AQRNX vs. SIFAX

Last updated Jun 4, 2026

AQRNX (AQR Multi-Asset Fund Class N) and SIFAX (SEI Institutional Managed Trust Multi-Asset Inflation Managed Fund) are both Diversified Portfolio funds. Over the past 10 years, AQRNX returned 8.44%/yr vs 3.55%/yr for SIFAX. At a 0.49 correlation, their price movements are largely independent. AQRNX charges 1.31%/yr vs 0.90%/yr for SIFAX.

Performance

AQRNX vs. SIFAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AQR Multi-Asset Fund Class N (AQRNX) and SEI Institutional Managed Trust Multi-Asset Inflation Managed Fund (SIFAX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, AQRNX achieves a 10.68% return, which is significantly higher than SIFAX's 8.08% return. Over the past 10 years, AQRNX has outperformed SIFAX with an annualized return of 8.44%, while SIFAX has yielded a comparatively lower 3.55% annualized return.

AQRNX

• 1D: 0.23%
• 1M: 3.22%
• YTD: 10.68%
• 6M: 11.06%
• 1Y: 23.30%
• 3Y*: 16.01%
• 5Y*: 8.62%
• 10Y*: 8.44%

SIFAX

• 1D: 0.12%
• 1M: -1.50%
• YTD: 8.08%
• 6M: 7.70%
• 1Y: 12.43%
• 3Y*: 7.51%
• 5Y*: 5.83%
• 10Y*: 3.55%

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

AQRNX vs. SIFAX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
AQRNX AQR Multi-Asset Fund Class N	10.68%	18.46%	10.07%	11.38%	-10.73%	14.06%	2.41%	21.98%	-7.22%	16.12%
SIFAX SEI Institutional Managed Trust Multi-Asset Inflation Managed Fund	8.08%	7.82%	4.08%	-1.74%	8.48%	10.83%	-1.59%	5.68%	-3.64%	-1.96%

Correlation

The correlation between AQRNX and SIFAX is 0.10, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.11
Correlation (3Y) Calculated over the trailing 3-year period	0.26
Correlation (5Y) Calculated over the trailing 5-year period	0.39
Correlation (10Y) Calculated over the trailing 10-year period	0.45
Correlation (All Time) Calculated using the full available price history since Jan 3, 2013	0.49

Over the past year, the correlation between AQRNX and SIFAX has dropped to 0.10 - well below their long-term average of 0.49, suggesting their price drivers have been diverging.

Return for Risk

AQRNX vs. SIFAX — Risk / Return Rank

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

AQRNX

AQRNX Risk / Return Rank: 67
AQRNX Sharpe Ratio Rank: 70
AQRNX Sortino Ratio Rank: 66
AQRNX Omega Ratio Rank: 64
AQRNX Calmar Ratio Rank: 68
AQRNX Martin Ratio Rank: 70

SIFAX

SIFAX Risk / Return Rank: 73
SIFAX Sharpe Ratio Rank: 62
SIFAX Sortino Ratio Rank: 64
SIFAX Omega Ratio Rank: 62
SIFAX Calmar Ratio Rank: 93
SIFAX Martin Ratio Rank: 86

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.

AQRNX vs. SIFAX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for AQR Multi-Asset Fund Class N (AQRNX) and SEI Institutional Managed Trust Multi-Asset Inflation Managed Fund (SIFAX). 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.

	AQRNX	SIFAX	Difference
Sharpe ratio Return per unit of total volatility	2.46	2.31	+0.15
Sortino ratio Return per unit of downside risk	3.39	3.36	+0.04
Omega ratio Gain probability vs. loss probability	1.45	1.44	+0.01
Calmar ratio Return relative to maximum drawdown	3.19	5.18	-1.99
Martin ratio Return relative to average drawdown	13.46	16.54	-3.07
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

AQRNX vs. SIFAX - Sharpe Ratio Comparison

The current AQRNX Sharpe Ratio is 2.46, which is comparable to the SIFAX Sharpe Ratio of 2.31. The chart below compares the historical Sharpe Ratios of AQRNX and SIFAX, 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

	AQRNX	SIFAX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.46	2.31	+0.15
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.81	1.05	-0.23
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.87	0.68	+0.18
Sharpe Ratio (All Time) Calculated using the full available price history	0.78	0.34	+0.44

Drawdowns

AQRNX vs. SIFAX - Drawdown Comparison

The maximum AQRNX drawdown since its inception was -19.37%, smaller than the maximum SIFAX drawdown of -23.62%. Use the drawdown chart below to compare losses from any high point for AQRNX and SIFAX.

Drawdown Indicators

	AQRNX	SIFAX	Difference
Max Drawdown Largest peak-to-trough decline	-19.37%	-23.62%	+4.25%
Max Drawdown (1Y) Largest decline over 1 year	-7.43%	-2.41%	-5.02%
Max Drawdown (3Y) Largest decline over 3 years	-11.09%	-3.57%	-7.52%
Max Drawdown (5Y) Largest decline over 5 years	-19.37%	-8.32%	-11.05%
Max Drawdown (10Y) Largest decline over 10 years	-19.37%	-14.69%	-4.68%
Current Drawdown Current decline from peak	0.00%	-1.83%	+1.83%
Average Drawdown Average peak-to-trough decline	-4.89%	-8.55%	+3.66%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.76%	0.75%	+1.01%

Volatility

AQRNX vs. SIFAX - Volatility Comparison

AQR Multi-Asset Fund Class N (AQRNX) has a higher volatility of 2.72% compared to SEI Institutional Managed Trust Multi-Asset Inflation Managed Fund (SIFAX) at 2.18%. This indicates that AQRNX's price experiences larger fluctuations and is considered to be riskier than SIFAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	AQRNX	SIFAX	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.72%	2.18%	+0.54%
Volatility (6M) Calculated over the trailing 6-month period	7.70%	4.69%	+3.01%
Volatility (1Y) Calculated over the trailing 1-year period	9.66%	5.41%	+4.25%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	10.65%	5.60%	+5.05%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	9.77%	5.22%	+4.55%

AQRNX vs. SIFAX - Expense Ratio Comparison

AQRNX has a 1.31% expense ratio, which is higher than SIFAX's 0.90% expense ratio.

Dividends

AQRNX vs. SIFAX - Dividend Comparison

AQRNX's dividend yield for the trailing twelve months is around 3.32%, less than SIFAX's 4.21% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
AQRNX AQR Multi-Asset Fund Class N	3.32%	3.67%	1.44%	2.18%	6.67%	6.21%	0.72%	7.45%	7.08%	10.27%	6.78%	2.51%
SIFAX SEI Institutional Managed Trust Multi-Asset Inflation Managed Fund	4.21%	4.55%	3.25%	3.82%	11.90%	7.89%	1.45%	1.49%	1.90%	1.39%	1.15%	0.48%

Frequently Asked Questions

Can I hold both AQRNX and SIFAX in my portfolio?

AQRNX and SIFAX have a correlation of 0.10, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, AQRNX or SIFAX?

AQRNX has higher volatility (2.72%) compared to SIFAX (2.18%). In terms of maximum drawdown, AQRNX dropped -19.37% vs SIFAX's -23.62%.

Which has better risk-adjusted returns?

AQRNX currently has the higher Sharpe Ratio (2.46 vs 2.31), 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.