ASFYX vs. BGCKX
ASFYX (AlphaSimplex Managed Futures Strategy Fund Class Y) and BGCKX (BlackRock Global Equity Market Neutral Fund Institutional Shares) are both mutual funds - ASFYX is a Systematic Trend fund managed by BlackRock, while BGCKX is a Equity Market Neutral fund actively managed by BlackRock. Over the past 10 years, ASFYX returned 2.97%/yr vs 8.39%/yr for BGCKX. At a 0.12 correlation, their price movements are largely independent. ASFYX charges 1.47%/yr vs 1.29%/yr for BGCKX.
Performance
ASFYX vs. BGCKX - Performance Comparison
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Returns By Period
In the year-to-date period, ASFYX achieves a 15.25% return, which is significantly higher than BGCKX's 12.50% return. Over the past 10 years, ASFYX has underperformed BGCKX with an annualized return of 2.97%, while BGCKX has yielded a comparatively higher 8.39% annualized return.
ASFYX
- 1D
- 0.56%
- 1M
- 1.71%
- YTD
- 15.25%
- 6M
- 17.77%
- 1Y
- 26.49%
- 3Y*
- -1.44%
- 5Y*
- 3.02%
- 10Y*
- 2.97%
BGCKX
- 1D
- 0.43%
- 1M
- 5.31%
- YTD
- 12.50%
- 6M
- 15.65%
- 1Y
- 21.93%
- 3Y*
- 21.89%
- 5Y*
- 13.01%
- 10Y*
- 8.39%
ASFYX vs. BGCKX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y | 15.25% | -9.67% | -3.22% | -10.33% | 35.67% | 3.52% | 13.59% | 8.99% | -12.59% | 6.78% |
BGCKX BlackRock Global Equity Market Neutral Fund Institutional Shares | 12.50% | 18.38% | 21.55% | 14.60% | 1.80% | 3.42% | 0.33% | -0.82% | 2.22% | 12.83% |
Correlation
The correlation between ASFYX and BGCKX is 0.28, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.28 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.15 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.13 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.12 |
Correlation (All Time) Calculated using the full available price history since Mar 31, 2016 | 0.12 |
The correlation between ASFYX and BGCKX shifts across timeframes, from 0.12 (10 years) to 0.28 (1 year), reflecting how their relationship changes across market environments.
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Return for Risk
ASFYX vs. BGCKX — Risk / Return Rank
ASFYX
BGCKX
ASFYX vs. BGCKX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AlphaSimplex Managed Futures Strategy Fund Class Y (ASFYX) and BlackRock Global Equity Market Neutral Fund Institutional Shares (BGCKX). 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.
| ASFYX | BGCKX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.00 | ||
| Sortino ratioReturn per unit of downside risk | -1.84 | ||
| Omega ratioGain probability vs. loss probability | 1.39 | 1.60 | -0.21 |
| Calmar ratioReturn relative to maximum drawdown | 4.95 | 6.23 | -1.28 |
| Martin ratioReturn relative to average drawdown | 17.88 | 17.51 | +0.37 |
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
| ASFYX | BGCKX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 2.20 | 3.20 | -1.00 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.22 | 2.00 | -1.78 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.23 | 1.45 | -1.21 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.35 | 1.39 | -1.04 |
Drawdowns
ASFYX vs. BGCKX - Drawdown Comparison
The maximum ASFYX drawdown since its inception was -36.43%, which is greater than BGCKX's maximum drawdown of -9.47%. Use the drawdown chart below to compare losses from any high point for ASFYX and BGCKX.
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Drawdown Indicators
| ASFYX | BGCKX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -36.43% | -9.47% | -26.96% |
Max Drawdown (1Y)Largest decline over 1 year | -5.24% | -3.51% | -1.73% |
Max Drawdown (3Y)Largest decline over 3 years | -30.32% | -4.13% | -26.19% |
Max Drawdown (5Y)Largest decline over 5 years | -36.43% | -6.13% | -30.30% |
Max Drawdown (10Y)Largest decline over 10 years | -36.43% | -9.47% | -26.96% |
Current DrawdownCurrent decline from peak | -18.22% | 0.00% | -18.22% |
Average DrawdownAverage peak-to-trough decline | -13.18% | -2.15% | -11.03% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.45% | 1.25% | +0.20% |
Volatility
ASFYX vs. BGCKX - Volatility Comparison
AlphaSimplex Managed Futures Strategy Fund Class Y (ASFYX) has a higher volatility of 3.67% compared to BlackRock Global Equity Market Neutral Fund Institutional Shares (BGCKX) at 1.96%. This indicates that ASFYX's price experiences larger fluctuations and is considered to be riskier than BGCKX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ASFYX | BGCKX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.67% | 1.96% | +1.71% |
Volatility (6M)Calculated over the trailing 6-month period | 9.54% | 4.45% | +5.09% |
Volatility (1Y)Calculated over the trailing 1-year period | 11.77% | 6.85% | +4.92% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 13.77% | 6.52% | +7.25% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 12.71% | 5.81% | +6.90% |
ASFYX vs. BGCKX - Expense Ratio Comparison
ASFYX has a 1.47% expense ratio, which is higher than BGCKX's 1.29% expense ratio.
Dividends
ASFYX vs. BGCKX - Dividend Comparison
ASFYX's dividend yield for the trailing twelve months is around 1.32%, less than BGCKX's 7.96% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y | 1.32% | 1.52% | 1.46% | 0.99% | 32.48% | 6.07% | 3.40% | 5.51% | 1.30% | 0.07% | 0.01% | 5.06% |
BGCKX BlackRock Global Equity Market Neutral Fund Institutional Shares | 7.96% | 8.96% | 13.25% | 7.49% | 0.00% | 1.22% | 0.34% | 6.80% | 0.96% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
ASFYX and BGCKX have a correlation of 0.28, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
ASFYX has higher volatility (3.67%) compared to BGCKX (1.96%). In terms of maximum drawdown, ASFYX dropped -36.43% vs BGCKX's -9.47%.
BGCKX currently has the higher Sharpe Ratio (3.20 vs 2.20), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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