QGMIX vs. QMNNX
Compare and contrast key facts about AQR Macro Opportunities Fund (QGMIX) and AQR Equity Market Neutral Fund N (QMNNX).
QGMIX is managed by AQR Funds. It was launched on Apr 7, 2014. QMNNX is managed by AQR Funds. It was launched on Oct 7, 2014.
Performance
QGMIX vs. QMNNX - Performance Comparison
Loading graphics...
QGMIX vs. QMNNX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
QGMIX AQR Macro Opportunities Fund | 1.64% | 4.00% | -0.95% | 0.01% | 29.30% | -4.54% | 1.60% | 4.90% | 7.80% | -3.38% |
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, QGMIX achieves a 1.64% return, which is significantly higher than QMNNX's -3.52% return. Over the past 10 years, QGMIX has underperformed QMNNX with an annualized return of 3.62%, while QMNNX has yielded a comparatively higher 6.07% annualized return.
QGMIX
- 1D
- -0.50%
- 1M
- -1.29%
- YTD
- 1.64%
- 6M
- 0.14%
- 1Y
- -1.52%
- 3Y*
- 2.37%
- 5Y*
- 4.51%
- 10Y*
- 3.62%
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%
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
QGMIX vs. QMNNX - Expense Ratio Comparison
QGMIX has a 1.20% expense ratio, which is lower than QMNNX's 5.28% expense ratio.
Return for Risk
QGMIX vs. QMNNX — Risk / Return Rank
QGMIX
QMNNX
QGMIX vs. QMNNX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Macro Opportunities Fund (QGMIX) 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.
| QGMIX | QMNNX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | -0.13 | 1.77 | -1.90 |
Sortino ratioReturn per unit of downside risk | -0.12 | 2.40 | -2.52 |
Omega ratioGain probability vs. loss probability | 0.98 | 1.33 | -0.35 |
Calmar ratioReturn relative to maximum drawdown | -0.18 | 2.06 | -2.24 |
Martin ratioReturn relative to average drawdown | -0.44 | 5.15 | -5.59 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Loading graphics...
Sharpe Ratios by Period
| QGMIX | QMNNX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | -0.13 | 1.77 | -1.90 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.45 | 1.94 | -1.48 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.43 | 0.74 | -0.31 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.41 | 0.87 | -0.46 |
Correlation
The correlation between QGMIX and QMNNX is 0.14, 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
QGMIX vs. QMNNX - Dividend Comparison
QGMIX's dividend yield for the trailing twelve months is around 1.41%, more than QMNNX's 1.30% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
QGMIX AQR Macro Opportunities Fund | 1.41% | 1.44% | 1.92% | 10.07% | 7.48% | 1.49% | 0.96% | 0.05% | 3.92% | 0.04% | 6.05% | 5.30% |
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
QGMIX vs. QMNNX - Drawdown Comparison
The maximum QGMIX drawdown since its inception was -13.48%, smaller than the maximum QMNNX drawdown of -39.22%. Use the drawdown chart below to compare losses from any high point for QGMIX and QMNNX.
Loading graphics...
Drawdown Indicators
| QGMIX | QMNNX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -13.48% | -39.22% | +25.74% |
Max Drawdown (1Y)Largest decline over 1 year | -8.68% | -5.47% | -3.21% |
Max Drawdown (5Y)Largest decline over 5 years | -13.48% | -14.23% | +0.75% |
Max Drawdown (10Y)Largest decline over 10 years | -13.48% | -39.22% | +25.74% |
Current DrawdownCurrent decline from peak | -3.09% | -3.92% | +0.83% |
Average DrawdownAverage peak-to-trough decline | -3.95% | -10.67% | +6.72% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.47% | 2.19% | +1.28% |
Volatility
QGMIX vs. QMNNX - Volatility Comparison
AQR Macro Opportunities Fund (QGMIX) has a higher volatility of 2.20% compared to AQR Equity Market Neutral Fund N (QMNNX) at 1.36%. This indicates that QGMIX'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.
Loading graphics...
Volatility by Period
| QGMIX | QMNNX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.20% | 1.36% | +0.84% |
Volatility (6M)Calculated over the trailing 6-month period | 4.32% | 4.07% | +0.25% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.83% | 6.29% | +1.54% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.98% | 9.53% | +0.45% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 8.37% | 8.23% | +0.14% |