ASFYX vs. GLD
Compare and contrast key facts about AlphaSimplex Managed Futures Strategy Fund Class Y (ASFYX) and SPDR Gold Trust (GLD).
ASFYX is managed by Blackrock. It was launched on Jul 30, 2010. GLD is a passively managed fund by State Street that tracks the performance of the Gold Bullion. It was launched on Nov 18, 2004.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ASFYX or GLD.
Key characteristics
| ASFYX | GLD | |
|---|---|---|
| YTD Return | 6.91% | 11.40% |
| 1Y Return | 4.19% | 11.83% |
| 3Y Return (Ann) | 7.87% | 8.54% |
| 5Y Return (Ann) | 9.47% | 12.05% |
| 10Y Return (Ann) | 5.97% | 5.40% |
| Sharpe Ratio | 0.37 | 1.02 |
| Daily Std Dev | 9.93% | 12.31% |
| Max Drawdown | -28.00% | -45.56% |
| Current Drawdown | -13.23% | -3.73% |
Correlation
The correlation between ASFYX and GLD is 0.05, 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.
Performance
ASFYX vs. GLD - Performance Comparison
In the year-to-date period, ASFYX achieves a 6.91% return, which is significantly lower than GLD's 11.40% return. Over the past 10 years, ASFYX has outperformed GLD with an annualized return of 5.97%, while GLD has yielded a comparatively lower 5.40% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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ASFYX vs. GLD - Expense Ratio Comparison
ASFYX has a 1.47% expense ratio, which is higher than GLD's 0.40% expense ratio.
Risk-Adjusted Performance
ASFYX vs. GLD - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for AlphaSimplex Managed Futures Strategy Fund Class Y (ASFYX) and SPDR Gold Trust (GLD). 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.
Dividends
ASFYX vs. GLD - Dividend Comparison
ASFYX's dividend yield for the trailing twelve months is around 0.92%, while GLD has not paid dividends to shareholders.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y | 0.92% | 0.98% | 32.48% | 6.07% | 3.40% | 5.51% | 1.30% | 0.07% | 0.01% | 5.06% | 13.52% |
GLD SPDR Gold Trust | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
ASFYX vs. GLD - Drawdown Comparison
The maximum ASFYX drawdown since its inception was -28.00%, smaller than the maximum GLD drawdown of -45.56%. Use the drawdown chart below to compare losses from any high point for ASFYX and GLD. For additional features, visit the drawdowns tool.
Volatility
ASFYX vs. GLD - Volatility Comparison
The current volatility for AlphaSimplex Managed Futures Strategy Fund Class Y (ASFYX) is 3.83%, while SPDR Gold Trust (GLD) has a volatility of 5.22%. This indicates that ASFYX experiences smaller price fluctuations and is considered to be less risky than GLD based on this measure. The chart below showcases a comparison of their rolling one-month volatility.