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QMNIX, Which is a market neutral offering from AQR, has a surprising number of totally flat days. https://finance.yahoo.com/quote/QMNIX%3FP%3DQMNIX/history/

Looking at the returns, 124 of them, which is 10.39%, have been exactly 0 since inception.

Does this imply that they are periodically liquidating the portfolio positions, or could there be another explanation?

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I think it's more than likely just rounding. The prices only go out to two places past the decimal, so a 1 cent change would be about a 0.1% daily return (with a \$10 average price). Looking at the returns from a purely statistical standpoint, the average daily absolute return is \$-0.0062 with a standard deviation of \$0.042.

If you assume a normal distribution (which should be OK since we don't get close to 0), there is about a 9.3% probability that the daily return is between -0.005 and +0.005, so seeing 0 change about 10% of the time is not unreasonable.

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  • $\begingroup$ A M/N fund has offsetting positions, so they tend to make fairly small moves. Not exactly zero of course, but they could appear zero due to rounding. The big joyous moves that S&P makes, when everything is up, you don't often see that in M/N. $\endgroup$ – noob2 Jul 12 '19 at 19:11

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