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SRDAX vs. QDSIX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

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.


-0.50.00.51.00.1

Performance

SRDAX vs. QDSIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Stone Ridge Diversified Alternatives Fund (SRDAX) and AQR Diversifying Strategies Fund (QDSIX). The values are adjusted to include any dividend payments, if applicable.

40.00%45.00%50.00%JulyAugustSeptemberOctoberNovemberDecember
39.41%
45.73%
SRDAX
QDSIX

Key characteristics

Sharpe Ratio

SRDAX:

-0.02

QDSIX:

0.10

Sortino Ratio

SRDAX:

0.02

QDSIX:

0.17

Omega Ratio

SRDAX:

1.01

QDSIX:

1.05

Calmar Ratio

SRDAX:

-0.02

QDSIX:

0.10

Martin Ratio

SRDAX:

-0.18

QDSIX:

0.28

Ulcer Index

SRDAX:

1.02%

QDSIX:

4.00%

Daily Std Dev

SRDAX:

8.01%

QDSIX:

11.64%

Max Drawdown

SRDAX:

-7.76%

QDSIX:

-11.30%

Current Drawdown

SRDAX:

-7.76%

QDSIX:

-1.02%

Returns By Period

In the year-to-date period, SRDAX achieves a -0.66% return, which is significantly lower than QDSIX's 12.57% return.


SRDAX

YTD

-0.66%

1M

-6.29%

6M

-0.28%

1Y

-0.28%

5Y*

N/A

10Y*

N/A

QDSIX

YTD

12.57%

1M

1.04%

6M

0.00%

1Y

1.45%

5Y*

N/A

10Y*

N/A

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


SRDAX vs. QDSIX - Expense Ratio Comparison

SRDAX has a 1.27% expense ratio, which is higher than QDSIX's 0.20% expense ratio.


SRDAX
Stone Ridge Diversified Alternatives Fund
Expense ratio chart for SRDAX: current value at 1.27% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.27%
Expense ratio chart for QDSIX: current value at 0.20% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.20%

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.


Sharpe ratio
The chart of Sharpe ratio for SRDAX, currently valued at -0.02, compared to the broader market-1.000.001.002.003.004.00-0.020.10
The chart of Sortino ratio for SRDAX, currently valued at 0.02, compared to the broader market-2.000.002.004.006.008.0010.000.020.17
The chart of Omega ratio for SRDAX, currently valued at 1.01, compared to the broader market0.501.001.502.002.503.003.501.011.05
The chart of Calmar ratio for SRDAX, currently valued at -0.02, compared to the broader market0.002.004.006.008.0010.0012.0014.00-0.020.10
The chart of Martin ratio for SRDAX, currently valued at -0.18, compared to the broader market0.0020.0040.0060.00-0.180.28
SRDAX
QDSIX

The current SRDAX Sharpe Ratio is -0.02, which is lower than the QDSIX Sharpe Ratio of 0.10. The chart below compares the historical Sharpe Ratios of SRDAX and QDSIX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
-0.02
0.10
SRDAX
QDSIX

Dividends

SRDAX vs. QDSIX - Dividend Comparison

SRDAX has not paid dividends to shareholders, while QDSIX's dividend yield for the trailing twelve months is around 9.93%.


TTM2023202220212020
SRDAX
Stone Ridge Diversified Alternatives Fund
0.00%12.87%1.11%7.54%2.51%
QDSIX
AQR Diversifying Strategies Fund
9.93%11.18%8.06%4.70%1.93%

Drawdowns

SRDAX vs. QDSIX - Drawdown Comparison

The maximum SRDAX drawdown since its inception was -7.76%, 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.


-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-7.76%
-1.02%
SRDAX
QDSIX

Volatility

SRDAX vs. QDSIX - Volatility Comparison

Stone Ridge Diversified Alternatives Fund (SRDAX) has a higher volatility of 7.64% compared to AQR Diversifying Strategies Fund (QDSIX) at 1.74%. This indicates that SRDAX's price experiences larger fluctuations and is considered to be riskier than QDSIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


0.00%2.00%4.00%6.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
7.64%
1.74%
SRDAX
QDSIX
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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