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QRPNX vs. SMSAX
Performance
Return for Risk
Dividends
Drawdowns
Volatility

QRPNX vs. SMSAX

Last updated Apr 2, 2026

Compare and contrast key facts about AQR Alternative Risk Premia Fund Class N (QRPNX) and SEI Institutional Managed Trust Multi-Strategy Alternative Fund (SMSAX).

QRPNX is an actively managed fund by AQR. It was launched on Sep 19, 2017. SMSAX is managed by SEI. It was launched on Mar 30, 2010.

Performance

QRPNX vs. SMSAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AQR Alternative Risk Premia Fund Class N (QRPNX) and SEI Institutional Managed Trust Multi-Strategy Alternative Fund (SMSAX). The values are adjusted to include any dividend payments, if applicable.

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QRPNX vs. SMSAX - Yearly Performance Comparison

2026 (YTD)20252024202320222021202020192018
QRPNX
AQR Alternative Risk Premia Fund Class N		9.02%23.09%18.64%6.94%24.83%14.04%-21.20%-3.25%-4.58%
SMSAX
SEI Institutional Managed Trust Multi-Strategy Alternative Fund		2.01%10.62%6.42%7.21%-4.95%1.47%12.06%4.85%-4.16%

Returns By Period

In the year-to-date period, QRPNX achieves a 9.02% return, which is significantly higher than SMSAX's 2.01% return.

QRPNX

1D
0.47%
1M
-0.13%
YTD
9.02%
6M
14.05%
1Y
19.10%
3Y*
19.88%
5Y*
17.45%
10Y*
—

SMSAX

1D
1.20%
1M
-1.74%
YTD
2.01%
6M
4.75%
1Y
14.04%
3Y*
8.43%
5Y*
4.11%
10Y*
4.36%
*Multi-year figures are annualized to reflect compound growth (CAGR)

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AQR Alternative Risk Premia Fund Class N

SEI Institutional Managed Trust Multi-Strategy Alternative Fund

Often compared with QRPNX:
QRPNX vs. ADANXQRPNX vs. SHRIXQRPNX vs. VVOAXQRPNX vs. QSPNXQRPNX vs. TNMAXQRPNX vs. FABZXQRPNX vs. FCRIX
Often compared with SMSAX:
SMSAX vs. VOOSMSAX vs. ADAIXSMSAX vs. QSPIXSMSAX vs. RMDFXSMSAX vs. ENIAXSMSAX vs. FCRIXSMSAX vs. QRPRX

QRPNX vs. SMSAX - Expense Ratio Comparison

QRPNX has a 5.29% expense ratio, which is higher than SMSAX's 1.35% expense ratio.

QRPNX
AQR Alternative Risk Premia Fund Class N
SMSAX
SEI Institutional Managed Trust Multi-Strategy Alternative Fund

Return for Risk

QRPNX vs. SMSAX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
QRPNX
QRPNX Risk / Return Rank: 7979
Overall Rank
QRPNX Sharpe Ratio Rank: 8888
Sharpe Ratio Rank
QRPNX Sortino Ratio Rank: 8383
Sortino Ratio Rank
QRPNX Omega Ratio Rank: 8686
Omega Ratio Rank
QRPNX Calmar Ratio Rank: 7676
Calmar Ratio Rank
QRPNX Martin Ratio Rank: 6464
Martin Ratio Rank
SMSAX
SMSAX Risk / Return Rank: 9595
Overall Rank
SMSAX Sharpe Ratio Rank: 9696
Sharpe Ratio Rank
SMSAX Sortino Ratio Rank: 9696
Sortino Ratio Rank
SMSAX Omega Ratio Rank: 9494
Omega Ratio Rank
SMSAX Calmar Ratio Rank: 9696
Calmar Ratio Rank
SMSAX Martin Ratio Rank: 9595
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.

QRPNX vs. SMSAX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for AQR Alternative Risk Premia Fund Class N (QRPNX) and SEI Institutional Managed Trust Multi-Strategy Alternative Fund (SMSAX). 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.

