QMNIX vs. SPY
Compare and contrast key facts about AQR Equity Market Neutral Fund Class I (QMNIX) and State Street SPDR S&P 500 ETF (SPY).
QMNIX is an actively managed fund by AQR Funds. It was launched on Oct 7, 2014. SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993.
Performance
QMNIX vs. SPY - Performance Comparison
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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 | -3.36% | 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 | -4.37% | 17.72% | 24.89% | 26.18% | -18.18% | 28.73% | 18.33% | 31.22% | -4.57% | 21.71% |
Returns By Period
In the year-to-date period, QMNIX achieves a -3.36% return, which is significantly higher than SPY's -4.37% return. Over the past 10 years, QMNIX has underperformed SPY with an annualized return of 6.35%, while SPY has yielded a comparatively higher 13.98% annualized return.
QMNIX
- 1D
- 0.50%
- 1M
- 0.25%
- YTD
- -3.36%
- 6M
- 2.43%
- 1Y
- 11.48%
- 3Y*
- 21.07%
- 5Y*
- 18.62%
- 10Y*
- 6.35%
SPY
- 1D
- 2.91%
- 1M
- -4.94%
- YTD
- -4.37%
- 6M
- -1.82%
- 1Y
- 17.59%
- 3Y*
- 18.19%
- 5Y*
- 11.69%
- 10Y*
- 13.98%
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QMNIX vs. SPY - Expense Ratio Comparison
QMNIX has a 5.48% expense ratio, which is higher than SPY's 0.09% expense ratio.
Return for Risk
QMNIX vs. SPY — Risk / Return Rank
QMNIX
SPY
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 ratioReturn per unit of total volatility | 1.86 | 0.93 | +0.93 |
Sortino ratioReturn per unit of downside risk | 2.52 | 1.45 | +1.07 |
Omega ratioGain probability vs. loss probability | 1.36 | 1.22 | +0.13 |
Calmar ratioReturn relative to maximum drawdown | 2.13 | 1.53 | +0.61 |
Martin ratioReturn relative to average drawdown | 5.42 | 7.30 | -1.88 |
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
| QMNIX | SPY | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.86 | 0.93 | +0.93 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 1.97 | 0.69 | +1.28 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.78 | 0.78 | -0.01 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.91 | 0.56 | +0.35 |
Correlation
The correlation between QMNIX and SPY is -0.03. 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
QMNIX vs. SPY - Dividend Comparison
QMNIX's dividend yield for the trailing twelve months is around 1.46%, more than SPY's 1.14% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
QMNIX AQR Equity Market Neutral Fund Class I | 1.46% | 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 | 1.14% | 1.07% | 1.21% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% |
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.
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Drawdown Indicators
| QMNIX | SPY | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -38.80% | -55.19% | +16.39% |
Max Drawdown (1Y)Largest decline over 1 year | -5.43% | -12.05% | +6.62% |
Max Drawdown (5Y)Largest decline over 5 years | -14.05% | -24.50% | +10.45% |
Max Drawdown (10Y)Largest decline over 10 years | -38.80% | -33.72% | -5.08% |
Current DrawdownCurrent decline from peak | -3.67% | -6.24% | +2.57% |
Average DrawdownAverage peak-to-trough decline | -10.39% | -9.09% | -1.30% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.14% | 2.52% | -0.38% |
Volatility
QMNIX vs. SPY - Volatility Comparison
The current volatility for AQR Equity Market Neutral Fund Class I (QMNIX) is 1.35%, while State Street SPDR S&P 500 ETF (SPY) has a volatility of 5.31%. This indicates that QMNIX experiences smaller price fluctuations and is considered to be less risky than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| QMNIX | SPY | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.35% | 5.31% | -3.96% |
Volatility (6M)Calculated over the trailing 6-month period | 4.16% | 9.47% | -5.31% |
Volatility (1Y)Calculated over the trailing 1-year period | 6.32% | 19.05% | -12.73% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.50% | 17.06% | -7.56% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 8.22% | 17.92% | -9.70% |