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QMNNX vs. VMNFX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between QMNNX and VMNFX is 0.48, 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.


-0.50.00.51.0
Correlation: 0.5

Performance

QMNNX vs. VMNFX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AQR Equity Market Neutral Fund N (QMNNX) and Vanguard Market Neutral Fund Investor Shares (VMNFX). The values are adjusted to include any dividend payments, if applicable.

35.00%40.00%45.00%50.00%55.00%60.00%65.00%70.00%NovemberDecember2025FebruaryMarchApril
63.20%
37.43%
QMNNX
VMNFX

Key characteristics

Sharpe Ratio

QMNNX:

2.82

VMNFX:

-0.25

Sortino Ratio

QMNNX:

3.85

VMNFX:

-0.32

Omega Ratio

QMNNX:

1.55

VMNFX:

0.96

Calmar Ratio

QMNNX:

4.09

VMNFX:

-0.30

Martin Ratio

QMNNX:

15.29

VMNFX:

-0.73

Ulcer Index

QMNNX:

1.19%

VMNFX:

2.25%

Daily Std Dev

QMNNX:

6.45%

VMNFX:

6.47%

Max Drawdown

QMNNX:

-50.11%

VMNFX:

-25.93%

Current Drawdown

QMNNX:

-2.50%

VMNFX:

-3.88%

Returns By Period

In the year-to-date period, QMNNX achieves a 7.35% return, which is significantly higher than VMNFX's -0.57% return. Over the past 10 years, QMNNX has outperformed VMNFX with an annualized return of 4.29%, while VMNFX has yielded a comparatively lower 3.20% annualized return.


QMNNX

YTD

7.35%

1M

-0.19%

6M

15.30%

1Y

18.11%

5Y*

10.52%

10Y*

4.29%

VMNFX

YTD

-0.57%

1M

-0.42%

6M

-3.75%

1Y

-1.43%

5Y*

9.04%

10Y*

3.20%

*Annualized

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.


QMNNX
AQR Equity Market Neutral Fund N
Expense ratio chart for QMNNX: current value is 5.28%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
QMNNX: 5.28%
Expense ratio chart for VMNFX: current value is 1.31%, compared with the broader market range of 0.00% to 2.12%.0.50%1.00%1.50%2.00%
VMNFX: 1.31%

Risk-Adjusted Performance

QMNNX vs. VMNFX — Risk-Adjusted Performance Rank

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

QMNNX
The Risk-Adjusted Performance Rank of QMNNX is 9595
Overall Rank
The Sharpe Ratio Rank of QMNNX is 9696
Sharpe Ratio Rank
The Sortino Ratio Rank of QMNNX is 9494
Sortino Ratio Rank
The Omega Ratio Rank of QMNNX is 9494
Omega Ratio Rank
The Calmar Ratio Rank of QMNNX is 9595
Calmar Ratio Rank
The Martin Ratio Rank of QMNNX is 9595
Martin Ratio Rank

VMNFX
The Risk-Adjusted Performance Rank of VMNFX is 2222
Overall Rank
The Sharpe Ratio Rank of VMNFX is 2525
Sharpe Ratio Rank
The Sortino Ratio Rank of VMNFX is 2121
Sortino Ratio Rank
The Omega Ratio Rank of VMNFX is 2424
Omega Ratio Rank
The Calmar Ratio Rank of VMNFX is 1717
Calmar Ratio Rank
The Martin Ratio Rank of VMNFX is 2525
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

QMNNX vs. VMNFX - Risk-Adjusted Performance 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.


Sharpe ratio
The chart of Sharpe ratio for QMNNX, currently valued at 2.82, compared to the broader market-1.000.001.002.003.00
QMNNX: 2.82
VMNFX: -0.25
The chart of Sortino ratio for QMNNX, currently valued at 3.85, compared to the broader market-2.000.002.004.006.008.0010.00
QMNNX: 3.85
VMNFX: -0.32
The chart of Omega ratio for QMNNX, currently valued at 1.55, compared to the broader market0.501.001.502.002.503.003.50
QMNNX: 1.55
VMNFX: 0.96
The chart of Calmar ratio for QMNNX, currently valued at 4.09, compared to the broader market0.005.0010.0015.00
QMNNX: 4.09
VMNFX: -0.30
The chart of Martin ratio for QMNNX, currently valued at 15.29, compared to the broader market0.0020.0040.0060.00
QMNNX: 15.29
VMNFX: -0.73

The current QMNNX Sharpe Ratio is 2.82, which is higher than the VMNFX Sharpe Ratio of -0.25. The chart below compares the historical Sharpe Ratios of QMNNX and VMNFX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.001.002.003.004.00NovemberDecember2025FebruaryMarchApril
2.82
-0.25
QMNNX
VMNFX

Dividends

QMNNX vs. VMNFX - Dividend Comparison

QMNNX's dividend yield for the trailing twelve months is around 5.65%, less than VMNFX's 5.71% yield.


TTM20242023202220212020201920182017201620152014
QMNNX
AQR Equity Market Neutral Fund N
5.65%6.07%21.59%5.78%0.00%0.00%0.00%0.49%3.37%1.18%2.40%5.79%
VMNFX
Vanguard Market Neutral Fund Investor Shares
5.71%5.61%5.09%0.75%0.15%0.81%3.16%0.94%1.07%0.38%0.02%0.00%

Drawdowns

QMNNX vs. VMNFX - Drawdown Comparison

The maximum QMNNX drawdown since its inception was -50.11%, which is greater than VMNFX's maximum drawdown of -25.93%. Use the drawdown chart below to compare losses from any high point for QMNNX and VMNFX. For additional features, visit the drawdowns tool.


-5.00%-4.00%-3.00%-2.00%-1.00%0.00%NovemberDecember2025FebruaryMarchApril
-2.50%
-3.88%
QMNNX
VMNFX

Volatility

QMNNX vs. VMNFX - Volatility Comparison

AQR Equity Market Neutral Fund N (QMNNX) has a higher volatility of 2.79% compared to Vanguard Market Neutral Fund Investor Shares (VMNFX) at 2.44%. This indicates that QMNNX's price experiences larger fluctuations and is considered to be riskier than VMNFX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%1.50%2.00%2.50%NovemberDecember2025FebruaryMarchApril
2.79%
2.44%
QMNNX
VMNFX
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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