VMNIX vs. QMNNX

Last updated Jun 24, 2026

VMNIX (Vanguard Market Neutral Fund Institutional Shares) and QMNNX (AQR Equity Market Neutral Fund N) are both mutual funds - VMNIX is a Long-Short fund managed by Vanguard, while QMNNX is a Equity Market Neutral fund managed by AQR Funds. Over the past 10 years, VMNIX returned 5.30%/yr vs 5.99%/yr for QMNNX. At a 0.46 correlation, their price movements are largely independent. VMNIX charges 1.25%/yr vs 5.28%/yr for QMNNX.

Performance

VMNIX vs. QMNNX - Performance Comparison

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

Returns By Period

In the year-to-date period, VMNIX achieves a 14.39% return, which is significantly higher than QMNNX's -6.48% return. Over the past 10 years, VMNIX has underperformed QMNNX with an annualized return of 5.30%, while QMNNX has yielded a comparatively higher 5.99% annualized return.

VMNIX

• 1D: 1.21%
• 1M: 3.92%
• YTD: 14.39%
• 6M: 15.13%
• 1Y: 21.71%
• 3Y*: 13.98%
• 5Y*: 14.13%
• 10Y*: 5.30%

QMNNX

• 1D: 0.53%
• 1M: 0.97%
• YTD: -6.48%
• 6M: -6.55%
• 1Y: 3.81%
• 3Y*: 18.14%
• 5Y*: 18.59%
• 10Y*: 5.99%

*Multi-year figures are annualized to reflect compound growth (CAGR)

VMNIX vs. QMNNX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
VMNIX Vanguard Market Neutral Fund Institutional Shares	14.39%	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	-6.48%	26.19%	25.43%	16.30%	27.07%	17.38%	-19.79%	-11.55%	-11.94%	5.56%

Correlation

The correlation between VMNIX and QMNNX is 0.36, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.36
Correlation (3Y) Calculated over the trailing 3-year period	0.40
Correlation (5Y) Calculated over the trailing 5-year period	0.52
Correlation (10Y) Calculated over the trailing 10-year period	0.45
Correlation (All Time) Calculated using the full available price history since Jan 2, 2015	0.46

The correlation between VMNIX and QMNNX shifts across timeframes, from 0.36 (1 year) to 0.52 (5 years), reflecting how their relationship changes across market environments.

Return for Risk

VMNIX vs. QMNNX — Risk / Return Rank

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

VMNIX

VMNIX Risk / Return Rank: 88
VMNIX Sharpe Ratio Rank: 92
VMNIX Sortino Ratio Rank: 92
VMNIX Omega Ratio Rank: 85
VMNIX Calmar Ratio Rank: 93
VMNIX Martin Ratio Rank: 76

QMNNX

QMNNX Risk / Return Rank: 6
QMNNX Sharpe Ratio Rank: 7
QMNNX Sortino Ratio Rank: 7
QMNNX Omega Ratio Rank: 7
QMNNX Calmar Ratio Rank: 5
QMNNX Martin Ratio Rank: 5

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

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.

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.

	VMNIX	QMNNX	Difference
Sharpe ratio: Return per unit of total volatility	2.85	0.56	+2.29
Sortino ratio: Return per unit of downside risk	4.31	0.82	+3.49
Omega ratio: Gain probability vs. loss probability	1.53	1.10	+0.43
Calmar ratio: Return relative to maximum drawdown	4.77	0.44	+4.32
Martin ratio: Return relative to average drawdown	13.45	0.95	+12.50

VMNIX vs. QMNNX - Sharpe Ratio Comparison

The current VMNIX Sharpe Ratio is 2.85, which is higher than the QMNNX Sharpe Ratio of 0.56. The chart below compares the historical Sharpe Ratios of VMNIX and QMNNX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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.

Drawdown Indicators

	VMNIX	QMNNX	Difference
Max Drawdown Largest peak-to-trough decline	-27.90%	-39.22%	+11.32%
Max Drawdown (1Y) Largest decline over 1 year	-4.67%	-8.41%	+3.74%
Max Drawdown (3Y) Largest decline over 3 years	-5.36%	-8.41%	+3.05%
Max Drawdown (5Y) Largest decline over 5 years	-6.69%	-13.98%	+7.29%
Max Drawdown (10Y) Largest decline over 10 years	-24.95%	-39.22%	+14.27%
Current Drawdown Current decline from peak	0.00%	-6.86%	+6.86%
Average Drawdown Average peak-to-trough decline	-8.75%	-10.59%	+1.84%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.65%	3.93%	-2.28%

Volatility

VMNIX vs. QMNNX - Volatility Comparison

The current volatility for Vanguard Market Neutral Fund Institutional Shares (VMNIX) is 2.26%, while AQR Equity Market Neutral Fund N (QMNNX) has a volatility of 2.47%. This indicates that VMNIX experiences smaller price fluctuations and is considered to be less risky than QMNNX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	VMNIX	QMNNX	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.26%	2.47%	-0.21%
Volatility (6M) Calculated over the trailing 6-month period	5.72%	5.15%	+0.57%
Volatility (1Y) Calculated over the trailing 1-year period	7.82%	6.68%	+1.14%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	7.23%	9.31%	-2.08%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	6.43%	8.31%	-1.88%

VMNIX vs. QMNNX - Expense Ratio Comparison

VMNIX has a 1.25% expense ratio, which is lower than QMNNX's 5.28% expense ratio.

Dividends

VMNIX vs. QMNNX - Dividend Comparison

VMNIX's dividend yield for the trailing twelve months is around 3.12%, more than QMNNX's 1.34% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
QMNNX AQR Equity Market Neutral Fund N	1.34%	1.26%	6.06%	21.67%	5.77%	1.41%	17.64%	3.86%	0.49%	3.37%	1.19%	2.51%
VMNIX Vanguard Market Neutral Fund Institutional Shares	3.12%	3.59%	5.67%	5.15%	0.78%	0.20%	0.86%	3.23%	1.00%	1.16%	0.45%	0.10%

Frequently Asked Questions

Can I hold both VMNIX and QMNNX in my portfolio?

VMNIX and QMNNX have a correlation of 0.36, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, VMNIX or QMNNX?

QMNNX has higher volatility (2.47%) compared to VMNIX (2.26%). In terms of maximum drawdown, VMNIX dropped -27.90% vs QMNNX's -39.22%.

Which has better risk-adjusted returns?

VMNIX currently has the higher Sharpe Ratio (2.85 vs 0.56), 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.