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QALTX vs. JDJIX
Performance
Return for Risk
Drawdowns
Volatility
Dividends

QALTX vs. JDJIX

Last updated Jun 24, 2026

QALTX (Quantified Alternative Investment Fund) and JDJIX (JHancock Diversified Macro Fund) are both Macro Trading funds. Over the past 5 years, QALTX returned 4.15%/yr vs 3.16%/yr for JDJIX. At a 0.41 correlation, their price movements are largely independent. QALTX charges 1.33%/yr vs 1.39%/yr for JDJIX.

Performance

QALTX vs. JDJIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Quantified Alternative Investment Fund (QALTX) and JHancock Diversified Macro Fund (JDJIX). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, QALTX achieves a 5.90% return, which is significantly lower than JDJIX's 10.58% return.

QALTX

1D
0.09%
1M
-1.82%
YTD
5.90%
6M
5.03%
1Y
18.32%
3Y*
8.88%
5Y*
4.15%
10Y*
4.58%

JDJIX

1D
0.22%
1M
0.33%
YTD
10.58%
6M
10.31%
1Y
9.34%
3Y*
1.84%
5Y*
3.16%
10Y*
—
*Multi-year figures are annualized to reflect compound growth (CAGR)

QALTX vs. JDJIX - Yearly Performance Comparison

2026 (YTD)2025202420232022202120202019
QALTX
Quantified Alternative Investment Fund		5.90%14.31%4.11%2.76%-8.13%11.76%1.01%4.62%
JDJIX
JHancock Diversified Macro Fund		10.58%-7.68%2.59%2.77%12.26%-2.19%-2.24%1.59%

Correlation

The correlation between QALTX and JDJIX is 0.36, which is low. Their price movements are largely independent, making them effective diversification partners.

Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

0.36

Correlation (3Y)
Calculated over the trailing 3-year period

0.35

Correlation (5Y)
Calculated over the trailing 5-year period

0.35

Correlation (All Time)
Calculated using the full available price history since Jul 29, 2019

0.41

Compare stocks, funds, or ETFs

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

Quantified Alternative Investment Fund

JHancock Diversified Macro Fund

Often compared with QALTX:
QALTX vs. OTRFXQALTX vs. QSPMXQALTX vs. KAMIXQALTX vs. QEVOXQALTX vs. DVRIXQALTX vs. QGMIXQALTX vs. EBSAX
Often compared with JDJIX:
JDJIX vs. HFGMJDJIX vs. SWTSXJDJIX vs. FMFJDJIX vs. ASFYXJDJIX vs. WTMFJDJIX vs. AQMIXJDJIX vs. DBMF

Return for Risk

QALTX vs. JDJIX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
QALTX
QALTX Risk / Return Rank: 6767
Overall Rank
QALTX Sharpe Ratio Rank: 5757
Sharpe Ratio Rank
QALTX Sortino Ratio Rank: 4848
Sortino Ratio Rank
QALTX Omega Ratio Rank: 6262
Omega Ratio Rank
QALTX Calmar Ratio Rank: 8585
Calmar Ratio Rank
QALTX Martin Ratio Rank: 8181
Martin Ratio Rank
JDJIX
JDJIX Risk / Return Rank: 2222
Overall Rank
JDJIX Sharpe Ratio Rank: 2424
Sharpe Ratio Rank
JDJIX Sortino Ratio Rank: 2323
Sortino Ratio Rank
JDJIX Omega Ratio Rank: 2424
Omega Ratio Rank
JDJIX Calmar Ratio Rank: 2121
Calmar Ratio Rank
JDJIX Martin Ratio Rank: 1616
Martin Ratio Rank
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.

QALTX vs. JDJIX - Risk-Adjusted Trends Comparison

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

QALTXJDJIXDifference
Sharpe ratioReturn per unit of total volatility
2.06
1.29

+0.76

Sortino ratioReturn per unit of downside risk
2.68
1.85

+0.83

Omega ratioGain probability vs. loss probability

1.40

1.24

+0.16

Calmar ratioReturn relative to maximum drawdown

3.84

1.57

+2.27

Martin ratioReturn relative to average drawdown

14.02

4.09

+9.93

QALTX vs. JDJIX - Sharpe Ratio Comparison

The current QALTX Sharpe Ratio is 2.06, which is higher than the JDJIX Sharpe Ratio of 1.29. The chart below compares the historical Sharpe Ratios of QALTX and JDJIX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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Drawdowns

QALTX vs. JDJIX - Drawdown Comparison

The maximum QALTX drawdown since its inception was -24.22%, which is greater than JDJIX's maximum drawdown of -19.58%. Use the drawdown chart below to compare losses from any high point for QALTX and JDJIX.

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Drawdown Indicators

QALTXJDJIXDifference

Max Drawdown

Largest peak-to-trough decline

-24.22%

-19.58%

-4.64%

Max Drawdown (1Y)

Largest decline over 1 year

-4.99%

-5.72%

+0.73%

Max Drawdown (3Y)

Largest decline over 3 years

-11.47%

-19.58%

+8.11%

Max Drawdown (5Y)

Largest decline over 5 years

-13.17%

-19.58%

+6.41%

Max Drawdown (10Y)

Largest decline over 10 years

-24.22%

—

—

Current Drawdown

Current decline from peak

-3.06%

-9.93%

+6.87%

Average Drawdown

Average peak-to-trough decline

-6.05%

-7.41%

+1.36%

Ulcer Index

Depth and duration of drawdowns from previous peaks

1.36%

2.19%

-0.83%

Volatility

QALTX vs. JDJIX - Volatility Comparison

Quantified Alternative Investment Fund (QALTX) has a higher volatility of 3.54% compared to JHancock Diversified Macro Fund (JDJIX) at 2.74%. This indicates that QALTX's price experiences larger fluctuations and is considered to be riskier than JDJIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

QALTXJDJIXDifference

Volatility (1M)

Calculated over the trailing 1-month period

3.54%

2.74%

+0.80%

Volatility (6M)

Calculated over the trailing 6-month period

6.51%

5.43%

+1.08%

Volatility (1Y)

Calculated over the trailing 1-year period

9.34%

6.97%

+2.37%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

8.91%

8.89%

+0.02%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

9.93%

9.14%

+0.79%

QALTX vs. JDJIX - Expense Ratio Comparison

QALTX has a 1.33% expense ratio, which is lower than JDJIX's 1.39% expense ratio.

Dividends

QALTX vs. JDJIX - Dividend Comparison

QALTX's dividend yield for the trailing twelve months is around 2.29%, more than JDJIX's 0.28% yield.

PositionTTM20252024202320222021202020192018201720162015
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%
QALTX
Quantified Alternative Investment Fund		2.29%2.42%1.61%3.55%1.73%12.79%0.00%1.44%0.07%3.12%0.04%0.84%

Frequently Asked Questions

QALTX and JDJIX have a correlation of 0.36, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

QALTX has higher volatility (3.54%) compared to JDJIX (2.74%). In terms of maximum drawdown, QALTX dropped -24.22% vs JDJIX's -19.58%.

QALTX currently has the higher Sharpe Ratio (2.06 vs 1.29), 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.

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