Fund Evaluator:
AQR Equity Market Neutral N (QMNNX)
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Fund Details
AQR Equity Market Neutral N Overview
AQR Equity Market Neutral N (QMNNX) is an actively managed Alternative Equity Market Neutral fund. AQR Funds launched the fund in 2014.
The investment seeks positive absolute returns. The fund is designed to be market- or beta-neutral, which means that the fund seeks to achieve returns that are not closely correlated with the returns of the equity markets in which the fund invests. Under normal market conditions, it pursues its investment objective by investing at least 80% of its net assets (including borrowings for investment purposes) in equity instruments and equity related and/or derivative instruments.
About AQR Equity Market Neutral N (QMNNX)
There are 4 members of the management team with an average tenure of 5.62 years: John Huss (2022), Michele Aghassi (2016), Laura Serban (2023), Clifford Asness (2022). Management tenure is more important for actively managed funds than passive index funds.
The fund has 2 primary benchmarks: Bloomberg US Agg Bond TR USD index with a weighting of 100% and ICE BofA US 3M Trsy Bill TR USD index with a weighting of 100%. AQR Equity Market Neutral N has 2179 securities in its portfolio. The top 10 holdings constitute 53.2% of the fund’s assets. The fund meets the SEC requirement of being classified as a diversified fund. The fund is not considered to have an ESG focus with its investment selection and management.
AQR Equity Market Neutral N is part of the Alternative Strategies global asset class and is within the Alternative fund group. AQR Equity Market Neutral N has 12.5% of its portfolio invested in foreign issues. The overall assets allocated to domestic stock is -1.9%. There is 12.5% allocated to foreign stock, and -0.5% is allocated to preferred stocks. The bond allocation as a percentage of total assets is 14.1% (14.1% domestic bond, 0.0% foreign bond and 0.0% convertible bond). AQR Equity Market Neutral N has 52.5% of the portfolio in cash.
Assets Under Management
The fund has $120 million in total assets, which is below the $602 million average for the Equity Market Neutral category. Normally, lower assets under management translates to higher average expense ratios, and greater total assets are desired. However, for some investment categories, such as small-cap investing, it may be difficult for the manager to fully employ the desired active strategy if assets grow too large or too quickly.
QMNNX Performance and Fees
The expense ratio measures how much of a fund’s assets are used for administrative expenses and operating expenses, including adviser fees and fees for the transfer agent and custodial services. The AQR Equity Market Neutral N expense ratio is high compared to funds in the Equity Market Neutral category. AQR Equity Market Neutral N has an expense ratio of 6.31%, which is 217% higher than its category average, making the fund expense ratio grade a F. While it is difficult to predict returns, it is known that high annual expense ratios reduce your rate of return, and excessive fees are difficult to overcome. Active management normally comes with higher expense ratios than passive index management. Certain investment categories such as small company and foreign also normally have higher expense ratios. It is best to compare fund expense ratios against the category averages for meaningful assessments.
High portfolio turnover can translate to higher expenses and lower aftertax returns. AQR Equity Market Neutral N has a portfolio turnover rate of 338%, indicating that holds its assets around 0.0 years. By way of comparison, the average portfolio turnover is 137% for the Equity Market Neutral category.
Recently, in the month of June 2026, AQR Equity Market Neutral N returned -2.5%, which earned it a grade of F, as the Equity Market Neutral category had an average return of 0.7%. The letter grades of A, B, C, D and F are based upon relative rankings within the investment category. A grade of A, for example, would indicate that the return is in the highest 20% for that time period compared to all funds in that category.
AQR Equity Market Neutral N has a trailing yield of 1.38%, which is below the 2.28% category average. The fund normally distributes its income annually and its capital gains annually.
It’s natural to seek the best-performing investments, but you must consider the relationship between risk and return and the impact of costs and taxes on your realized returns.
AQR Equity Market Neutral N Grades
Year to date, the fund has returned -8.9%, 11.5 percentage points worse than the category, which translates into a grade of F. The fund has returned 0.5% over the past year (grade of F), 17.2% over the past three years (grade of A) and 17.5% per year over the past five years (grade of A) and 5.7% per year over the past 10 years (grade of B).
