QMNNX vs. QLEIX
Compare and contrast key facts about AQR Equity Market Neutral Fund N (QMNNX) and AQR Long-Short Equity Fund (QLEIX).
QMNNX is managed by AQR Funds. It was launched on Oct 7, 2014. QLEIX is managed by AQR Funds. It was launched on Jul 15, 2013.
Performance
QMNNX vs. QLEIX - Performance Comparison
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QMNNX vs. QLEIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
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% |
QLEIX AQR Long-Short Equity Fund | -2.98% | 34.43% | 30.50% | 23.95% | 19.18% | 31.10% | -13.92% | 1.19% | -16.33% | 15.74% |
Returns By Period
In the year-to-date period, QMNNX achieves a -3.52% return, which is significantly lower than QLEIX's -2.98% return. Over the past 10 years, QMNNX has underperformed QLEIX with an annualized return of 6.07%, while QLEIX has yielded a comparatively higher 11.57% annualized return.
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%
QLEIX
- 1D
- 0.29%
- 1M
- -1.96%
- YTD
- -2.98%
- 6M
- 4.47%
- 1Y
- 19.47%
- 3Y*
- 26.66%
- 5Y*
- 22.56%
- 10Y*
- 11.57%
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QMNNX vs. QLEIX - Expense Ratio Comparison
QMNNX has a 5.28% expense ratio, which is higher than QLEIX's 1.30% expense ratio.
Return for Risk
QMNNX vs. QLEIX — Risk / Return Rank
QMNNX
QLEIX
QMNNX vs. QLEIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Equity Market Neutral Fund N (QMNNX) and AQR Long-Short Equity Fund (QLEIX). 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.
| QMNNX | QLEIX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.77 | 2.33 | -0.56 |
Sortino ratioReturn per unit of downside risk | 2.40 | 3.01 | -0.61 |
Omega ratioGain probability vs. loss probability | 1.33 | 1.48 | -0.14 |
Calmar ratioReturn relative to maximum drawdown | 2.06 | 3.10 | -1.03 |
Martin ratioReturn relative to average drawdown | 5.15 | 12.22 | -7.07 |
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
| QMNNX | QLEIX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.77 | 2.33 | -0.56 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 1.94 | 2.22 | -0.28 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.74 | 1.10 | -0.36 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.87 | 1.11 | -0.24 |
Correlation
The correlation between QMNNX and QLEIX is 0.75, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Dividends
QMNNX vs. QLEIX - Dividend Comparison
QMNNX's dividend yield for the trailing twelve months is around 1.30%, less than QLEIX's 1.81% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
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% |
QLEIX AQR Long-Short Equity Fund | 1.81% | 1.75% | 7.12% | 20.88% | 14.15% | 0.00% | 1.57% | 0.00% | 6.03% | 9.11% | 3.01% | 4.98% |
Drawdowns
QMNNX vs. QLEIX - Drawdown Comparison
The maximum QMNNX drawdown since its inception was -39.22%, roughly equal to the maximum QLEIX drawdown of -38.11%. Use the drawdown chart below to compare losses from any high point for QMNNX and QLEIX.
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Drawdown Indicators
| QMNNX | QLEIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -39.22% | -38.11% | -1.11% |
Max Drawdown (1Y)Largest decline over 1 year | -5.47% | -6.49% | +1.02% |
Max Drawdown (5Y)Largest decline over 5 years | -14.23% | -17.07% | +2.84% |
Max Drawdown (10Y)Largest decline over 10 years | -39.22% | -38.11% | -1.11% |
Current DrawdownCurrent decline from peak | -3.92% | -3.57% | -0.35% |
Average DrawdownAverage peak-to-trough decline | -10.67% | -7.80% | -2.87% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.19% | 1.64% | +0.55% |
Volatility
QMNNX vs. QLEIX - Volatility Comparison
The current volatility for AQR Equity Market Neutral Fund N (QMNNX) is 1.36%, while AQR Long-Short Equity Fund (QLEIX) has a volatility of 1.88%. This indicates that QMNNX experiences smaller price fluctuations and is considered to be less risky than QLEIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| QMNNX | QLEIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.36% | 1.88% | -0.52% |
Volatility (6M)Calculated over the trailing 6-month period | 4.07% | 4.90% | -0.83% |
Volatility (1Y)Calculated over the trailing 1-year period | 6.29% | 8.61% | -2.32% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.53% | 10.22% | -0.69% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 8.23% | 10.55% | -2.32% |