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AQR Equity Market Neutral Fund Class N QMNNX
Historical return decomposition and an investable replication portfolio, using data through 2026-10-09.
Fund and replication metrics
| Measure | QMNNX | Replication |
|---|---|---|
| Annualized growth | 19.3% | 6.2% |
| Annualized volatility | 10.2% | 3.0% |
| Sharpe ratio | 1.79 | 2.04 |
| Maximum drawdown | 13.0% | 2.4% |
| Replication fit (R²) | 0.09 · Tracking error 9.7% | |
Replication portfolio
The published portfolio below is the investable basket used to model QMNNX’s historical return behavior.
| Ticker | Building block | Weight |
|---|---|---|
| USFR | FI · Floating Rate Notes | 89.0% |
| XLE | Sector · Energy | 10.9% |