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FSMSX vs. QDSIX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

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.


-0.50.00.51.00.3

Performance

FSMSX vs. QDSIX - Performance Comparison

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

25.00%30.00%35.00%40.00%45.00%JulyAugustSeptemberOctoberNovemberDecember
25.65%
45.73%
FSMSX
QDSIX

Key characteristics

Sharpe Ratio

FSMSX:

0.35

QDSIX:

0.10

Sortino Ratio

FSMSX:

0.43

QDSIX:

0.17

Omega Ratio

FSMSX:

1.09

QDSIX:

1.05

Calmar Ratio

FSMSX:

0.38

QDSIX:

0.10

Martin Ratio

FSMSX:

1.44

QDSIX:

0.28

Ulcer Index

FSMSX:

0.96%

QDSIX:

4.00%

Daily Std Dev

FSMSX:

3.93%

QDSIX:

11.64%

Max Drawdown

FSMSX:

-9.41%

QDSIX:

-11.30%

Current Drawdown

FSMSX:

-3.58%

QDSIX:

-1.02%

Returns By Period

In the year-to-date period, FSMSX achieves a 1.19% return, which is significantly lower than QDSIX's 12.57% return.


FSMSX

YTD

1.19%

1M

-2.47%

6M

-1.52%

1Y

1.28%

5Y*

3.85%

10Y*

N/A

QDSIX

YTD

12.57%

1M

1.04%

6M

0.00%

1Y

1.45%

5Y*

N/A

10Y*

N/A

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


FSMSX vs. QDSIX - Expense Ratio Comparison

FSMSX has a 1.89% expense ratio, which is higher than QDSIX's 0.20% expense ratio.


FSMSX
FS Multi-Strategy Alternatives Fund
Expense ratio chart for FSMSX: current value at 1.89% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.89%
Expense ratio chart for QDSIX: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%

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.


Sharpe ratio
The chart of Sharpe ratio for FSMSX, currently valued at 0.35, compared to the broader market-1.000.001.002.003.004.000.350.10
The chart of Sortino ratio for FSMSX, currently valued at 0.43, compared to the broader market-2.000.002.004.006.008.0010.000.430.17
The chart of Omega ratio for FSMSX, currently valued at 1.09, compared to the broader market0.501.001.502.002.503.003.501.091.05
The chart of Calmar ratio for FSMSX, currently valued at 0.38, compared to the broader market0.002.004.006.008.0010.0012.0014.000.380.10
The chart of Martin ratio for FSMSX, currently valued at 1.44, compared to the broader market0.0020.0040.0060.001.440.28
FSMSX
QDSIX

The current FSMSX Sharpe Ratio is 0.35, which is higher than the QDSIX Sharpe Ratio of 0.10. The chart below compares the historical Sharpe Ratios of FSMSX and QDSIX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
0.35
0.10
FSMSX
QDSIX

Dividends

FSMSX vs. QDSIX - Dividend Comparison

FSMSX has not paid dividends to shareholders, while QDSIX's dividend yield for the trailing twelve months is around 9.93%.


TTM20232022202120202019
FSMSX
FS Multi-Strategy Alternatives Fund
0.00%3.57%2.97%3.22%0.77%2.20%
QDSIX
AQR Diversifying Strategies Fund
9.93%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.


-7.00%-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-3.58%
-1.02%
FSMSX
QDSIX

Volatility

FSMSX vs. QDSIX - Volatility Comparison

FS Multi-Strategy Alternatives Fund (FSMSX) has a higher volatility of 3.03% compared to AQR Diversifying Strategies Fund (QDSIX) at 1.74%. This indicates that FSMSX's price experiences larger fluctuations and is considered to be riskier than QDSIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%1.00%2.00%3.00%4.00%JulyAugustSeptemberOctoberNovemberDecember
3.03%
1.74%
FSMSX
QDSIX
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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