VMNIX vs. QMNNX
Compare and contrast key facts about Vanguard Market Neutral Fund Institutional Shares (VMNIX) and AQR Equity Market Neutral Fund N (QMNNX).
VMNIX is managed by Vanguard. It was launched on Oct 19, 1998. QMNNX is managed by AQR Funds. It was launched on Oct 7, 2014.
Performance
VMNIX vs. QMNNX - Performance Comparison
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VMNIX vs. QMNNX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
VMNIX Vanguard Market Neutral Fund Institutional Shares | 5.62% | 9.36% | 5.84% | 12.33% | 13.47% | 23.39% | -11.58% | -9.48% | 0.66% | -4.83% |
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% |
Returns By Period
In the year-to-date period, VMNIX achieves a 5.62% return, which is significantly higher than QMNNX's -3.52% return. Over the past 10 years, VMNIX has underperformed QMNNX with an annualized return of 4.01%, while QMNNX has yielded a comparatively higher 6.07% annualized return.
VMNIX
- 1D
- -0.47%
- 1M
- 2.96%
- YTD
- 5.62%
- 6M
- 8.54%
- 1Y
- 15.19%
- 3Y*
- 11.63%
- 5Y*
- 12.42%
- 10Y*
- 4.01%
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%
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VMNIX vs. QMNNX - Expense Ratio Comparison
VMNIX has a 1.25% expense ratio, which is lower than QMNNX's 5.28% expense ratio.
Return for Risk
VMNIX vs. QMNNX — Risk / Return Rank
VMNIX
QMNNX
VMNIX vs. QMNNX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Vanguard Market Neutral Fund Institutional Shares (VMNIX) 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.
| VMNIX | QMNNX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 2.06 | 1.77 | +0.29 |
Sortino ratioReturn per unit of downside risk | 3.04 | 2.40 | +0.65 |
Omega ratioGain probability vs. loss probability | 1.37 | 1.33 | +0.04 |
Calmar ratioReturn relative to maximum drawdown | 3.25 | 2.06 | +1.19 |
Martin ratioReturn relative to average drawdown | 9.26 | 5.15 | +4.11 |
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
| VMNIX | QMNNX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.06 | 1.77 | +0.29 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 1.74 | 1.94 | -0.20 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.63 | 0.74 | -0.11 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.31 | 0.87 | -0.56 |
Correlation
The correlation between VMNIX and QMNNX is 0.47, 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
VMNIX vs. QMNNX - Dividend Comparison
VMNIX's dividend yield for the trailing twelve months is around 3.38%, more than QMNNX's 1.30% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
VMNIX Vanguard Market Neutral Fund Institutional Shares | 3.38% | 3.59% | 5.67% | 5.15% | 0.78% | 0.20% | 0.86% | 3.23% | 1.00% | 1.16% | 0.45% | 0.10% |
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% |
Drawdowns
VMNIX vs. QMNNX - Drawdown Comparison
The maximum VMNIX drawdown since its inception was -27.90%, smaller than the maximum QMNNX drawdown of -39.22%. Use the drawdown chart below to compare losses from any high point for VMNIX and QMNNX.
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Drawdown Indicators
| VMNIX | QMNNX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -27.90% | -39.22% | +11.32% |
Max Drawdown (1Y)Largest decline over 1 year | -4.95% | -5.47% | +0.52% |
Max Drawdown (5Y)Largest decline over 5 years | -6.69% | -14.23% | +7.54% |
Max Drawdown (10Y)Largest decline over 10 years | -24.95% | -39.22% | +14.27% |
Current DrawdownCurrent decline from peak | -0.47% | -3.92% | +3.45% |
Average DrawdownAverage peak-to-trough decline | -8.82% | -10.67% | +1.85% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.73% | 2.19% | -0.46% |
Volatility
VMNIX vs. QMNNX - Volatility Comparison
Vanguard Market Neutral Fund Institutional Shares (VMNIX) has a higher volatility of 1.57% compared to AQR Equity Market Neutral Fund N (QMNNX) at 1.36%. This indicates that VMNIX'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
| VMNIX | QMNNX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.57% | 1.36% | +0.21% |
Volatility (6M)Calculated over the trailing 6-month period | 5.76% | 4.07% | +1.69% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.60% | 6.29% | +1.31% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 7.19% | 9.53% | -2.34% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 6.35% | 8.23% | -1.88% |