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

Key characteristics


QDSIXFSMSX
YTD Return10.78%3.76%
1Y Return-1.27%4.06%
3Y Return (Ann)7.80%5.02%
Sharpe Ratio-0.081.57
Sortino Ratio-0.022.20
Omega Ratio0.991.32
Calmar Ratio-0.082.01
Martin Ratio-0.225.23
Ulcer Index4.32%0.78%
Daily Std Dev11.63%2.59%
Max Drawdown-11.30%-9.41%
Current Drawdown-2.59%-0.70%

Correlation

-0.50.00.51.00.3

The correlation between QDSIX and FSMSX 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

QDSIX vs. FSMSX - Performance Comparison

In the year-to-date period, QDSIX achieves a 10.78% return, which is significantly higher than FSMSX's 3.76% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-6.00%-4.00%-2.00%0.00%2.00%JuneJulyAugustSeptemberOctoberNovember
-0.95%
0.71%
QDSIX
FSMSX

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QDSIX vs. FSMSX - Expense Ratio Comparison

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

QDSIX vs. FSMSX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for AQR Diversifying Strategies Fund (QDSIX) and FS Multi-Strategy Alternatives Fund (FSMSX). 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.


QDSIX
Sharpe ratio
The chart of Sharpe ratio for QDSIX, currently valued at -0.08, compared to the broader market0.002.004.00-0.08
Sortino ratio
The chart of Sortino ratio for QDSIX, currently valued at -0.02, compared to the broader market0.005.0010.00-0.02
Omega ratio
The chart of Omega ratio for QDSIX, currently valued at 0.99, compared to the broader market1.002.003.004.000.99
Calmar ratio
The chart of Calmar ratio for QDSIX, currently valued at -0.08, compared to the broader market0.005.0010.0015.0020.0025.00-0.08
Martin ratio
The chart of Martin ratio for QDSIX, currently valued at -0.22, compared to the broader market0.0020.0040.0060.0080.00100.00-0.22
FSMSX
Sharpe ratio
The chart of Sharpe ratio for FSMSX, currently valued at 1.57, compared to the broader market0.002.004.001.57
Sortino ratio
The chart of Sortino ratio for FSMSX, currently valued at 2.20, compared to the broader market0.005.0010.002.20
Omega ratio
The chart of Omega ratio for FSMSX, currently valued at 1.32, compared to the broader market1.002.003.004.001.32
Calmar ratio
The chart of Calmar ratio for FSMSX, currently valued at 2.01, compared to the broader market0.005.0010.0015.0020.0025.002.01
Martin ratio
The chart of Martin ratio for FSMSX, currently valued at 5.23, compared to the broader market0.0020.0040.0060.0080.00100.005.23

QDSIX vs. FSMSX - Sharpe Ratio Comparison

The current QDSIX Sharpe Ratio is -0.08, which is lower than the FSMSX Sharpe Ratio of 1.57. The chart below compares the historical Sharpe Ratios of QDSIX and FSMSX, 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
-0.08
1.57
QDSIX
FSMSX

Dividends

QDSIX vs. FSMSX - Dividend Comparison

QDSIX's dividend yield for the trailing twelve months is around 10.09%, more than FSMSX's 3.44% yield.


TTM20232022202120202019
QDSIX
AQR Diversifying Strategies Fund
10.09%11.18%8.06%4.70%1.93%0.00%
FSMSX
FS Multi-Strategy Alternatives Fund
3.44%3.57%2.97%3.22%0.77%2.20%

Drawdowns

QDSIX vs. FSMSX - Drawdown Comparison

The maximum QDSIX drawdown since its inception was -11.30%, which is greater than FSMSX's maximum drawdown of -9.41%. Use the drawdown chart below to compare losses from any high point for QDSIX and FSMSX. For additional features, visit the drawdowns tool.


-7.00%-6.00%-5.00%-4.00%-3.00%-2.00%-1.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-2.59%
-0.70%
QDSIX
FSMSX

Volatility

QDSIX vs. FSMSX - Volatility Comparison

AQR Diversifying Strategies Fund (QDSIX) has a higher volatility of 1.55% compared to FS Multi-Strategy Alternatives Fund (FSMSX) at 0.80%. This indicates that QDSIX's price experiences larger fluctuations and is considered to be riskier than FSMSX 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%JuneJulyAugustSeptemberOctoberNovember
1.55%
0.80%
QDSIX
FSMSX