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QMNNX Trailing NAV Total Returns Data as of 6/30/26
| Last Month |
Last Quarter |
Ann'l. 1Yr |
Ann'l. 3Yr |
Ann'l. 5Yr |
Ann'l. 10Yr |
|
| QMNNX Return (NAV) | -2.5% | -5.6% | 0.5% | 17.2% | 17.5% | 5.7% |
| QMNNX Grade | F | F | F | A | A | B |
| +/- Category | -3.2% | -7.8% | -6.6% | 7.6% | 9.7% | 0.9% |
| Equity Market Neutral Avg | 0.7% | 2.2% | 7.1% | 9.7% | 7.9% | 4.8% |
| QMNNX Tax Cost Ratio | na | na | 0.5% | 3.3% | 2.5% | 1.9% |
QMNNX Annual NAV Total ReturnsData as of 6/30/26
| 2026 | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | |
| QMNNX Return (NAV) | -8.9% | 26.2% | 25.0% | 16.7% | 27.0% | 17.4% | -19.7% | -11.5% | -11.9% | 5.6% | 5.4% |
| QMNNX Grade | F | A | A | A | A | B | F | F | F | D | A |
| +/- Category | -11.5% | 15.7% | 15.2% | 8.4% | 22.5% | 10.5% | -18.1% | -13.3% | -11.5% | -0.2% | 4.8% |
| Equity Market Neutral Avg | 2.5% | 10.5% | 9.8% | 8.3% | 4.5% | 6.9% | -1.6% | 1.7% | -0.4% | 5.7% | 0.6% |
| Risk Measures | |
| Standard Deviation: | 8.5% |
| Total Risk Index: | 0.70 - Below Average |
| Category Risk Index: | 1.57 - High |
| Category Risk Grade: | F (100% Rank) |
| Beta: | -0.22 |
| R-Squared: | 11% |
| Leveraged Fund: | No |
| Inverse Fund: | No |
| Portfolio Characteristics | |
| Equity Investment Style: | Mid-Cap Blend |
| Bond Investment Style: | na |
| Yield: | 1.4% |
| Dividend Distribution: | Annually |
| Cap Gains Distribution: | Annually |
| Total Assets: | $2873 Mil |
| Fund Total Assets: | $ 121 Mil |
| Share Class Type: | N |
| Portfolio Turnover: | 338% |
Management Team
| Number of Managers: 4 | |||
| Longest Tenure: 10.3 years | |||
| Average Tenure: 5.6 years | |||
| Managers (Year): Aghassi Michele (2016), Huss John (2022), Asness Clifford (2022), Serban Laura (2023) | |||
Portfolio Composition (as of 3/31/26)
| # of Holdings: | 2179 |
| % in Top 10 Holdings: | 53.2% |
| Fund is Non-Diversified: | No |
| % in Foreign Issues: | 12.5% |
Portfolio Allocation |
|
| Domestic Stock: | -1.9% |
| Foreign Stock: | 12.5% |
| Preferred Stock: | -0.5% |
| Domestic Bond: | 14.1% |
| Foreign Bond: | 0.0% |
| Convertible Bond: | 0.0% |
| Other: | 23.2% |
| Cash: | 52.5% |
Purchase Information
| Fund Family: | AQR Funds |
| Phone Number: | 866-290-2688 |
| Website: | www.aqrfunds.com |
| Status: | Closed |
| Inception Date: | October 7, 2014 |
| Min. Initial Purchase: | $2,500 |
| Min. Initial IRA Purchase: | $ 0 |
| True No-Load: | Yes |
| Front Load Maximum: | 0.00% |
| Deferred Charge Maximum: | 0.00% |
| Redemption Charge Maximum: | 0.00% |
| 12b-1 Fee: | 0.25% |
Expenses and Fees | |
| Expense Ratio (%): | 6.31% ( Rating : High ) |
| Category Average Expense Ratio (%): | 1.99% |
| Share Class: | AQR Equity Market Neutral R6 |
| Min. Subsequent Purchase: | $ 0 |
| Min. Subsequent IRA Purchase: | $ 0 |
