QMNIX vs. VGWAX

Last updated Apr 1, 2026

Compare and contrast key facts about AQR Equity Market Neutral Fund Class I (QMNIX) and Vanguard Global Wellington Fund Admiral Shares (VGWAX).

QMNIX is an actively managed fund by AQR Funds. It was launched on Oct 7, 2014. VGWAX is managed by Vanguard. It was launched on Nov 2, 2017.

Performance

QMNIX vs. VGWAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AQR Equity Market Neutral Fund Class I (QMNIX) and Vanguard Global Wellington Fund Admiral Shares (VGWAX). The values are adjusted to include any dividend payments, if applicable.

QMNIX vs. VGWAX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018
QMNIX AQR Equity Market Neutral Fund Class I	-3.36%	26.54%	25.85%	16.61%	27.26%	17.64%	-19.62%	-11.30%	-11.37%
VGWAX Vanguard Global Wellington Fund Admiral Shares	1.04%	17.48%	6.27%	12.54%	-7.07%	13.51%	7.51%	22.16%	-5.05%

Returns By Period

In the year-to-date period, QMNIX achieves a -3.36% return, which is significantly lower than VGWAX's 1.04% 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%

VGWAX

• 1D: 0.23%
• 1M: -6.46%
• YTD: 1.04%
• 6M: 5.86%
• 1Y: 13.97%
• 3Y*: 11.30%
• 5Y*: 7.50%
• 10Y*: —

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

QMNIX vs. VGWAX - Expense Ratio Comparison

QMNIX has a 5.48% expense ratio, which is higher than VGWAX's 0.29% expense ratio.

QMNIX

AQR Equity Market Neutral Fund Class I

VGWAX

Vanguard Global Wellington Fund Admiral Shares

Return for Risk

QMNIX vs. VGWAX — Risk / Return Rank

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

QMNIX

QMNIX Risk / Return Rank: 81
QMNIX Sharpe Ratio Rank: 90
QMNIX Sortino Ratio Rank: 90
QMNIX Omega Ratio Rank: 86
QMNIX Calmar Ratio Rank: 85
QMNIX Martin Ratio Rank: 57

VGWAX

VGWAX Risk / Return Rank: 81
VGWAX Sharpe Ratio Rank: 81
VGWAX Sortino Ratio Rank: 81
VGWAX Omega Ratio Rank: 79
VGWAX Calmar Ratio Rank: 82
VGWAX Martin Ratio Rank: 80

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. VGWAX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for AQR Equity Market Neutral Fund Class I (QMNIX) and Vanguard Global Wellington Fund Admiral Shares (VGWAX). 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	VGWAX	Difference
Sharpe ratio Return per unit of total volatility	1.86	1.50	+0.36
Sortino ratio Return per unit of downside risk	2.52	2.05	+0.47
Omega ratio Gain probability vs. loss probability	1.36	1.30	+0.06
Calmar ratio Return relative to maximum drawdown	2.13	1.95	+0.18
Martin ratio Return relative to average drawdown	5.42	7.80	-2.38
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. VGWAX - Sharpe Ratio Comparison

The current QMNIX Sharpe Ratio is 1.86, which is comparable to the VGWAX Sharpe Ratio of 1.50. The chart below compares the historical Sharpe Ratios of QMNIX and VGWAX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Sharpe Ratios by Period

	QMNIX	VGWAX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.86	1.50	+0.36
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	1.97	0.83	+1.14
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.78	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.91	0.74	+0.17

Correlation

The correlation between QMNIX and VGWAX is -0.00. 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. VGWAX - Dividend Comparison

QMNIX's dividend yield for the trailing twelve months is around 1.46%, less than VGWAX's 6.69% 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%
VGWAX Vanguard Global Wellington Fund Admiral Shares	6.69%	6.78%	7.47%	2.66%	4.50%	3.36%	1.64%	2.08%	2.62%	0.00%	0.00%	0.00%

Drawdowns

QMNIX vs. VGWAX - Drawdown Comparison

The maximum QMNIX drawdown since its inception was -38.80%, which is greater than VGWAX's maximum drawdown of -25.28%. Use the drawdown chart below to compare losses from any high point for QMNIX and VGWAX.

Drawdown Indicators

	QMNIX	VGWAX	Difference
Max Drawdown Largest peak-to-trough decline	-38.80%	-25.28%	-13.52%
Max Drawdown (1Y) Largest decline over 1 year	-5.43%	-7.04%	+1.61%
Max Drawdown (5Y) Largest decline over 5 years	-14.05%	-17.46%	+3.41%
Max Drawdown (10Y) Largest decline over 10 years	-38.80%	—	—
Current Drawdown Current decline from peak	-3.67%	-6.46%	+2.79%
Average Drawdown Average peak-to-trough decline	-10.39%	-2.94%	-7.45%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.14%	1.76%	+0.38%

Volatility

QMNIX vs. VGWAX - Volatility Comparison

The current volatility for AQR Equity Market Neutral Fund Class I (QMNIX) is 1.35%, while Vanguard Global Wellington Fund Admiral Shares (VGWAX) has a volatility of 3.38%. This indicates that QMNIX experiences smaller price fluctuations and is considered to be less risky than VGWAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	QMNIX	VGWAX	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.35%	3.38%	-2.03%
Volatility (6M) Calculated over the trailing 6-month period	4.16%	5.80%	-1.64%
Volatility (1Y) Calculated over the trailing 1-year period	6.32%	9.58%	-3.26%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	9.50%	9.09%	+0.41%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	8.22%	10.99%	-2.77%