VMNFX vs. QMNNX
Compare and contrast key facts about Vanguard Market Neutral Fund Investor Shares (VMNFX) and AQR Equity Market Neutral Fund N (QMNNX).
VMNFX is managed by Vanguard. It was launched on Nov 11, 1998. QMNNX is managed by AQR Funds. It was launched on Oct 7, 2014.
Performance
VMNFX vs. QMNNX - Performance Comparison
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VMNFX vs. QMNNX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
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% |
QMNNX AQR Equity Market Neutral Fund N | -2.62% | 26.19% | 25.43% | 16.30% | 27.07% | 17.38% | -19.79% | -11.55% | -11.94% | 5.56% |
Returns By Period
In the year-to-date period, VMNFX achieves a 5.66% return, which is significantly higher than QMNNX's -2.62% return. Over the past 10 years, VMNFX has underperformed QMNNX with an annualized return of 3.95%, while QMNNX has yielded a comparatively higher 6.17% annualized return.
VMNFX
- 1D
- -0.40%
- 1M
- 2.65%
- YTD
- 5.66%
- 6M
- 9.07%
- 1Y
- 15.07%
- 3Y*
- 11.56%
- 5Y*
- 12.36%
- 10Y*
- 3.95%
QMNNX
- 1D
- 0.93%
- 1M
- 1.63%
- YTD
- -2.62%
- 6M
- 3.17%
- 1Y
- 11.59%
- 3Y*
- 21.05%
- 5Y*
- 18.59%
- 10Y*
- 6.17%
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VMNFX vs. QMNNX - Expense Ratio Comparison
VMNFX has a 1.31% expense ratio, which is lower than QMNNX's 5.28% expense ratio.
Return for Risk
VMNFX vs. QMNNX — Risk / Return Rank
VMNFX
QMNNX
VMNFX vs. QMNNX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Vanguard Market Neutral Fund Investor Shares (VMNFX) and AQR Equity Market Neutral Fund 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.
| VMNFX | QMNNX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 2.04 | 1.87 | +0.17 |
Sortino ratioReturn per unit of downside risk | 3.03 | 2.54 | +0.49 |
Omega ratioGain probability vs. loss probability | 1.37 | 1.35 | +0.01 |
Calmar ratioReturn relative to maximum drawdown | 3.25 | 2.21 | +1.04 |
Martin ratioReturn relative to average drawdown | 9.21 | 5.51 | +3.71 |
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
| VMNFX | QMNNX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.04 | 1.87 | +0.17 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 1.73 | 1.96 | -0.23 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.63 | 0.75 | -0.13 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.31 | 0.89 | -0.57 |
Correlation
The correlation between VMNFX and QMNNX 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
VMNFX vs. QMNNX - Dividend Comparison
VMNFX's dividend yield for the trailing twelve months is around 3.32%, more than QMNNX's 1.29% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
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% |
QMNNX AQR Equity Market Neutral Fund N | 1.29% | 1.26% | 6.06% | 21.67% | 5.77% | 1.41% | 17.64% | 3.86% | 0.49% | 3.37% | 1.19% | 2.51% |
Drawdowns
VMNFX vs. QMNNX - Drawdown Comparison
The maximum VMNFX drawdown since its inception was -26.42%, smaller than the maximum QMNNX drawdown of -39.22%. Use the drawdown chart below to compare losses from any high point for VMNFX and QMNNX.
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Drawdown Indicators
| VMNFX | QMNNX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -26.42% | -39.22% | +12.80% |
Max Drawdown (1Y)Largest decline over 1 year | -4.93% | -5.47% | +0.54% |
Max Drawdown (5Y)Largest decline over 5 years | -6.75% | -14.23% | +7.48% |
Max Drawdown (10Y)Largest decline over 10 years | -25.09% | -39.22% | +14.13% |
Current DrawdownCurrent decline from peak | -0.40% | -3.02% | +2.62% |
Average DrawdownAverage peak-to-trough decline | -8.81% | -10.66% | +1.85% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.74% | 2.20% | -0.46% |
Volatility
VMNFX vs. QMNNX - Volatility Comparison
Vanguard Market Neutral Fund Investor Shares (VMNFX) and AQR Equity Market Neutral Fund N (QMNNX) have volatilities of 1.56% and 1.61%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| VMNFX | QMNNX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.56% | 1.61% | -0.05% |
Volatility (6M)Calculated over the trailing 6-month period | 5.83% | 4.17% | +1.66% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.64% | 6.35% | +1.29% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 7.18% | 9.54% | -2.36% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 6.34% | 8.23% | -1.89% |