SOR vs. QMNNX
SOR (Source Capital, Inc.) is a stock, while QMNNX (AQR Equity Market Neutral Fund Class N) is Equity Market Neutral fund actively managed by AQR Funds. Over the past 10 years, SOR returned 9.56%/yr vs 5.75%/yr for QMNNX. At a correlation of -0.05, they often move in opposite directions.
Performance
SOR vs. QMNNX - Performance Comparison
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Returns By Period
In the year-to-date period, SOR achieves a 3.13% return, which is significantly higher than QMNNX's -7.87% return. Over the past 10 years, SOR has outperformed QMNNX with an annualized return of 9.56%, while QMNNX has yielded a comparatively lower 5.75% annualized return.
SOR
- 1D
- 0.42%
- 1M
- 2.01%
- 6M
- -1.95%
- YTD
- 3.13%
- 1Y
- 10.91%
- 3Y*
- 15.09%
- 5Y*
- 9.11%
- 10Y*
- 9.56%
QMNNX
- 1D
- 0.90%
- 1M
- -1.23%
- 6M
- -6.41%
- YTD
- -7.87%
- 1Y
- 3.56%
- 3Y*
- 17.34%
- 5Y*
- 17.99%
- 10Y*
- 5.75%
SOR vs. QMNNX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
SOR Source Capital, Inc. | 3.13% | 11.47% | 21.28% | 12.59% | -5.24% | 20.66% | 7.68% | 22.20% | -10.41% | 18.52% |
QMNNX AQR Equity Market Neutral Fund Class N | -7.87% | 26.19% | 25.43% | 16.30% | 27.07% | 17.38% | -19.79% | -11.55% | -11.94% | 5.56% |
Correlation
The correlation between SOR and QMNNX is -0.14, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | -0.14 |
Correlation (3Y) Calculated over the trailing 3-year period | -0.08 |
Correlation (5Y) Calculated over the trailing 5-year period | -0.12 |
Correlation (10Y) Calculated over the trailing 10-year period | -0.04 |
Correlation (All Time) Calculated using the full available price history since Jan 2, 2015 | -0.05 |
The correlation between SOR and QMNNX shifts across timeframes, from -0.14 (1 year) to -0.04 (10 years), reflecting how their relationship changes across market environments.
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Return for Risk
SOR vs. QMNNX — Risk / Return Rank
SOR
QMNNX
SOR vs. QMNNX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Source Capital, Inc. (SOR) and AQR Equity Market Neutral Fund Class N (QMNNX). 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.
| SOR | QMNNX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.36 | ||
| Sortino ratioReturn per unit of downside risk | +0.53 | ||
| Omega ratioGain probability vs. loss probability | 1.14 | 1.07 | +0.08 |
| Calmar ratioReturn relative to maximum drawdown | 1.14 | 0.26 | +0.88 |
| Martin ratioReturn relative to average drawdown | 2.72 | 0.58 | +2.14 |
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Drawdowns
SOR vs. QMNNX - Drawdown Comparison
The maximum SOR drawdown since its inception was -65.51%, which is greater than QMNNX's maximum drawdown of -39.22%. Use the drawdown chart below to compare losses from any high point for SOR and QMNNX.
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Drawdown Indicators
| SOR | QMNNX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -65.51% | -39.22% | -26.29% |
Max Drawdown (1Y)Largest decline over 1 year | -9.18% | -9.96% | +0.78% |
Max Drawdown (3Y)Largest decline over 3 years | -9.18% | -9.96% | +0.78% |
Max Drawdown (5Y)Largest decline over 5 years | -17.47% | -13.98% | -3.49% |
Max Drawdown (10Y)Largest decline over 10 years | -39.13% | -39.22% | +0.09% |
Current DrawdownCurrent decline from peak | -4.95% | -8.24% | +3.29% |
Average DrawdownAverage peak-to-trough decline | -8.42% | -10.58% | +2.16% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.83% | 4.37% | -0.54% |
Volatility
SOR vs. QMNNX - Volatility Comparison
Source Capital, Inc. (SOR) has a higher volatility of 4.13% compared to AQR Equity Market Neutral Fund Class N (QMNNX) at 2.23%. This indicates that SOR's price experiences larger fluctuations and is considered to be riskier than QMNNX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| SOR | QMNNX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.13% | 2.23% | +1.90% |
Volatility (6M)Calculated over the trailing 6-month period | 10.62% | 5.43% | +5.19% |
Volatility (1Y)Calculated over the trailing 1-year period | 14.11% | 6.78% | +7.33% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 15.38% | 9.30% | +6.08% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.47% | 8.32% | +8.15% |
Dividends
SOR vs. QMNNX - Dividend Comparison
SOR's dividend yield for the trailing twelve months is around 5.44%, more than QMNNX's 1.36% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
QMNNX AQR Equity Market Neutral Fund Class N | 1.36% | 1.26% | 6.06% | 21.67% | 5.77% | 1.41% | 17.64% | 3.86% | 0.49% | 3.37% | 1.19% | 2.51% |
SOR Source Capital, Inc. | 5.44% | 5.46% | 11.86% | 7.22% | 5.74% | 11.09% | 4.11% | 2.58% | 12.90% | 4.24% | 98.00% | 6.04% |
Frequently Asked Questions
SOR and QMNNX have a correlation of -0.14, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
SOR has higher volatility (4.13%) compared to QMNNX (2.23%). In terms of maximum drawdown, SOR dropped -65.51% vs QMNNX's -39.22%.
SOR currently has the higher Sharpe Ratio (0.74 vs 0.38), 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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