SMSAX vs. QRPNX

Last updated Apr 1, 2026

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

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

Performance

SMSAX vs. QRPNX - Performance Comparison

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

SMSAX vs. QRPNX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018
SMSAX SEI Institutional Managed Trust Multi-Strategy Alternative Fund	0.80%	10.62%	6.42%	7.21%	-4.95%	1.47%	12.06%	4.85%	-4.16%
QRPNX AQR Alternative Risk Premia Fund Class N	8.50%	23.09%	18.64%	6.94%	24.83%	14.04%	-21.20%	-3.25%	-4.58%

Returns By Period

In the year-to-date period, SMSAX achieves a 0.80% return, which is significantly lower than QRPNX's 8.50% return.

SMSAX

• 1D: 0.10%
• 1M: -3.00%
• YTD: 0.80%
• 6M: 3.82%
• 1Y: 12.70%
• 3Y*: 8.00%
• 5Y*: 3.96%
• 10Y*: 4.24%

QRPNX

• 1D: 0.00%
• 1M: -0.80%
• YTD: 8.50%
• 6M: 13.25%
• 1Y: 19.87%
• 3Y*: 19.69%
• 5Y*: 17.28%
• 10Y*: —

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

SMSAX vs. QRPNX - Expense Ratio Comparison

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

QRPNX

AQR Alternative Risk Premia Fund Class N

SMSAX

SEI Institutional Managed Trust Multi-Strategy Alternative Fund

Return for Risk

SMSAX vs. QRPNX — Risk / Return Rank

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

SMSAX

SMSAX Risk / Return Rank: 94
SMSAX Sharpe Ratio Rank: 95
SMSAX Sortino Ratio Rank: 96
SMSAX Omega Ratio Rank: 92
SMSAX Calmar Ratio Rank: 95
SMSAX Martin Ratio Rank: 94

QRPNX

QRPNX Risk / Return Rank: 81
QRPNX Sharpe Ratio Rank: 89
QRPNX Sortino Ratio Rank: 85
QRPNX Omega Ratio Rank: 87
QRPNX Calmar Ratio Rank: 79
QRPNX Martin Ratio Rank: 66

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.

SMSAX vs. QRPNX - 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 Alternative Risk Premia Fund Class N (QRPNX). 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	QRPNX	Difference
Sharpe ratio Return per unit of total volatility	2.23	1.80	+0.43
Sortino ratio Return per unit of downside risk	3.28	2.22	+1.06
Omega ratio Gain probability vs. loss probability	1.44	1.36	+0.08
Calmar ratio Return relative to maximum drawdown	3.25	1.86	+1.39
Martin ratio Return relative to average drawdown	12.11	6.27	+5.84
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

SMSAX vs. QRPNX - Sharpe Ratio Comparison

The current SMSAX Sharpe Ratio is 2.23, which is comparable to the QRPNX Sharpe Ratio of 1.80. The chart below compares the historical Sharpe Ratios of SMSAX and QRPNX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Sharpe Ratios by Period

	SMSAX	QRPNX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.23	1.80	+0.43
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.88	1.49	-0.61
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.94	—	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.70	0.72	-0.02

Correlation

The correlation between SMSAX and QRPNX 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

SMSAX vs. QRPNX - Dividend Comparison

SMSAX's dividend yield for the trailing twelve months is around 5.04%, more than QRPNX's 1.05% yield.

	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
SMSAX SEI Institutional Managed Trust Multi-Strategy Alternative Fund	5.04%	5.08%	5.54%	4.35%	2.13%	7.61%	2.79%	1.01%	4.94%	2.20%	0.07%	2.66%
QRPNX AQR Alternative Risk Premia Fund Class N	1.05%	1.14%	2.04%	4.33%	0.00%	3.84%	1.98%	0.57%	0.07%	0.00%	0.00%	0.00%

Drawdowns

SMSAX vs. QRPNX - Drawdown Comparison

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

Drawdown Indicators

	SMSAX	QRPNX	Difference
Max Drawdown Largest peak-to-trough decline	-10.98%	-28.78%	+17.80%
Max Drawdown (1Y) Largest decline over 1 year	-3.73%	-11.01%	+7.28%
Max Drawdown (5Y) Largest decline over 5 years	-9.72%	-11.22%	+1.50%
Max Drawdown (10Y) Largest decline over 10 years	-10.98%	—	—
Current Drawdown Current decline from peak	-3.28%	-0.94%	-2.34%
Average Drawdown Average peak-to-trough decline	-2.12%	-8.01%	+5.89%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.00%	3.26%	-2.26%

Volatility

SMSAX vs. QRPNX - Volatility Comparison

The current volatility for SEI Institutional Managed Trust Multi-Strategy Alternative Fund (SMSAX) is 1.87%, while AQR Alternative Risk Premia Fund Class N (QRPNX) has a volatility of 2.52%. This indicates that SMSAX experiences smaller price fluctuations and is considered to be less risky than QRPNX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	SMSAX	QRPNX	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.87%	2.52%	-0.65%
Volatility (6M) Calculated over the trailing 6-month period	3.86%	6.47%	-2.61%
Volatility (1Y) Calculated over the trailing 1-year period	5.73%	11.43%	-5.70%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	4.52%	11.70%	-7.18%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	4.53%	10.33%	-5.80%