ADANX vs. FSMSX

Last updated Jun 4, 2026

ADANX (AQR Diversified Arbitrage Fund Class N) and FSMSX (FS Multi-Strategy Alternatives Fund) are both Multistrategy funds. Over the past 5 years, ADANX returned 2.73%/yr vs 5.22%/yr for FSMSX. At a 0.11 correlation, their price movements are largely independent. ADANX charges 2.12%/yr vs 1.89%/yr for FSMSX.

Performance

ADANX vs. FSMSX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AQR Diversified Arbitrage Fund Class N (ADANX) and FS Multi-Strategy Alternatives Fund (FSMSX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, ADANX achieves a 2.89% return, which is significantly lower than FSMSX's 4.13% return.

ADANX

• 1D: -0.08%
• 1M: 0.69%
• YTD: 2.89%
• 6M: 3.35%
• 1Y: 6.47%
• 3Y*: 5.98%
• 5Y*: 2.73%
• 10Y*: 6.59%

FSMSX

• 1D: -0.09%
• 1M: 1.31%
• YTD: 4.13%
• 6M: 4.13%
• 1Y: 8.24%
• 3Y*: 5.44%
• 5Y*: 5.22%
• 10Y*: —

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

ADANX vs. FSMSX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
ADANX AQR Diversified Arbitrage Fund Class N	2.89%	7.75%	2.92%	4.23%	-3.54%	5.99%	24.85%	8.33%	2.02%	2.27%
FSMSX FS Multi-Strategy Alternatives Fund	4.13%	4.13%	4.63%	5.44%	3.17%	13.97%	-3.66%	7.77%	-3.82%	2.00%

Correlation

The correlation between ADANX and FSMSX is -0.04, meaning there is essentially no relationship between their price movements. Each responds to its own set of market drivers, making them strong candidates for combining in a diversified portfolio.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	-0.04
Correlation (3Y) Calculated over the trailing 3-year period	0.09
Correlation (5Y) Calculated over the trailing 5-year period	0.15
Correlation (All Time) Calculated using the full available price history since May 23, 2017	0.11

The correlation between ADANX and FSMSX shifts across timeframes, from -0.04 (1 year) to 0.15 (5 years), reflecting how their relationship changes across market environments.

Return for Risk

ADANX vs. FSMSX — Risk / Return Rank

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

ADANX

ADANX Risk / Return Rank: 99
ADANX Sharpe Ratio Rank: 99
ADANX Sortino Ratio Rank: 99
ADANX Omega Ratio Rank: 98
ADANX Calmar Ratio Rank: 99
ADANX Martin Ratio Rank: 99

FSMSX

FSMSX Risk / Return Rank: 88
FSMSX Sharpe Ratio Rank: 86
FSMSX Sortino Ratio Rank: 87
FSMSX Omega Ratio Rank: 85
FSMSX Calmar Ratio Rank: 94
FSMSX Martin Ratio Rank: 87

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.

ADANX vs. FSMSX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for AQR Diversified Arbitrage Fund Class N (ADANX) and FS Multi-Strategy Alternatives Fund (FSMSX). 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.

	ADANX	FSMSX	Difference
Sharpe ratio: Return per unit of total volatility	4.57	2.77	+1.80
Sortino ratio: Return per unit of downside risk	7.88	4.15	+3.74
Omega ratio: Gain probability vs. loss probability	2.13	1.57	+0.55
Calmar ratio: Return relative to maximum drawdown	16.47	5.52	+10.95
Martin ratio: Return relative to average drawdown	45.54	16.89	+28.66
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

ADANX vs. FSMSX - Sharpe Ratio Comparison

The current ADANX Sharpe Ratio is 4.57, which is higher than the FSMSX Sharpe Ratio of 2.77. The chart below compares the historical Sharpe Ratios of ADANX and FSMSX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	ADANX	FSMSX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	4.57	2.77	+1.80
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	1.05	1.13	-0.09
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	1.54	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	1.15	0.88	+0.27

Drawdowns

ADANX vs. FSMSX - Drawdown Comparison

The maximum ADANX drawdown since its inception was -14.73%, which is greater than FSMSX's maximum drawdown of -8.94%. Use the drawdown chart below to compare losses from any high point for ADANX and FSMSX.

Drawdown Indicators

	ADANX	FSMSX	Difference
Max Drawdown Largest peak-to-trough decline	-14.73%	-8.94%	-5.79%
Max Drawdown (1Y) Largest decline over 1 year	-0.39%	-1.46%	+1.07%
Max Drawdown (3Y) Largest decline over 3 years	-1.70%	-4.06%	+2.36%
Max Drawdown (5Y) Largest decline over 5 years	-7.48%	-4.13%	-3.35%
Max Drawdown (10Y) Largest decline over 10 years	-14.73%	—	—
Current Drawdown Current decline from peak	-0.08%	-0.09%	+0.01%
Average Drawdown Average peak-to-trough decline	-3.03%	-1.64%	-1.39%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.14%	0.48%	-0.34%

Volatility

ADANX vs. FSMSX - Volatility Comparison

The current volatility for AQR Diversified Arbitrage Fund Class N (ADANX) is 0.39%, while FS Multi-Strategy Alternatives Fund (FSMSX) has a volatility of 0.95%. This indicates that ADANX experiences smaller price fluctuations and is considered to be less risky than FSMSX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	ADANX	FSMSX	Difference
Volatility (1M) Calculated over the trailing 1-month period	0.39%	0.95%	-0.56%
Volatility (6M) Calculated over the trailing 6-month period	1.07%	2.24%	-1.17%
Volatility (1Y) Calculated over the trailing 1-year period	1.43%	2.91%	-1.48%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	2.62%	4.62%	-2.00%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	4.28%	4.65%	-0.37%

ADANX vs. FSMSX - Expense Ratio Comparison

ADANX has a 2.12% expense ratio, which is higher than FSMSX's 1.89% expense ratio.

Dividends

ADANX vs. FSMSX - Dividend Comparison

ADANX's dividend yield for the trailing twelve months is around 1.80%, less than FSMSX's 3.96% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
ADANX AQR Diversified Arbitrage Fund Class N	1.80%	1.86%	0.96%	2.47%	0.10%	0.40%	1.33%	1.81%	6.22%	6.84%	6.83%	4.43%
FSMSX FS Multi-Strategy Alternatives Fund	3.96%	4.12%	2.48%	3.61%	4.12%	3.22%	0.77%	2.20%	0.82%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both ADANX and FSMSX in my portfolio?

ADANX and FSMSX have a correlation of -0.04, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ADANX or FSMSX?

FSMSX has higher volatility (0.95%) compared to ADANX (0.39%). In terms of maximum drawdown, ADANX dropped -14.73% vs FSMSX's -8.94%.

Which has better risk-adjusted returns?

ADANX currently has the higher Sharpe Ratio (4.57 vs 2.77), 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.