QMNNX vs. MVCKX
QMNNX (AQR Equity Market Neutral Fund Class N) and MVCKX (MFS Mid Cap Value Fund Class R6) are both mutual funds - QMNNX is a Equity Market Neutral fund actively managed by AQR, while MVCKX is a Mid Cap Value Equities fund actively managed by MFS. Both are actively managed. Over the past 10 years, QMNNX returned 5.90%/yr vs 9.80%/yr for MVCKX. Their -0.02 correlation means they have often moved in opposite directions in the past. QMNNX charges 1.62%/yr vs 0.62%/yr for MVCKX.
Performance
QMNNX vs. MVCKX - Performance Comparison
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Returns By Period
In the year-to-date period, QMNNX achieves a -6.23% return, which is significantly lower than MVCKX's 15.30% return. Over the past 10 years, QMNNX has underperformed MVCKX with an annualized return of 5.90%, while MVCKX has yielded a comparatively higher 9.80% annualized return.
QMNNX
- 1D
- 1.24%
- 1M
- 3.72%
- 6M
- -3.21%
- YTD
- -6.23%
- 1Y
- 5.21%
- 3Y*
- 17.30%
- 5Y*
- 18.24%
- 10Y*
- 5.90%
- ALL TIME*
- 6.64%
MVCKX
- 1D
- -0.44%
- 1M
- 1.46%
- 6M
- 11.03%
- YTD
- 15.30%
- 1Y
- 21.61%
- 3Y*
- 10.59%
- 5Y*
- 8.13%
- 10Y*
- 9.80%
- ALL TIME*
- 9.31%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $0.00 | $0.00 | $0.00 |
QMNNX vs. MVCKX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
QMNNX AQR Equity Market Neutral Fund Class N | -6.23% | 26.19% | 25.43% | 16.30% | 27.07% | 17.38% | -19.79% | -11.55% | -11.94% | 5.56% |
MVCKX MFS Mid Cap Value Fund Class R6 | 15.30% | 6.47% | 6.80% | 12.92% | -8.62% | 30.93% | 4.40% | 31.11% | -11.35% | 13.83% |
Correlation
The correlation between QMNNX and MVCKX is -0.25, meaning they have often moved in opposite directions in the past. This relationship can weaken or reverse as market conditions change.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | -0.25 |
Correlation (3Y) Balances recent behavior with more history. | -0.14 |
Correlation (5Y) Shows whether the relationship held over a longer period. | -0.09 |
Correlation (10Y) Provides a long-term view across more market conditions. | -0.01 |
Correlation (All Time) Calculated using the full available price history since Jan 2, 2015 | -0.02 |
Over the past year, the inverse relationship between QMNNX and MVCKX has strengthened: their correlation has moved from -0.02 to -0.25, meaning they now move in opposite directions more often than their long-term average.
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Return for Risk
QMNNX vs. MVCKX — Risk / Return Rank
QMNNX
MVCKX
QMNNX vs. MVCKX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Equity Market Neutral Fund Class N (QMNNX) and MFS Mid Cap Value Fund Class R6 (MVCKX). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| QMNNX | MVCKX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.69 | ||
| Sortino ratioReturn per unit of downside risk | -1.07 | ||
| Omega ratioGain probability vs. loss probability | 1.14 | 1.26 | -0.13 |
| Calmar ratioReturn relative to maximum drawdown | 0.55 | 2.11 | -1.56 |
| Martin ratioReturn relative to average drawdown | 1.14 | 7.33 | -6.20 |
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Drawdowns
QMNNX vs. MVCKX - Drawdown Comparison
The maximum QMNNX drawdown since its inception was -39.22%, smaller than the maximum MVCKX drawdown of -42.75%. Use the drawdown chart below to compare losses from any high point for QMNNX and MVCKX.
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Drawdown Indicators
| QMNNX | MVCKX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -39.22% | -42.75% | +3.53% |
Max Drawdown (1Y)Largest decline over 1 year | -9.96% | -9.36% | -0.60% |
Max Drawdown (3Y)Largest decline over 3 years | -9.96% | -25.96% | +16.00% |
Max Drawdown (5Y)Largest decline over 5 years | -13.98% | -25.96% | +11.98% |
Max Drawdown (10Y)Largest decline over 10 years | -39.22% | -42.75% | +3.53% |
Current DrawdownCurrent decline from peak | -6.61% | -1.37% | -5.24% |
Average DrawdownAverage peak-to-trough decline | -10.57% | -5.21% | -5.36% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 4.76% | 2.69% | +2.07% |
Volatility
QMNNX vs. MVCKX - Volatility Comparison
The current volatility for AQR Equity Market Neutral Fund Class N (QMNNX) is 2.61%, while MFS Mid Cap Value Fund Class R6 (MVCKX) has a volatility of 3.35%. This indicates that QMNNX experiences smaller price fluctuations and is considered to be less risky than MVCKX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| QMNNX | MVCKX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.61% | 3.35% | -0.74% |
Volatility (6M)Calculated over the trailing 6-month period | 5.65% | 9.74% | -4.09% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.00% | 13.46% | -6.46% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.30% | 17.45% | -8.15% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 8.35% | 19.32% | -10.97% |
QMNNX vs. MVCKX - Expense Ratio Comparison
QMNNX has a 1.62% expense ratio, which is higher than MVCKX's 0.62% expense ratio.
Dividends
QMNNX vs. MVCKX - Dividend Comparison
QMNNX's dividend yield for the trailing twelve months is around 1.34%, less than MVCKX's 7.17% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
MVCKX MFS Mid Cap Value Fund Class R6 | 7.17% | 8.27% | 3.87% | 3.00% | 5.44% | 5.88% | 1.12% | 2.32% | 6.65% | 3.68% | 0.06% | 4.87% |
QMNNX AQR Equity Market Neutral Fund Class N | 1.34% | 1.26% | 6.06% | 21.67% | 5.77% | 1.41% | 17.64% | 3.86% | 0.49% | 3.37% | 1.19% | 2.51% |
Frequently Asked Questions
QMNNX and MVCKX have a correlation of -0.25, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
MVCKX has higher volatility (3.35%) compared to QMNNX (2.61%). In terms of maximum drawdown, QMNNX dropped -39.22% vs MVCKX's -42.75%.
MVCKX currently has the higher Sharpe Ratio (1.47 vs 0.78), 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.
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