | +0.68% |
Volatility
MMTM vs. QMNNX - Volatility Comparison
SPDR S&P 1500 Momentum Tilt ETF (MMTM) has a higher volatility of 6.53% compared to AQR Equity Market Neutral Fund N (QMNNX) at 1.36%. This indicates that MMTM'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
| MMTM | QMNNX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 6.53% | 1.36% | +5.17% |
Volatility (6M)Calculated over the trailing 6-month period | 12.12% | 4.07% | +8.05% |
Volatility (1Y)Calculated over the trailing 1-year period | 21.28% | 6.29% | +14.99% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 18.29% | 9.53% | +8.76% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 18.68% | 8.23% | +10.45% |