QCELX vs. QMNNX
Compare and contrast key facts about AQR Large Cap Multi-Style Fund (QCELX) and AQR Equity Market Neutral Fund N (QMNNX).
QCELX is managed by AQR Funds. It was launched on Mar 26, 2013. QMNNX is managed by AQR Funds. It was launched on Oct 7, 2014.
Performance
QCELX vs. QMNNX - Performance Comparison
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QCELX vs. QMNNX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
QCELX AQR Large Cap Multi-Style Fund | -0.05% | 23.38% | 22.73% | 26.30% | -15.73% | 27.18% | 14.93% | 24.33% | -10.96% | 22.73% |
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, QCELX achieves a -0.05% return, which is significantly higher than QMNNX's -3.52% return. Over the past 10 years, QCELX has outperformed QMNNX with an annualized return of 13.18%, while QMNNX has yielded a comparatively lower 6.07% annualized return.
QCELX
- 1D
- 2.92%
- 1M
- -4.33%
- YTD
- -0.05%
- 6M
- 2.88%
- 1Y
- 28.05%
- 3Y*
- 21.93%
- 5Y*
- 13.20%
- 10Y*
- 13.18%
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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QCELX vs. QMNNX - Expense Ratio Comparison
QCELX has a 0.41% expense ratio, which is lower than QMNNX's 5.28% expense ratio.
Return for Risk
QCELX vs. QMNNX — Risk / Return Rank
QCELX
QMNNX
QCELX vs. QMNNX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Large Cap Multi-Style Fund (QCELX) 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.
| QCELX | QMNNX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.55 | 1.77 | -0.21 |
Sortino ratioReturn per unit of downside risk | 2.26 | 2.40 | -0.14 |
Omega ratioGain probability vs. loss probability | 1.34 | 1.33 | 0.00 |
Calmar ratioReturn relative to maximum drawdown | 2.52 | 2.06 | +0.46 |
Martin ratioReturn relative to average drawdown | 12.59 | 5.15 | +7.45 |
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
| QCELX | QMNNX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.55 | 1.77 | -0.21 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.70 | 1.94 | -1.24 |
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 | 0.64 | 0.87 | -0.23 |
Correlation
The correlation between QCELX and QMNNX is 0.04, 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
QCELX vs. QMNNX - Dividend Comparison
QCELX's dividend yield for the trailing twelve months is around 14.41%, more than QMNNX's 1.30% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
QCELX AQR Large Cap Multi-Style Fund | 14.41% | 14.40% | 12.89% | 13.67% | 11.05% | 12.41% | 9.94% | 5.36% | 7.81% | 0.99% | 1.28% | 0.89% |
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
QCELX vs. QMNNX - Drawdown Comparison
The maximum QCELX drawdown since its inception was -33.52%, smaller than the maximum QMNNX drawdown of -39.22%. Use the drawdown chart below to compare losses from any high point for QCELX and QMNNX.
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Drawdown Indicators
| QCELX | QMNNX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -33.52% | -39.22% | +5.70% |
Max Drawdown (1Y)Largest decline over 1 year | -11.68% | -5.47% | -6.21% |
Max Drawdown (5Y)Largest decline over 5 years | -28.70% | -14.23% | -14.47% |
Max Drawdown (10Y)Largest decline over 10 years | -33.52% | -39.22% | +5.70% |
Current DrawdownCurrent decline from peak | -5.23% | -3.92% | -1.31% |
Average DrawdownAverage peak-to-trough decline | -5.73% | -10.67% | +4.94% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.34% | 2.19% | +0.15% |
Volatility
QCELX vs. QMNNX - Volatility Comparison
AQR Large Cap Multi-Style Fund (QCELX) has a higher volatility of 5.33% compared to AQR Equity Market Neutral Fund N (QMNNX) at 1.36%. This indicates that QCELX'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
| QCELX | QMNNX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 5.33% | 1.36% | +3.97% |
Volatility (6M)Calculated over the trailing 6-month period | 10.27% | 4.07% | +6.20% |
Volatility (1Y)Calculated over the trailing 1-year period | 18.73% | 6.29% | +12.44% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 18.96% | 9.53% | +9.43% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 18.96% | 8.23% | +10.73% |