Correlation
The correlation between AMFAX and AQMIX is 0.04, 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.
AMFAX vs. AQMIX
Compare and contrast key facts about AlphaSimplex Managed Futures Strategy Fund Class A (AMFAX) and AQR Managed Futures Strategy Fund (AQMIX).
AMFAX is managed by Blackrock. It was launched on Jul 30, 2010. AQMIX is managed by AQR Funds. It was launched on Jan 5, 2010.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: AMFAX or AQMIX.
Performance
AMFAX vs. AQMIX - Performance Comparison
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Key characteristics
AMFAX:
-2.04
AQMIX:
0.04
AMFAX:
-2.74
AQMIX:
-0.01
AMFAX:
0.64
AQMIX:
1.00
AMFAX:
-0.78
AQMIX:
-0.05
AMFAX:
-1.86
AQMIX:
-0.12
AMFAX:
15.36%
AQMIX:
5.27%
AMFAX:
13.51%
AQMIX:
10.85%
AMFAX:
-36.84%
AQMIX:
-26.54%
AMFAX:
-35.39%
AQMIX:
-1.82%
Returns By Period
In the year-to-date period, AMFAX achieves a -17.21% return, which is significantly lower than AQMIX's 3.63% return. Over the past 10 years, AMFAX has underperformed AQMIX with an annualized return of 0.37%, while AQMIX has yielded a comparatively higher 2.39% annualized return.
AMFAX
-17.21%
-0.42%
-17.41%
-27.39%
-9.81%
2.27%
0.37%
AQMIX
3.63%
1.72%
6.23%
0.43%
6.17%
8.94%
2.39%
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AMFAX vs. AQMIX - Expense Ratio Comparison
AMFAX has a 1.72% expense ratio, which is higher than AQMIX's 1.25% expense ratio.
Risk-Adjusted Performance
AMFAX vs. AQMIX — Risk-Adjusted Performance Rank
AMFAX
AQMIX
AMFAX vs. AQMIX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for AlphaSimplex Managed Futures Strategy Fund Class A (AMFAX) and AQR Managed Futures Strategy Fund (AQMIX). 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.
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Dividends
AMFAX vs. AQMIX - Dividend Comparison
AMFAX's dividend yield for the trailing twelve months is around 1.54%, less than AQMIX's 3.69% yield.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
AMFAX AlphaSimplex Managed Futures Strategy Fund Class A | 1.54% | 1.28% | 0.30% | 32.70% | 5.74% | 3.14% | 6.12% | 1.32% | 0.00% | 0.00% | 4.92% | 13.43% |
AQMIX AQR Managed Futures Strategy Fund | 3.69% | 3.83% | 8.41% | 12.76% | 6.94% | 5.31% | 3.13% | 0.00% | 0.00% | 0.02% | 6.51% | 9.10% |
Drawdowns
AMFAX vs. AQMIX - Drawdown Comparison
The maximum AMFAX drawdown since its inception was -36.84%, which is greater than AQMIX's maximum drawdown of -26.54%. Use the drawdown chart below to compare losses from any high point for AMFAX and AQMIX.
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Volatility
AMFAX vs. AQMIX - Volatility Comparison
The current volatility for AlphaSimplex Managed Futures Strategy Fund Class A (AMFAX) is 2.71%, while AQR Managed Futures Strategy Fund (AQMIX) has a volatility of 3.33%. This indicates that AMFAX experiences smaller price fluctuations and is considered to be less risky than AQMIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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