FSMSX vs. QDSIX
Compare and contrast key facts about FS Multi-Strategy Alternatives Fund (FSMSX) and AQR Diversifying Strategies Fund (QDSIX).
FSMSX is managed by FS Investments. It was launched on May 15, 2017. QDSIX is managed by AQR Funds. It was launched on Jun 7, 2020.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: FSMSX or QDSIX.
Key characteristics
| FSMSX | QDSIX | |
|---|---|---|
| YTD Return | 3.57% | 11.14% |
| 1Y Return | 3.88% | -0.40% |
| 3Y Return (Ann) | 4.95% | 7.91% |
| Sharpe Ratio | 1.49 | -0.08 |
| Sortino Ratio | 2.10 | -0.02 |
| Omega Ratio | 1.31 | 0.99 |
| Calmar Ratio | 1.92 | -0.08 |
| Martin Ratio | 4.98 | -0.22 |
| Ulcer Index | 0.78% | 4.32% |
| Daily Std Dev | 2.60% | 11.63% |
| Max Drawdown | -9.41% | -11.30% |
| Current Drawdown | -0.88% | -2.27% |
Correlation
The correlation between FSMSX and QDSIX is 0.27, 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.
Performance
FSMSX vs. QDSIX - Performance Comparison
In the year-to-date period, FSMSX achieves a 3.57% return, which is significantly lower than QDSIX's 11.14% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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FSMSX vs. QDSIX - Expense Ratio Comparison
FSMSX has a 1.89% expense ratio, which is higher than QDSIX's 0.20% expense ratio.
Risk-Adjusted Performance
FSMSX vs. QDSIX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for FS Multi-Strategy Alternatives Fund (FSMSX) and AQR Diversifying Strategies Fund (QDSIX). 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.
Dividends
FSMSX vs. QDSIX - Dividend Comparison
FSMSX's dividend yield for the trailing twelve months is around 3.44%, less than QDSIX's 10.06% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|
FSMSX FS Multi-Strategy Alternatives Fund | 3.44% | 3.57% | 2.97% | 3.22% | 0.77% | 2.20% |
QDSIX AQR Diversifying Strategies Fund | 10.06% | 11.18% | 8.06% | 4.70% | 1.93% | 0.00% |
Drawdowns
FSMSX vs. QDSIX - Drawdown Comparison
The maximum FSMSX drawdown since its inception was -9.41%, smaller than the maximum QDSIX drawdown of -11.30%. Use the drawdown chart below to compare losses from any high point for FSMSX and QDSIX. For additional features, visit the drawdowns tool.
Volatility
FSMSX vs. QDSIX - Volatility Comparison
The current volatility for FS Multi-Strategy Alternatives Fund (FSMSX) is 0.83%, while AQR Diversifying Strategies Fund (QDSIX) has a volatility of 1.57%. This indicates that FSMSX experiences smaller price fluctuations and is considered to be less risky than QDSIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.