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ASFYX vs. GLDM
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

ASFYX vs. GLDM - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AlphaSimplex Managed Futures Strategy Fund Class Y (ASFYX) and SPDR Gold MiniShares Trust (GLDM). The values are adjusted to include any dividend payments, if applicable.

-20.00%-10.00%0.00%10.00%20.00%JuneJulyAugustSeptemberOctoberNovember
-12.91%
14.52%
ASFYX
GLDM

Returns By Period

In the year-to-date period, ASFYX achieves a -3.07% return, which is significantly lower than GLDM's 29.38% return.


ASFYX

YTD

-3.07%

1M

0.57%

6M

-12.91%

1Y

-5.04%

5Y (annualized)

6.73%

10Y (annualized)

3.38%

GLDM

YTD

29.38%

1M

-2.83%

6M

14.52%

1Y

34.07%

5Y (annualized)

12.69%

10Y (annualized)

N/A

Key characteristics


ASFYXGLDM
Sharpe Ratio-0.412.27
Sortino Ratio-0.463.02
Omega Ratio0.941.39
Calmar Ratio-0.204.14
Martin Ratio-0.5713.36
Ulcer Index8.09%2.51%
Daily Std Dev11.36%14.73%
Max Drawdown-27.99%-21.63%
Current Drawdown-21.27%-4.16%

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ASFYX vs. GLDM - Expense Ratio Comparison

ASFYX has a 1.47% expense ratio, which is higher than GLDM's 0.18% expense ratio.


ASFYX
AlphaSimplex Managed Futures Strategy Fund Class Y
Expense ratio chart for ASFYX: current value at 1.47% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.47%
Expense ratio chart for GLDM: current value at 0.18% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.18%

Correlation

-0.50.00.51.00.0

The correlation between ASFYX and GLDM 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.

Risk-Adjusted Performance

ASFYX vs. GLDM - 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 MiniShares Trust (GLDM). 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.


Sharpe ratio
The chart of Sharpe ratio for ASFYX, currently valued at -0.41, compared to the broader market-1.000.001.002.003.004.005.00-0.412.27
The chart of Sortino ratio for ASFYX, currently valued at -0.46, compared to the broader market0.005.0010.00-0.463.02
The chart of Omega ratio for ASFYX, currently valued at 0.94, compared to the broader market1.002.003.004.000.941.39
The chart of Calmar ratio for ASFYX, currently valued at -0.20, compared to the broader market0.005.0010.0015.0020.00-0.204.14
The chart of Martin ratio for ASFYX, currently valued at -0.57, compared to the broader market0.0020.0040.0060.0080.00100.00-0.5713.36
ASFYX
GLDM

The current ASFYX Sharpe Ratio is -0.41, which is lower than the GLDM Sharpe Ratio of 2.27. The chart below compares the historical Sharpe Ratios of ASFYX and GLDM, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Rolling 12-month Sharpe Ratio-1.000.001.002.003.00JuneJulyAugustSeptemberOctoberNovember
-0.41
2.27
ASFYX
GLDM

Dividends

ASFYX vs. GLDM - Dividend Comparison

ASFYX's dividend yield for the trailing twelve months is around 1.02%, while GLDM has not paid dividends to shareholders.


TTM20232022202120202019201820172016201520142013
ASFYX
AlphaSimplex Managed Futures Strategy Fund Class Y
1.02%0.98%32.48%6.07%3.40%5.51%1.30%0.07%0.01%5.06%13.64%0.00%
GLDM
SPDR Gold MiniShares Trust
0.00%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. GLDM - Drawdown Comparison

The maximum ASFYX drawdown since its inception was -27.99%, which is greater than GLDM's maximum drawdown of -21.63%. Use the drawdown chart below to compare losses from any high point for ASFYX and GLDM. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-21.27%
-4.16%
ASFYX
GLDM

Volatility

ASFYX vs. GLDM - Volatility Comparison

The current volatility for AlphaSimplex Managed Futures Strategy Fund Class Y (ASFYX) is 2.88%, while SPDR Gold MiniShares Trust (GLDM) has a volatility of 5.60%. This indicates that ASFYX experiences smaller price fluctuations and is considered to be less risky than GLDM based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
2.88%
5.60%
ASFYX
GLDM