QMNIX vs. SPY

Last updated Jun 4, 2026

QMNIX (AQR Equity Market Neutral Fund Class I) and SPY (State Street SPDR S&P 500 ETF) are both funds - QMNIX is a Equity Market Neutral fund actively managed by AQR Funds, while SPY is a S&P 500 fund tracking the S&P 500 Index. QMNIX is actively managed, while SPY is passively managed. Over the past 10 years, QMNIX returned 6.27%/yr vs 15.49%/yr for SPY. At a correlation of -0.04, they often move in opposite directions. QMNIX charges 5.48%/yr vs 0.09%/yr for SPY.

Performance

QMNIX vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AQR Equity Market Neutral Fund Class I (QMNIX) and State Street SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, QMNIX achieves a -5.92% return, which is significantly lower than SPY's 10.91% return. Over the past 10 years, QMNIX has underperformed SPY with an annualized return of 6.27%, while SPY has yielded a comparatively higher 15.49% annualized return.

QMNIX

• 1D: -0.76%
• 1M: 1.12%
• YTD: -5.92%
• 6M: -3.04%
• 1Y: 3.62%
• 3Y*: 19.94%
• 5Y*: 17.18%
• 10Y*: 6.27%

SPY

• 1D: -0.70%
• 1M: 5.05%
• YTD: 10.91%
• 6M: 10.91%
• 1Y: 27.98%
• 3Y*: 22.35%
• 5Y*: 13.83%
• 10Y*: 15.49%

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

QMNIX vs. SPY - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
QMNIX AQR Equity Market Neutral Fund Class I	-5.92%	26.54%	25.85%	16.61%	27.26%	17.64%	-19.62%	-11.30%	-11.73%	5.85%
SPY State Street SPDR S&P 500 ETF	10.91%	17.72%	24.89%	26.18%	-18.18%	28.73%	18.33%	31.22%	-4.57%	21.71%

Correlation

The correlation between QMNIX and SPY is -0.11, 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	-0.11
Correlation (3Y) Calculated over the trailing 3-year period	-0.07
Correlation (5Y) Calculated over the trailing 5-year period	-0.14
Correlation (10Y) Calculated over the trailing 10-year period	-0.05
Correlation (All Time) Calculated using the full available price history since Jan 5, 2015	-0.04

The correlation between QMNIX and SPY shifts across timeframes, from -0.14 (5 years) to -0.04 (all time), reflecting how their relationship changes across market environments.

Return for Risk

QMNIX vs. SPY — Risk / Return Rank

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

QMNIX

QMNIX Risk / Return Rank: 6
QMNIX Sharpe Ratio Rank: 7
QMNIX Sortino Ratio Rank: 6
QMNIX Omega Ratio Rank: 6
QMNIX Calmar Ratio Rank: 5
QMNIX Martin Ratio Rank: 4

SPY

SPY Risk / Return Rank: 70
SPY Sharpe Ratio Rank: 71
SPY Sortino Ratio Rank: 69
SPY Omega Ratio Rank: 70
SPY Calmar Ratio Rank: 62
SPY Martin Ratio Rank: 75

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.

QMNIX vs. SPY - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for AQR Equity Market Neutral Fund Class I (QMNIX) and State Street SPDR S&P 500 ETF (SPY). 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.

	QMNIX	SPY	Difference
Sharpe ratio Return per unit of total volatility	0.54	2.38	-1.84
Sortino ratio Return per unit of downside risk	0.79	3.24	-2.45
Omega ratio Gain probability vs. loss probability	1.10	1.43	-0.33
Calmar ratio Return relative to maximum drawdown	0.44	3.16	-2.73
Martin ratio Return relative to average drawdown	1.02	14.72	-13.69
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

QMNIX vs. SPY - Sharpe Ratio Comparison

The current QMNIX Sharpe Ratio is 0.54, which is lower than the SPY Sharpe Ratio of 2.38. The chart below compares the historical Sharpe Ratios of QMNIX and SPY, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	QMNIX	SPY	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.54	2.38	-1.84
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	1.85	0.82	+1.03
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.76	0.87	-0.11
Sharpe Ratio (All Time) Calculated using the full available price history	0.86	0.59	+0.28

Drawdowns

QMNIX vs. SPY - Drawdown Comparison

The maximum QMNIX drawdown since its inception was -38.80%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for QMNIX and SPY.

Drawdown Indicators

	QMNIX	SPY	Difference
Max Drawdown Largest peak-to-trough decline	-38.80%	-55.19%	+16.39%
Max Drawdown (1Y) Largest decline over 1 year	-8.30%	-8.88%	+0.58%
Max Drawdown (3Y) Largest decline over 3 years	-8.30%	-18.76%	+10.46%
Max Drawdown (5Y) Largest decline over 5 years	-13.86%	-24.50%	+10.64%
Max Drawdown (10Y) Largest decline over 10 years	-38.80%	-33.72%	-5.08%
Current Drawdown Current decline from peak	-6.23%	-0.70%	-5.53%
Average Drawdown Average peak-to-trough decline	-10.34%	-9.05%	-1.29%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.54%	1.91%	+1.63%

Volatility

QMNIX vs. SPY - Volatility Comparison

AQR Equity Market Neutral Fund Class I (QMNIX) and State Street SPDR S&P 500 ETF (SPY) have volatilities of 2.78% and 2.84%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	QMNIX	SPY	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.78%	2.84%	-0.06%
Volatility (6M) Calculated over the trailing 6-month period	5.23%	8.90%	-3.67%
Volatility (1Y) Calculated over the trailing 1-year period	6.72%	11.83%	-5.11%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	9.36%	17.05%	-7.69%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	8.29%	17.94%	-9.65%

QMNIX vs. SPY - Expense Ratio Comparison

QMNIX has a 5.48% expense ratio, which is higher than SPY's 0.09% expense ratio.

Dividends

QMNIX vs. SPY - Dividend Comparison

QMNIX's dividend yield for the trailing twelve months is around 1.50%, more than SPY's 0.98% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
QMNIX AQR Equity Market Neutral Fund Class I	1.50%	1.41%	6.10%	21.48%	5.95%	1.39%	17.42%	3.83%	0.48%	3.48%	1.51%	2.57%
SPY State Street SPDR S&P 500 ETF	0.98%	1.07%	1.21%	1.40%	1.65%	1.20%	1.52%	1.75%	2.04%	1.80%	2.03%	2.06%

Frequently Asked Questions

Can I hold both QMNIX and SPY in my portfolio?

QMNIX and SPY have a correlation of -0.11, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, QMNIX or SPY?

SPY has higher volatility (2.84%) compared to QMNIX (2.78%). In terms of maximum drawdown, QMNIX dropped -38.80% vs SPY's -55.19%.

Which has better risk-adjusted returns?

SPY currently has the higher Sharpe Ratio (2.38 vs 0.54), 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.