FSMSX vs. ADANX

Last updated Apr 1, 2026

Compare and contrast key facts about FS Multi-Strategy Alternatives Fund (FSMSX) and AQR Diversified Arbitrage Fund Class N (ADANX).

FSMSX is managed by FS Investments. It was launched on May 15, 2017. ADANX is an actively managed fund by AQR Funds. It was launched on Jan 15, 2009.

Performance

FSMSX vs. ADANX - Performance Comparison

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

FSMSX vs. ADANX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
FSMSX FS Multi-Strategy Alternatives Fund	0.90%	4.13%	4.63%	5.44%	3.17%	13.97%	-3.66%	7.77%	-3.82%	2.00%
ADANX AQR Diversified Arbitrage Fund Class N	0.70%	7.75%	2.92%	4.23%	-3.54%	5.99%	24.85%	8.33%	2.02%	2.27%

Returns By Period

In the year-to-date period, FSMSX achieves a 0.90% return, which is significantly higher than ADANX's 0.70% return.

FSMSX

• 1D: 0.18%
• 1M: -0.53%
• YTD: 0.90%
• 6M: 2.31%
• 1Y: 4.69%
• 3Y*: 4.46%
• 5Y*: 4.95%
• 10Y*: —

ADANX

• 1D: -0.15%
• 1M: 0.08%
• YTD: 0.70%
• 6M: 2.42%
• 1Y: 5.97%
• 3Y*: 4.89%
• 5Y*: 2.44%
• 10Y*: 6.48%

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

FSMSX vs. ADANX - Expense Ratio Comparison

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

ADANX

AQR Diversified Arbitrage Fund Class N

FSMSX

FS Multi-Strategy Alternatives Fund

Return for Risk

FSMSX vs. ADANX — Risk / Return Rank

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

FSMSX

FSMSX Risk / Return Rank: 80
FSMSX Sharpe Ratio Rank: 82
FSMSX Sortino Ratio Rank: 82
FSMSX Omega Ratio Rank: 80
FSMSX Calmar Ratio Rank: 85
FSMSX Martin Ratio Rank: 74

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

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.

FSMSX vs. ADANX - Risk-Adjusted Trends Comparison

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

	FSMSX	ADANX	Difference
Sharpe ratio Return per unit of total volatility	1.51	3.98	-2.47
Sortino ratio Return per unit of downside risk	2.09	6.52	-4.43
Omega ratio Gain probability vs. loss probability	1.31	1.95	-0.65
Calmar ratio Return relative to maximum drawdown	2.10	9.27	-7.17
Martin ratio Return relative to average drawdown	6.99	37.03	-30.04
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

FSMSX vs. ADANX - Sharpe Ratio Comparison

The current FSMSX Sharpe Ratio is 1.51, which is lower than the ADANX Sharpe Ratio of 3.98. The chart below compares the historical Sharpe Ratios of FSMSX and ADANX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Sharpe Ratios by Period

	FSMSX	ADANX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.51	3.98	-2.47
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	1.08	0.91	+0.16
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	1.51	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.81	1.12	-0.31

Correlation

The correlation between FSMSX and ADANX is 0.12, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Dividends

FSMSX vs. ADANX - Dividend Comparison

FSMSX's dividend yield for the trailing twelve months is around 4.08%, more than ADANX's 1.84% yield.

	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
FSMSX FS Multi-Strategy Alternatives Fund	4.08%	4.12%	2.48%	3.61%	4.12%	3.22%	0.77%	2.20%	0.82%	0.00%	0.00%	0.00%
ADANX AQR Diversified Arbitrage Fund Class N	1.84%	1.86%	0.96%	2.47%	0.10%	0.40%	1.33%	1.81%	6.22%	6.84%	6.83%	4.43%

Drawdowns

FSMSX vs. ADANX - Drawdown Comparison

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

Drawdown Indicators

	FSMSX	ADANX	Difference
Max Drawdown Largest peak-to-trough decline	-8.94%	-14.73%	+5.79%
Max Drawdown (1Y) Largest decline over 1 year	-2.32%	-0.64%	-1.68%
Max Drawdown (5Y) Largest decline over 5 years	-4.13%	-7.48%	+3.35%
Max Drawdown (10Y) Largest decline over 10 years	—	-14.73%	—
Current Drawdown Current decline from peak	-0.62%	-0.31%	-0.31%
Average Drawdown Average peak-to-trough decline	-1.66%	-3.06%	+1.40%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.70%	0.16%	+0.54%

Volatility

FSMSX vs. ADANX - Volatility Comparison

FS Multi-Strategy Alternatives Fund (FSMSX) has a higher volatility of 1.28% compared to AQR Diversified Arbitrage Fund Class N (ADANX) at 0.41%. This indicates that FSMSX's price experiences larger fluctuations and is considered to be riskier than ADANX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	FSMSX	ADANX	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.28%	0.41%	+0.87%
Volatility (6M) Calculated over the trailing 6-month period	2.00%	1.06%	+0.94%
Volatility (1Y) Calculated over the trailing 1-year period	3.24%	1.53%	+1.71%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	4.63%	2.68%	+1.95%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	4.67%	4.29%	+0.38%