SMSAX vs. ADANX
Compare and contrast key facts about SEI Institutional Managed Trust Multi-Strategy Alternative Fund (SMSAX) and AQR Diversified Arbitrage Fund Class N (ADANX).
SMSAX is managed by SEI. It was launched on Mar 30, 2010. ADANX is an actively managed fund by AQR Funds. It was launched on Jan 15, 2009.
Performance
SMSAX vs. ADANX - Performance Comparison
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SMSAX vs. ADANX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
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% | -3.68% | 5.26% |
ADANX AQR Diversified Arbitrage Fund Class N | 0.86% | 7.75% | 2.92% | 4.23% | -3.54% | 5.99% | 24.85% | 8.33% | 2.02% | 5.59% |
Returns By Period
In the year-to-date period, SMSAX achieves a 2.01% return, which is significantly higher than ADANX's 0.86% return. Over the past 10 years, SMSAX has underperformed ADANX with an annualized return of 4.36%, while ADANX has yielded a comparatively higher 6.49% annualized return.
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%
ADANX
- 1D
- 0.16%
- 1M
- 0.08%
- YTD
- 0.86%
- 6M
- 2.58%
- 1Y
- 6.13%
- 3Y*
- 4.95%
- 5Y*
- 2.37%
- 10Y*
- 6.49%
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SMSAX vs. ADANX - Expense Ratio Comparison
SMSAX has a 1.35% expense ratio, which is lower than ADANX's 2.12% expense ratio.
Return for Risk
SMSAX vs. ADANX — Risk / Return Rank
SMSAX
ADANX
SMSAX vs. ADANX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for SEI Institutional Managed Trust Multi-Strategy Alternative Fund (SMSAX) 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.
| SMSAX | ADANX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 2.42 | 4.02 | -1.60 |
Sortino ratioReturn per unit of downside risk | 3.61 | 6.60 | -3.00 |
Omega ratioGain probability vs. loss probability | 1.49 | 1.97 | -0.48 |
Calmar ratioReturn relative to maximum drawdown | 3.77 | 9.66 | -5.89 |
Martin ratioReturn relative to average drawdown | 13.93 | 38.51 | -24.58 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| SMSAX | ADANX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.42 | 4.02 | -1.60 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.91 | 0.89 | +0.02 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.96 | 1.52 | -0.55 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.71 | 1.12 | -0.41 |
Correlation
The correlation between SMSAX and ADANX is 0.26, 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.
Dividends
SMSAX vs. ADANX - Dividend Comparison
SMSAX's dividend yield for the trailing twelve months is around 4.98%, more than ADANX's 1.84% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
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% |
ADANX AQR Diversified Arbitrage Fund Class N | 1.84% | 1.86% | 0.96% | 2.47% | 0.10% | 0.40% | 1.33% | 1.81% | 6.22% | 6.84% | 6.83% | 4.43% |
Drawdowns
SMSAX vs. ADANX - Drawdown Comparison
The maximum SMSAX drawdown since its inception was -10.98%, smaller than the maximum ADANX drawdown of -14.73%. Use the drawdown chart below to compare losses from any high point for SMSAX and ADANX.
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Drawdown Indicators
| SMSAX | ADANX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -10.98% | -14.73% | +3.75% |
Max Drawdown (1Y)Largest decline over 1 year | -3.73% | -0.64% | -3.09% |
Max Drawdown (5Y)Largest decline over 5 years | -9.72% | -7.48% | -2.24% |
Max Drawdown (10Y)Largest decline over 10 years | -10.98% | -14.73% | +3.75% |
Current DrawdownCurrent decline from peak | -2.12% | -0.15% | -1.97% |
Average DrawdownAverage peak-to-trough decline | -2.12% | -3.06% | +0.94% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.01% | 0.16% | +0.85% |
Volatility
SMSAX vs. ADANX - Volatility Comparison
SEI Institutional Managed Trust Multi-Strategy Alternative Fund (SMSAX) has a higher volatility of 2.30% compared to AQR Diversified Arbitrage Fund Class N (ADANX) at 0.41%. This indicates that SMSAX'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.
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Volatility by Period
| SMSAX | ADANX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.30% | 0.41% | +1.89% |
Volatility (6M)Calculated over the trailing 6-month period | 4.03% | 1.06% | +2.97% |
Volatility (1Y)Calculated over the trailing 1-year period | 5.83% | 1.53% | +4.30% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 4.55% | 2.68% | +1.87% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 4.55% | 4.29% | +0.26% |