AQMIX vs. ASFYX
Compare and contrast key facts about AQR Managed Futures Strategy Fund (AQMIX) and AlphaSimplex Managed Futures Strategy Fund Class Y (ASFYX).
AQMIX is managed by AQR Funds. It was launched on Jan 5, 2010. ASFYX is managed by BlackRock. It was launched on Jul 30, 2010.
Performance
AQMIX vs. ASFYX - Performance Comparison
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AQMIX vs. ASFYX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
AQMIX AQR Managed Futures Strategy Fund | 9.72% | 14.62% | 8.13% | 2.08% | 35.47% | -1.04% | -0.43% | 1.92% | -8.88% | -0.97% |
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y | 6.72% | -9.67% | -3.22% | -10.33% | 35.67% | 3.52% | 13.59% | 8.99% | -12.59% | 6.78% |
Returns By Period
In the year-to-date period, AQMIX achieves a 9.72% return, which is significantly higher than ASFYX's 6.72% return. Over the past 10 years, AQMIX has outperformed ASFYX with an annualized return of 4.43%, while ASFYX has yielded a comparatively lower 1.88% annualized return.
AQMIX
- 1D
- -0.47%
- 1M
- 0.96%
- YTD
- 9.72%
- 6M
- 12.93%
- 1Y
- 20.27%
- 3Y*
- 13.32%
- 5Y*
- 12.58%
- 10Y*
- 4.43%
ASFYX
- 1D
- 0.12%
- 1M
- -0.84%
- YTD
- 6.72%
- 6M
- 10.49%
- 1Y
- 3.28%
- 3Y*
- -2.85%
- 5Y*
- 2.28%
- 10Y*
- 1.88%
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AQMIX vs. ASFYX - Expense Ratio Comparison
AQMIX has a 1.25% expense ratio, which is lower than ASFYX's 1.47% expense ratio.
Return for Risk
AQMIX vs. ASFYX — Risk / Return Rank
AQMIX
ASFYX
AQMIX vs. ASFYX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Managed Futures Strategy Fund (AQMIX) and AlphaSimplex Managed Futures Strategy Fund Class Y (ASFYX). 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.
| AQMIX | ASFYX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 2.16 | 0.27 | +1.88 |
Sortino ratioReturn per unit of downside risk | 2.71 | 0.42 | +2.29 |
Omega ratioGain probability vs. loss probability | 1.40 | 1.06 | +0.34 |
Calmar ratioReturn relative to maximum drawdown | 3.92 | 0.18 | +3.74 |
Martin ratioReturn relative to average drawdown | 11.52 | 0.29 | +11.23 |
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
| AQMIX | ASFYX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.16 | 0.27 | +1.88 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 1.10 | 0.17 | +0.93 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.43 | 0.15 | +0.28 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.41 | 0.31 | +0.10 |
Correlation
The correlation between AQMIX and ASFYX is 0.73, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Dividends
AQMIX vs. ASFYX - Dividend Comparison
AQMIX's dividend yield for the trailing twelve months is around 2.06%, more than ASFYX's 1.42% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
AQMIX AQR Managed Futures Strategy Fund | 2.06% | 2.26% | 3.83% | 8.39% | 12.76% | 6.94% | 5.31% | 3.13% | 0.00% | 0.00% | 0.02% | 6.51% |
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y | 1.42% | 1.52% | 1.46% | 0.99% | 32.48% | 6.07% | 3.40% | 5.51% | 1.30% | 0.07% | 0.01% | 5.06% |
Drawdowns
AQMIX vs. ASFYX - Drawdown Comparison
The maximum AQMIX drawdown since its inception was -26.52%, smaller than the maximum ASFYX drawdown of -36.43%. Use the drawdown chart below to compare losses from any high point for AQMIX and ASFYX.
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Drawdown Indicators
| AQMIX | ASFYX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -26.52% | -36.43% | +9.91% |
Max Drawdown (1Y)Largest decline over 1 year | -5.45% | -13.51% | +8.06% |
Max Drawdown (5Y)Largest decline over 5 years | -13.57% | -36.43% | +22.86% |
Max Drawdown (10Y)Largest decline over 10 years | -23.34% | -36.43% | +13.09% |
Current DrawdownCurrent decline from peak | -0.94% | -24.28% | +23.34% |
Average DrawdownAverage peak-to-trough decline | -10.10% | -13.10% | +3.00% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.85% | 8.26% | -6.41% |
Volatility
AQMIX vs. ASFYX - Volatility Comparison
The current volatility for AQR Managed Futures Strategy Fund (AQMIX) is 2.58%, while AlphaSimplex Managed Futures Strategy Fund Class Y (ASFYX) has a volatility of 3.82%. This indicates that AQMIX experiences smaller price fluctuations and is considered to be less risky than ASFYX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| AQMIX | ASFYX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.58% | 3.82% | -1.24% |
Volatility (6M)Calculated over the trailing 6-month period | 6.71% | 10.00% | -3.29% |
Volatility (1Y)Calculated over the trailing 1-year period | 9.62% | 13.00% | -3.38% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 11.55% | 13.67% | -2.12% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 10.36% | 12.68% | -2.32% |