SMSAX vs. QSPRX
Compare and contrast key facts about SEI Institutional Managed Trust Multi-Strategy Alternative Fund (SMSAX) and AQR Style Premia Alternative R6 (QSPRX).
SMSAX is managed by SEI. It was launched on Mar 30, 2010. QSPRX is an actively managed fund by AQR. It was launched on Sep 2, 2014.
Performance
SMSAX vs. QSPRX - Performance Comparison
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SMSAX vs. QSPRX - 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% |
QSPRX AQR Style Premia Alternative R6 | 9.87% | 14.94% | 21.60% | 12.50% | 30.90% | 25.14% | -21.91% | -8.10% | -12.32% | 12.18% |
Returns By Period
In the year-to-date period, SMSAX achieves a 2.01% return, which is significantly lower than QSPRX's 9.87% return. Over the past 10 years, SMSAX has underperformed QSPRX with an annualized return of 4.36%, while QSPRX has yielded a comparatively higher 7.14% 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%
QSPRX
- 1D
- -0.10%
- 1M
- 3.12%
- YTD
- 9.87%
- 6M
- 13.19%
- 1Y
- 13.06%
- 3Y*
- 20.04%
- 5Y*
- 18.99%
- 10Y*
- 7.14%
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SMSAX vs. QSPRX - Expense Ratio Comparison
SMSAX has a 1.35% expense ratio, which is lower than QSPRX's 5.79% expense ratio.
Return for Risk
SMSAX vs. QSPRX — Risk / Return Rank
SMSAX
QSPRX
SMSAX vs. QSPRX - 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 Style Premia Alternative R6 (QSPRX). 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 | QSPRX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 2.42 | 1.39 | +1.03 |
Sortino ratioReturn per unit of downside risk | 3.61 | 1.89 | +1.71 |
Omega ratioGain probability vs. loss probability | 1.49 | 1.25 | +0.23 |
Calmar ratioReturn relative to maximum drawdown | 3.77 | 1.74 | +2.02 |
Martin ratioReturn relative to average drawdown | 13.93 | 5.27 | +8.66 |
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 | QSPRX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.42 | 1.39 | +1.03 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.91 | 1.19 | -0.29 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.96 | 0.56 | +0.40 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.71 | 0.57 | +0.15 |
Correlation
The correlation between SMSAX and QSPRX is -0.08. 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. QSPRX - Dividend Comparison
SMSAX's dividend yield for the trailing twelve months is around 4.98%, more than QSPRX's 2.39% 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% |
QSPRX AQR Style Premia Alternative R6 | 2.39% | 2.63% | 6.99% | 23.75% | 22.67% | 12.85% | 0.00% | 1.62% | 1.09% | 7.15% | 1.74% | 5.87% |
Drawdowns
SMSAX vs. QSPRX - Drawdown Comparison
The maximum SMSAX drawdown since its inception was -10.98%, smaller than the maximum QSPRX drawdown of -41.22%. Use the drawdown chart below to compare losses from any high point for SMSAX and QSPRX.
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Drawdown Indicators
| SMSAX | QSPRX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -10.98% | -41.22% | +30.24% |
Max Drawdown (1Y)Largest decline over 1 year | -3.73% | -7.75% | +4.02% |
Max Drawdown (5Y)Largest decline over 5 years | -9.72% | -17.17% | +7.45% |
Max Drawdown (10Y)Largest decline over 10 years | -10.98% | -41.22% | +30.24% |
Current DrawdownCurrent decline from peak | -2.12% | -0.21% | -1.91% |
Average DrawdownAverage peak-to-trough decline | -2.12% | -10.21% | +8.09% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.01% | 2.70% | -1.69% |
Volatility
SMSAX vs. QSPRX - Volatility Comparison
The current volatility for SEI Institutional Managed Trust Multi-Strategy Alternative Fund (SMSAX) is 2.30%, while AQR Style Premia Alternative R6 (QSPRX) has a volatility of 2.49%. This indicates that SMSAX experiences smaller price fluctuations and is considered to be less risky than QSPRX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| SMSAX | QSPRX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.30% | 2.49% | -0.19% |
Volatility (6M)Calculated over the trailing 6-month period | 4.03% | 6.51% | -2.48% |
Volatility (1Y)Calculated over the trailing 1-year period | 5.83% | 10.11% | -4.28% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 4.55% | 16.00% | -11.45% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 4.55% | 12.80% | -8.25% |