JDJIX vs. ADANX

Last updated Aug 1, 2026

JDJIX (JHancock Diversified Macro Fund) and ADANX (AQR Diversified Arbitrage Fund Class N) are both Multistrategy funds. Over the past 5 years, JDJIX returned 3.07%/yr vs 2.83%/yr for ADANX. Their 0.12 correlation means their historical movements had little consistent relationship. JDJIX charges 1.39%/yr vs 2.12%/yr for ADANX.

Performance

JDJIX vs. ADANX - Performance Comparison

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

Returns By Period

In the year-to-date period, JDJIX achieves a 10.22% return, which is significantly higher than ADANX's 2.97% return.

JDJIX

• 1D: -0.33%
• 1M: 0.33%
• 6M: 6.26%
• YTD: 10.22%
• 1Y: 8.73%
• 3Y*: 0.75%
• 5Y*: 3.07%
• 10Y*: —
• ALL TIME*: 2.27%

ADANX

• 1D: 0.08%
• 1M: -0.30%
• 6M: 2.25%
• YTD: 2.97%
• 1Y: 5.54%
• 3Y*: 5.29%
• 5Y*: 2.83%
• 10Y*: 6.39%
• ALL TIME*: 4.11%

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

Liquidity Comparison

Position	Avg. Volume Value (2W)	Avg. Volume Value (1M)	Avg. Volume Value (3M)
ADANX AQR Diversified Arbitrage Fund Class N	$0.00	$0.00	$0.00
JDJIX JHancock Diversified Macro Fund	$0.00	$0.00	$0.00

JDJIX vs. ADANX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019
JDJIX JHancock Diversified Macro Fund	10.22%	-7.68%	2.59%	2.77%	12.26%	-2.19%	-2.24%	1.59%
ADANX AQR Diversified Arbitrage Fund Class N	2.97%	7.75%	2.92%	4.23%	-3.54%	5.99%	24.85%	2.48%

Correlation

The correlation between JDJIX and ADANX is 0.09, meaning there was essentially no consistent relationship between their historical price movements. Each responded to its own set of market drivers.

	Correlation
Correlation (1Y) Focuses on recent behavior, but can change the most.	0.09
Correlation (3Y) Balances recent behavior with more history.	0.09
Correlation (5Y) Shows whether the relationship held over a longer period.	0.07
Correlation (All Time) Calculated using the full available price history since Jul 29, 2019	0.12

Return for Risk

JDJIX vs. ADANX — Risk / Return Rank

Compare historical risk-adjusted metric ranks over the past 12 months.

JDJIX

JDJIX Risk / Return Rank: 24
JDJIX Sharpe Ratio Rank: 24
JDJIX Sortino Ratio Rank: 23
JDJIX Omega Ratio Rank: 23
JDJIX Calmar Ratio Rank: 26
JDJIX Martin Ratio Rank: 23

ADANX

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

The rank (0–100) uses a weighted average of the Sharpe, Sortino, Omega, Calmar, and Martin percentile ranks for the trailing 12 months. Higher means stronger historical risk-adjusted performance within the peer group.

JDJIX vs. ADANX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for JHancock Diversified Macro Fund (JDJIX) 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	JDJIX	ADANX	Difference
Sharpe ratio: Return per unit of total volatility	0.85	3.84	-2.99
Sortino ratio: Return per unit of downside risk	1.22	6.38	-5.16
Omega ratio: Gain probability vs. loss probability	1.15	1.89	-0.74
Calmar ratio: Return relative to maximum drawdown	1.18	9.36	-8.18
Martin ratio: Return relative to average drawdown	3.29	37.41	-34.12

JDJIX vs. ADANX - Sharpe Ratio Comparison

The current JDJIX Sharpe Ratio is 0.85, which is lower than the ADANX Sharpe Ratio of 3.84. The chart below compares the historical Sharpe Ratios of JDJIX and ADANX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

JDJIX vs. ADANX - Drawdown Comparison

The maximum JDJIX drawdown since its inception was -19.58%, which is greater than ADANX's maximum drawdown of -14.73%. Use the drawdown chart below to compare losses from any high point for JDJIX and ADANX.

Drawdown Indicators

	JDJIX	ADANX	Difference
Max Drawdown Largest peak-to-trough decline	-19.58%	-14.73%	-4.85%
Max Drawdown (1Y) Largest decline over 1 year	-5.07%	-0.60%	-4.47%
Max Drawdown (3Y) Largest decline over 3 years	-19.58%	-1.70%	-17.88%
Max Drawdown (5Y) Largest decline over 5 years	-19.58%	-7.48%	-12.10%
Max Drawdown (10Y) Largest decline over 10 years	—	-14.73%	—
Current Drawdown Current decline from peak	-10.22%	-0.53%	-9.69%
Average Drawdown Average peak-to-trough decline	-7.45%	-3.00%	-4.45%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.90%	0.15%	+1.75%

Volatility

JDJIX vs. ADANX - Volatility Comparison

JHancock Diversified Macro Fund (JDJIX) has a higher volatility of 1.77% compared to AQR Diversified Arbitrage Fund Class N (ADANX) at 0.61%. This indicates that JDJIX'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

	JDJIX	ADANX	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.77%	0.61%	+1.16%
Volatility (6M) Calculated over the trailing 6-month period	5.15%	1.16%	+3.99%
Volatility (1Y) Calculated over the trailing 1-year period	7.09%	1.47%	+5.62%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	8.83%	2.60%	+6.23%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	9.12%	4.27%	+4.85%

JDJIX vs. ADANX - Expense Ratio Comparison

JDJIX has a 1.39% expense ratio, which is lower than ADANX's 2.12% expense ratio.

Dividends

JDJIX vs. ADANX - Dividend Comparison

JDJIX's dividend yield for the trailing twelve months is around 0.28%, less than ADANX's 1.80% 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%
JDJIX JHancock Diversified Macro Fund	0.28%	0.31%	0.43%	3.99%	11.26%	3.46%	2.11%	3.79%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both JDJIX and ADANX in my portfolio?

JDJIX and ADANX have a correlation of 0.09, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, JDJIX or ADANX?

JDJIX has higher volatility (1.77%) compared to ADANX (0.61%). In terms of maximum drawdown, JDJIX dropped -19.58% vs ADANX's -14.73%.

Which has better risk-adjusted returns?

ADANX currently has the higher Sharpe Ratio (3.84 vs 0.85), 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.