QMNNX vs. VMNFX
Compare and contrast key facts about AQR Equity Market Neutral Fund N (QMNNX) and Vanguard Market Neutral Fund Investor Shares (VMNFX).
QMNNX is managed by AQR Funds. It was launched on Oct 7, 2014. VMNFX is managed by Vanguard. It was launched on Nov 11, 1998.
Performance
QMNNX vs. VMNFX - Performance Comparison
Loading graphics...
QMNNX vs. VMNFX - 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% |
VMNFX Vanguard Market Neutral Fund Investor Shares | 5.66% | 9.27% | 5.78% | 12.23% | 13.48% | 23.24% | -11.58% | -9.57% | 0.60% | -4.89% |
Returns By Period
In the year-to-date period, QMNNX achieves a -3.52% return, which is significantly lower than VMNFX's 5.66% return. Over the past 10 years, QMNNX has outperformed VMNFX with an annualized return of 6.07%, while VMNFX has yielded a comparatively lower 3.95% 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%
VMNFX
- 1D
- -0.40%
- 1M
- 3.01%
- YTD
- 5.66%
- 6M
- 8.53%
- 1Y
- 15.15%
- 3Y*
- 11.56%
- 5Y*
- 12.36%
- 10Y*
- 3.95%
Compare stocks, funds, or ETFs
Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.
QMNNX vs. VMNFX - Expense Ratio Comparison
QMNNX has a 5.28% expense ratio, which is higher than VMNFX's 1.31% expense ratio.
Return for Risk
QMNNX vs. VMNFX — Risk / Return Rank
QMNNX
VMNFX
QMNNX vs. VMNFX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Equity Market Neutral Fund N (QMNNX) and Vanguard Market Neutral Fund Investor Shares (VMNFX). 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 | VMNFX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.77 | 2.04 | -0.27 |
Sortino ratioReturn per unit of downside risk | 2.40 | 3.03 | -0.64 |
Omega ratioGain probability vs. loss probability | 1.33 | 1.37 | -0.04 |
Calmar ratioReturn relative to maximum drawdown | 2.06 | 3.25 | -1.19 |
Martin ratioReturn relative to average drawdown | 5.15 | 9.21 | -4.07 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Loading graphics...
Sharpe Ratios by Period
| QMNNX | VMNFX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.77 | 2.04 | -0.27 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 1.94 | 1.73 | +0.21 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.74 | 0.63 | +0.11 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.87 | 0.31 | +0.56 |
Correlation
The correlation between QMNNX and VMNFX is 0.46, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.
Dividends
QMNNX vs. VMNFX - Dividend Comparison
QMNNX's dividend yield for the trailing twelve months is around 1.30%, less than VMNFX's 3.32% 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% |
VMNFX Vanguard Market Neutral Fund Investor Shares | 3.32% | 3.53% | 5.61% | 5.09% | 0.75% | 0.16% | 0.81% | 3.16% | 0.94% | 1.07% | 0.38% | 0.02% |
Drawdowns
QMNNX vs. VMNFX - Drawdown Comparison
The maximum QMNNX drawdown since its inception was -39.22%, which is greater than VMNFX's maximum drawdown of -26.42%. Use the drawdown chart below to compare losses from any high point for QMNNX and VMNFX.
Loading graphics...
Drawdown Indicators
| QMNNX | VMNFX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -39.22% | -26.42% | -12.80% |
Max Drawdown (1Y)Largest decline over 1 year | -5.47% | -4.93% | -0.54% |
Max Drawdown (5Y)Largest decline over 5 years | -14.23% | -6.75% | -7.48% |
Max Drawdown (10Y)Largest decline over 10 years | -39.22% | -25.09% | -14.13% |
Current DrawdownCurrent decline from peak | -3.92% | -0.40% | -3.52% |
Average DrawdownAverage peak-to-trough decline | -10.67% | -8.81% | -1.86% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.19% | 1.74% | +0.45% |
Volatility
QMNNX vs. VMNFX - Volatility Comparison
The current volatility for AQR Equity Market Neutral Fund N (QMNNX) is 1.36%, while Vanguard Market Neutral Fund Investor Shares (VMNFX) has a volatility of 1.56%. This indicates that QMNNX experiences smaller price fluctuations and is considered to be less risky than VMNFX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
Loading graphics...
Volatility by Period
| QMNNX | VMNFX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.36% | 1.56% | -0.20% |
Volatility (6M)Calculated over the trailing 6-month period | 4.07% | 5.83% | -1.76% |
Volatility (1Y)Calculated over the trailing 1-year period | 6.29% | 7.64% | -1.35% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.53% | 7.18% | +2.35% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 8.23% | 6.34% | +1.89% |