QRPRX vs. FSMSX

Last updated Jun 3, 2026

QRPRX (AQR Alternative Risk Premia R6) and FSMSX (FS Multi-Strategy Alternatives Fund) are both Multistrategy funds. Over the past 5 years, QRPRX returned 19.89%/yr vs 5.22%/yr for FSMSX. At a 0.19 correlation, their price movements are largely independent. QRPRX charges 4.94%/yr vs 1.89%/yr for FSMSX.

Performance

QRPRX vs. FSMSX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AQR Alternative Risk Premia R6 (QRPRX) and FS Multi-Strategy Alternatives Fund (FSMSX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, QRPRX achieves a 19.20% return, which is significantly higher than FSMSX's 4.13% return.

QRPRX

• 1D: 1.73%
• 1M: 4.44%
• YTD: 19.20%
• 6M: 20.34%
• 1Y: 36.24%
• 3Y*: 23.88%
• 5Y*: 19.89%
• 10Y*: —

FSMSX

• 1D: -0.09%
• 1M: 1.31%
• YTD: 4.13%
• 6M: 4.13%
• 1Y: 8.24%
• 3Y*: 5.44%
• 5Y*: 5.22%
• 10Y*: —

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

QRPRX vs. FSMSX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018
QRPRX AQR Alternative Risk Premia R6	19.20%	23.57%	18.88%	7.30%	25.46%	14.33%	-20.91%	-2.94%	-4.35%
FSMSX FS Multi-Strategy Alternatives Fund	4.13%	4.13%	4.63%	5.44%	3.17%	13.97%	-3.66%	7.77%	-3.06%

Correlation

The correlation between QRPRX and FSMSX is 0.16, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.16
Correlation (3Y) Calculated over the trailing 3-year period	0.17
Correlation (5Y) Calculated over the trailing 5-year period	0.15
Correlation (All Time) Calculated using the full available price history since May 22, 2018	0.19

Return for Risk

QRPRX vs. FSMSX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

QRPRX

QRPRX Risk / Return Rank: 97
QRPRX Sharpe Ratio Rank: 98
QRPRX Sortino Ratio Rank: 97
QRPRX Omega Ratio Rank: 94
QRPRX Calmar Ratio Rank: 99
QRPRX Martin Ratio Rank: 98

FSMSX

FSMSX Risk / Return Rank: 88
FSMSX Sharpe Ratio Rank: 86
FSMSX Sortino Ratio Rank: 87
FSMSX Omega Ratio Rank: 85
FSMSX Calmar Ratio Rank: 94
FSMSX Martin Ratio Rank: 87

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.

QRPRX vs. FSMSX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for AQR Alternative Risk Premia R6 (QRPRX) 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.

	QRPRX	FSMSX	Difference
Sharpe ratio Return per unit of total volatility	4.07	2.77	+1.29
Sortino ratio Return per unit of downside risk	5.91	4.15	+1.77
Omega ratio Gain probability vs. loss probability	1.75	1.57	+0.17
Calmar ratio Return relative to maximum drawdown	10.63	5.52	+5.11
Martin ratio Return relative to average drawdown	31.09	16.89	+14.20
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

QRPRX vs. FSMSX - Sharpe Ratio Comparison

The current QRPRX Sharpe Ratio is 4.07, which is higher than the FSMSX Sharpe Ratio of 2.77. The chart below compares the historical Sharpe Ratios of QRPRX and FSMSX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	QRPRX	FSMSX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	4.07	2.77	+1.29
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	1.69	1.13	+0.56
Sharpe Ratio (All Time) Calculated using the full available price history	0.86	0.88	-0.02

Drawdowns

QRPRX vs. FSMSX - Drawdown Comparison

The maximum QRPRX drawdown since its inception was -28.21%, which is greater than FSMSX's maximum drawdown of -8.94%. Use the drawdown chart below to compare losses from any high point for QRPRX and FSMSX.

Drawdown Indicators

	QRPRX	FSMSX	Difference
Max Drawdown Largest peak-to-trough decline	-28.21%	-8.94%	-19.27%
Max Drawdown (1Y) Largest decline over 1 year	-3.46%	-1.46%	-2.00%
Max Drawdown (3Y) Largest decline over 3 years	-11.24%	-4.06%	-7.18%
Max Drawdown (5Y) Largest decline over 5 years	-11.24%	-4.13%	-7.11%
Current Drawdown Current decline from peak	0.00%	-0.09%	+0.09%
Average Drawdown Average peak-to-trough decline	-7.53%	-1.64%	-5.89%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.18%	0.48%	+0.70%

Volatility

QRPRX vs. FSMSX - Volatility Comparison

AQR Alternative Risk Premia R6 (QRPRX) has a higher volatility of 2.80% compared to FS Multi-Strategy Alternatives Fund (FSMSX) at 0.95%. This indicates that QRPRX'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.

Volatility by Period

	QRPRX	FSMSX	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.80%	0.95%	+1.85%
Volatility (6M) Calculated over the trailing 6-month period	6.75%	2.24%	+4.51%
Volatility (1Y) Calculated over the trailing 1-year period	9.22%	2.91%	+6.31%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	11.83%	4.62%	+7.21%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	10.38%	4.65%	+5.73%

QRPRX vs. FSMSX - Expense Ratio Comparison

QRPRX has a 4.94% expense ratio, which is higher than FSMSX's 1.89% expense ratio.

Dividends

QRPRX vs. FSMSX - Dividend Comparison

QRPRX's dividend yield for the trailing twelve months is around 1.26%, less than FSMSX's 3.96% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018
FSMSX FS Multi-Strategy Alternatives Fund	3.96%	4.12%	2.48%	3.61%	4.12%	3.22%	0.77%	2.20%	0.82%
QRPRX AQR Alternative Risk Premia R6	1.26%	1.51%	2.33%	4.60%	0.00%	4.16%	1.97%	1.00%	0.09%

Frequently Asked Questions

Can I hold both QRPRX and FSMSX in my portfolio?

QRPRX and FSMSX have a correlation of 0.16, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, QRPRX or FSMSX?

QRPRX has higher volatility (2.80%) compared to FSMSX (0.95%). In terms of maximum drawdown, QRPRX dropped -28.21% vs FSMSX's -8.94%.

Which has better risk-adjusted returns?

QRPRX currently has the higher Sharpe Ratio (4.07 vs 2.77), 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.