QRPNXSMSAXDifference

Sharpe ratio

Return per unit of total volatility

1.80

2.42

-0.62

Sortino ratio

Return per unit of downside risk

2.22

3.61

-1.39

Omega ratio

Gain probability vs. loss probability

1.36

1.49

-0.12

Calmar ratio

Return relative to maximum drawdown

1.91

3.77

-1.86

Martin ratio

Return relative to average drawdown

6.45

13.93

-7.49

Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

QRPNX vs. SMSAX - Sharpe Ratio Comparison

The current QRPNX Sharpe Ratio is 1.80, which is comparable to the SMSAX Sharpe Ratio of 2.42. The chart below compares the historical Sharpe Ratios of QRPNX and SMSAX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

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Sharpe Ratios by Period

QRPNXSMSAXDifference

Sharpe Ratio (1Y)

Calculated over the trailing 1-year period

1.80

2.42

-0.62

Sharpe Ratio (5Y)

Calculated over the trailing 5-year period

1.50

0.91

+0.59

Sharpe Ratio (10Y)

Calculated over the trailing 10-year period

—

0.96

—

Sharpe Ratio (All Time)

Calculated using the full available price history

0.73

0.71

+0.01

Correlation

The correlation between QRPNX and SMSAX is -0.02. This indicates that the assets' prices tend to move in opposite directions. Negative correlation can be particularly beneficial for diversification and risk management, as one asset may offset the losses of the other during market fluctuations.

Dividends

QRPNX vs. SMSAX - Dividend Comparison

QRPNX's dividend yield for the trailing twelve months is around 1.04%, less than SMSAX's 4.98% yield.

TTM20252024202320222021202020192018201720162015
QRPNX
AQR Alternative Risk Premia Fund Class N		1.04%1.14%2.04%4.33%0.00%3.84%1.98%0.57%0.07%0.00%0.00%0.00%
SMSAX
SEI Institutional Managed Trust Multi-Strategy Alternative Fund		4.98%5.08%5.54%4.35%2.13%7.61%2.79%1.01%4.94%2.20%0.07%2.66%

Drawdowns

QRPNX vs. SMSAX - Drawdown Comparison

The maximum QRPNX drawdown since its inception was -28.78%, which is greater than SMSAX's maximum drawdown of -10.98%. Use the drawdown chart below to compare losses from any high point for QRPNX and SMSAX.

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Drawdown Indicators

QRPNXSMSAXDifference

Max Drawdown

Largest peak-to-trough decline

-28.78%

-10.98%

-17.80%

Max Drawdown (1Y)

Largest decline over 1 year

-10.79%

-3.73%

-7.06%

Max Drawdown (5Y)

Largest decline over 5 years

-11.22%

-9.72%

-1.50%

Max Drawdown (10Y)

Largest decline over 10 years

—

-10.98%

—

Current Drawdown

Current decline from peak

-0.47%

-2.12%

+1.65%

Average Drawdown

Average peak-to-trough decline

-8.01%

-2.12%

-5.89%

Ulcer Index

Depth and duration of drawdowns from previous peaks

3.26%

1.01%

+2.25%

Volatility

QRPNX vs. SMSAX - Volatility Comparison

AQR Alternative Risk Premia Fund Class N (QRPNX) has a higher volatility of 2.56% compared to SEI Institutional Managed Trust Multi-Strategy Alternative Fund (SMSAX) at 2.30%. This indicates that QRPNX's price experiences larger fluctuations and is considered to be riskier than SMSAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

QRPNXSMSAXDifference

Volatility (1M)

Calculated over the trailing 1-month period

2.56%

2.30%

+0.26%

Volatility (6M)

Calculated over the trailing 6-month period

6.48%

4.03%

+2.45%

Volatility (1Y)

Calculated over the trailing 1-year period

11.41%

5.83%

+5.58%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

11.69%

4.55%

+7.14%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

10.33%

4.55%

+5.78%