SRDAX vs. QDSIX
Compare and contrast key facts about Stone Ridge Diversified Alternatives Fund (SRDAX) and AQR Diversifying Strategies Fund (QDSIX).
SRDAX is managed by STONE RIDGE. It was launched on Apr 29, 2020. QDSIX is managed by AQR Funds. It was launched on Jun 7, 2020.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: SRDAX or QDSIX.
Key characteristics
| SRDAX | QDSIX | |
|---|---|---|
| YTD Return | 6.29% | 11.23% |
| 1Y Return | 6.51% | 0.48% |
| 3Y Return (Ann) | 9.22% | 8.03% |
| Sharpe Ratio | 2.11 | 0.03 |
| Sortino Ratio | 3.11 | 0.10 |
| Omega Ratio | 1.44 | 1.03 |
| Calmar Ratio | 2.72 | 0.04 |
| Martin Ratio | 8.90 | 0.09 |
| Ulcer Index | 0.76% | 4.31% |
| Daily Std Dev | 3.21% | 11.67% |
| Max Drawdown | -6.33% | -11.30% |
| Current Drawdown | -0.00% | -2.19% |
Correlation
The correlation between SRDAX and QDSIX is 0.07, 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.
Performance
SRDAX vs. QDSIX - Performance Comparison
In the year-to-date period, SRDAX achieves a 6.29% return, which is significantly lower than QDSIX's 11.23% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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SRDAX vs. QDSIX - Expense Ratio Comparison
SRDAX has a 1.27% expense ratio, which is higher than QDSIX's 0.20% expense ratio.
Risk-Adjusted Performance
SRDAX vs. QDSIX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for Stone Ridge Diversified Alternatives Fund (SRDAX) and AQR Diversifying Strategies Fund (QDSIX). 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.
Dividends
SRDAX vs. QDSIX - Dividend Comparison
SRDAX's dividend yield for the trailing twelve months is around 12.11%, more than QDSIX's 10.05% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | |
|---|---|---|---|---|---|
SRDAX Stone Ridge Diversified Alternatives Fund | 12.11% | 12.87% | 1.11% | 7.54% | 2.51% |
QDSIX AQR Diversifying Strategies Fund | 10.05% | 11.18% | 8.06% | 4.70% | 1.93% |
Drawdowns
SRDAX vs. QDSIX - Drawdown Comparison
The maximum SRDAX drawdown since its inception was -6.33%, smaller than the maximum QDSIX drawdown of -11.30%. Use the drawdown chart below to compare losses from any high point for SRDAX and QDSIX. For additional features, visit the drawdowns tool.
Volatility
SRDAX vs. QDSIX - Volatility Comparison
The current volatility for Stone Ridge Diversified Alternatives Fund (SRDAX) is 1.05%, while AQR Diversifying Strategies Fund (QDSIX) has a volatility of 1.54%. This indicates that SRDAX experiences smaller price fluctuations and is considered to be less risky than QDSIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.