ASFYX vs. GFIRX
Compare and contrast key facts about AlphaSimplex Managed Futures Strategy Fund Class Y (ASFYX) and Goldman Sachs Managed Futures Strategy Fund (GFIRX).
ASFYX is managed by BlackRock. It was launched on Jul 30, 2010. GFIRX is managed by Goldman Sachs. It was launched on Feb 28, 2012.
Performance
ASFYX vs. GFIRX - Performance Comparison
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ASFYX vs. GFIRX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y | 6.59% | -9.67% | -3.22% | -10.33% | 35.67% | 3.52% | 13.59% | 8.99% | -12.59% | 6.78% |
GFIRX Goldman Sachs Managed Futures Strategy Fund | 0.43% | 0.54% | -5.17% | -3.87% | 20.44% | 4.86% | 6.94% | 2.61% | -2.24% | 2.56% |
Returns By Period
In the year-to-date period, ASFYX achieves a 6.59% return, which is significantly higher than GFIRX's 0.43% return. Over the past 10 years, ASFYX has underperformed GFIRX with an annualized return of 1.87%, while GFIRX has yielded a comparatively higher 2.35% annualized return.
ASFYX
- 1D
- 0.00%
- 1M
- -1.55%
- YTD
- 6.59%
- 6M
- 10.95%
- 1Y
- 3.41%
- 3Y*
- -2.89%
- 5Y*
- 2.30%
- 10Y*
- 1.87%
GFIRX
- 1D
- -0.54%
- 1M
- -3.94%
- YTD
- 0.43%
- 6M
- 4.04%
- 1Y
- 7.92%
- 3Y*
- -0.21%
- 5Y*
- 2.49%
- 10Y*
- 2.35%
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ASFYX vs. GFIRX - Expense Ratio Comparison
ASFYX has a 1.47% expense ratio, which is higher than GFIRX's 1.33% expense ratio.
Return for Risk
ASFYX vs. GFIRX — Risk / Return Rank
ASFYX
GFIRX
ASFYX vs. GFIRX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AlphaSimplex Managed Futures Strategy Fund Class Y (ASFYX) and Goldman Sachs Managed Futures Strategy Fund (GFIRX). 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 | GFIRX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.18 | 0.89 | -0.72 |
Sortino ratioReturn per unit of downside risk | 0.30 | 1.26 | -0.96 |
Omega ratioGain probability vs. loss probability | 1.04 | 1.17 | -0.12 |
Calmar ratioReturn relative to maximum drawdown | 0.10 | 1.38 | -1.28 |
Martin ratioReturn relative to average drawdown | 0.16 | 4.28 | -4.12 |
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 | GFIRX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.18 | 0.89 | -0.72 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.17 | 0.24 | -0.07 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.15 | 0.26 | -0.11 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.31 | 0.23 | +0.08 |
Correlation
The correlation between ASFYX and GFIRX is 0.75, 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
ASFYX vs. GFIRX - Dividend Comparison
ASFYX's dividend yield for the trailing twelve months is around 1.43%, while GFIRX has not paid dividends to shareholders.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y | 1.43% | 1.52% | 1.46% | 0.99% | 32.48% | 6.07% | 3.40% | 5.51% | 1.30% | 0.07% | 0.01% | 5.06% |
GFIRX Goldman Sachs Managed Futures Strategy Fund | 0.00% | 0.00% | 0.00% | 0.00% | 20.11% | 7.35% | 1.21% | 7.06% | 0.16% | 0.49% | 0.00% | 3.98% |
Drawdowns
ASFYX vs. GFIRX - Drawdown Comparison
The maximum ASFYX drawdown since its inception was -36.43%, which is greater than GFIRX's maximum drawdown of -23.09%. Use the drawdown chart below to compare losses from any high point for ASFYX and GFIRX.
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Drawdown Indicators
| ASFYX | GFIRX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -36.43% | -23.09% | -13.34% |
Max Drawdown (1Y)Largest decline over 1 year | -13.51% | -5.37% | -8.14% |
Max Drawdown (5Y)Largest decline over 5 years | -36.43% | -23.09% | -13.34% |
Max Drawdown (10Y)Largest decline over 10 years | -36.43% | -23.09% | -13.34% |
Current DrawdownCurrent decline from peak | -24.37% | -12.09% | -12.28% |
Average DrawdownAverage peak-to-trough decline | -13.09% | -7.00% | -6.09% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 8.72% | 1.88% | +6.84% |
Volatility
ASFYX vs. GFIRX - Volatility Comparison
AlphaSimplex Managed Futures Strategy Fund Class Y (ASFYX) has a higher volatility of 3.86% compared to Goldman Sachs Managed Futures Strategy Fund (GFIRX) at 3.28%. This indicates that ASFYX's price experiences larger fluctuations and is considered to be riskier than GFIRX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ASFYX | GFIRX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.86% | 3.28% | +0.58% |
Volatility (6M)Calculated over the trailing 6-month period | 10.01% | 6.24% | +3.77% |
Volatility (1Y)Calculated over the trailing 1-year period | 13.02% | 8.81% | +4.21% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 13.68% | 10.37% | +3.31% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 12.68% | 9.04% | +3.64% |