That's just one fund.
It was a lot of work and I don't plan to update it very often, but in 8/2020 I did a
survey of the entire AQR fund family, comparing each fund to whatever benchmark AQR had chosen for it--even though I thought and think it is insane to benchmark a high-volatility market neutral fund to a practically-zero-volatility Treasury bills benchmark.
The original posting breaks out the names of the funds from their ticker symbols. QMNIX is on the chart, toward the bottom of the list, having underperformed its benchmark by -2.20%.
When one fund underperforms, that's one fund.
When 38 out of 49 funds underperform their benchmarks, that begins to look like a pattern. All the sophisticated quant techniques sound great. But most of the time, instead of investing in an AQR fund, you'd have done better to invest in an index fund tracking the fund's benchmark. Which in most cases are readily available with low expense ratios.
A similar chart for actively managed Vanguard stock funds is shown in
this posting.
The biggest thing I learned from the exercise is that over period of more than a few years, survivorship and data availability are major problems. You hardly get started and you run into things--like AQR helpfully benchmarking some of their funds to more than one benchmark. Pick one? Use both and count it twice?
Now, whenever market neutral funds come up, people say "oh, but it's not about performance, these funds can improve a portfolio through diversification." So let's look at that. I'm going to compare a portfolio of 60% stocks--42% Total Stock, 18% Total International--and 40% bonds, with the results of putting 15% QMNIX in the portfolio and taking it out of the bond allocation.
Source
The blue line is the straight-Boglehead-three-fund portfolio. The red line is the result of adding QMNIX. The best you can say about it is that wouldn't have done
much harm.
Annual income twenty pounds, annual expenditure nineteen nineteen and six, result happiness; Annual income twenty pounds, annual expenditure twenty pounds ought and six, result misery.