ASFYX vs. JDJIX
ASFYX (Virtus AlphaSimplex Managed Futures Strategy Fund Class I) and JDJIX (JHancock Diversified Macro Fund) are both mutual funds - ASFYX is a Systematic Trend fund actively managed by Virtus, while JDJIX is a Multistrategy fund managed by John Hancock. Over the past 5 years, ASFYX returned 2.43%/yr vs 3.13%/yr for JDJIX. Their 0.58 correlation means they have sometimes moved together and sometimes differently. ASFYX charges 1.45%/yr vs 1.39%/yr for JDJIX.
Performance
ASFYX vs. JDJIX - Performance Comparison
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Returns By Period
The year-to-date returns for both investments are quite close, with ASFYX having a 10.47% return and JDJIX slightly higher at 10.58%.
ASFYX
- 1D
- 0.83%
- 1M
- 1.91%
- 6M
- 6.34%
- YTD
- 10.47%
- 1Y
- 22.27%
- 3Y*
- -3.08%
- 5Y*
- 2.43%
- 10Y*
- 2.32%
- ALL TIME*
- 3.89%
JDJIX
- 1D
- 0.33%
- 1M
- 0.66%
- 6M
- 7.23%
- YTD
- 10.58%
- 1Y
- 9.08%
- 3Y*
- 0.75%
- 5Y*
- 3.13%
- 10Y*
- —
- ALL TIME*
- 2.31%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $0.00 | $0.00 | $0.00 |
ASFYX vs. JDJIX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | |
|---|---|---|---|---|---|---|---|---|
ASFYX Virtus AlphaSimplex Managed Futures Strategy Fund Class I | 10.47% | -9.67% | -3.22% | -10.33% | 35.67% | 3.52% | 13.59% | -0.09% |
JDJIX JHancock Diversified Macro Fund | 10.58% | -7.68% | 2.59% | 2.77% | 12.26% | -2.19% | -2.24% | 1.59% |
Correlation
The correlation between ASFYX and JDJIX is 0.63, which is moderate. They have sometimes moved together and sometimes differently, sharing some price drivers without tracking each other closely.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.63 |
Correlation (3Y) Balances recent behavior with more history. | 0.59 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 0.59 |
Correlation (All Time) Calculated using the full available price history since Jul 29, 2019 | 0.58 |
The correlation between ASFYX and JDJIX has been stable across timeframes, ranging from 0.58 to 0.63 - a consistent structural relationship.
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Return for Risk
ASFYX vs. JDJIX — Risk / Return Rank
ASFYX
JDJIX
ASFYX vs. JDJIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Virtus AlphaSimplex Managed Futures Strategy Fund Class I (ASFYX) and JHancock Diversified Macro Fund (JDJIX). 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.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| ASFYX | JDJIX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.72 | ||
| Sortino ratioReturn per unit of downside risk | +0.87 | ||
| Omega ratioGain probability vs. loss probability | 1.29 | 1.18 | +0.11 |
| Calmar ratioReturn relative to maximum drawdown | 2.90 | 1.37 | +1.52 |
| Martin ratioReturn relative to average drawdown | 8.29 | 3.93 | +4.36 |
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Drawdowns
ASFYX vs. JDJIX - Drawdown Comparison
The maximum ASFYX drawdown since its inception was -36.43%, which is greater than JDJIX's maximum drawdown of -19.58%. Use the drawdown chart below to compare losses from any high point for ASFYX and JDJIX.
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Drawdown Indicators
| ASFYX | JDJIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -36.43% | -19.58% | -16.85% |
Max Drawdown (1Y)Largest decline over 1 year | -7.42% | -5.07% | -2.35% |
Max Drawdown (3Y)Largest decline over 3 years | -30.32% | -19.58% | -10.74% |
Max Drawdown (5Y)Largest decline over 5 years | -36.43% | -19.58% | -16.85% |
Max Drawdown (10Y)Largest decline over 10 years | -36.43% | — | — |
Current DrawdownCurrent decline from peak | -21.62% | -9.93% | -11.69% |
Average DrawdownAverage peak-to-trough decline | -13.26% | -7.46% | -5.80% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.59% | 1.82% | +0.77% |
Volatility
ASFYX vs. JDJIX - Volatility Comparison
Virtus AlphaSimplex Managed Futures Strategy Fund Class I (ASFYX) has a higher volatility of 2.97% compared to JHancock Diversified Macro Fund (JDJIX) at 1.78%. This indicates that ASFYX's price experiences larger fluctuations and is considered to be riskier than JDJIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ASFYX | JDJIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.97% | 1.78% | +1.19% |
Volatility (6M)Calculated over the trailing 6-month period | 9.81% | 5.16% | +4.65% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.63% | 7.09% | +5.54% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 13.79% | 8.83% | +4.96% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 12.74% | 9.12% | +3.62% |
ASFYX vs. JDJIX - Expense Ratio Comparison
ASFYX has a 1.45% expense ratio, which is higher than JDJIX's 1.39% expense ratio.
Dividends
ASFYX vs. JDJIX - Dividend Comparison
ASFYX's dividend yield for the trailing twelve months is around 1.38%, more than JDJIX's 0.28% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ASFYX Virtus AlphaSimplex Managed Futures Strategy Fund Class I | 1.38% | 1.52% | 1.46% | 0.99% | 32.48% | 6.07% | 3.40% | 5.51% | 1.30% | 0.07% | 0.01% | 5.06% |
JDJIX JHancock Diversified Macro Fund | 0.28% | 0.31% | 0.43% | 3.99% | 11.26% | 3.46% | 2.11% | 3.79% | 0.00% | 0.00% | 0.00% | 0.00% |
Frequently Asked Questions
ASFYX and JDJIX have a correlation of 0.63, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
ASFYX has higher volatility (2.97%) compared to JDJIX (1.78%). In terms of maximum drawdown, ASFYX dropped -36.43% vs JDJIX's -19.58%.
ASFYX currently has the higher Sharpe Ratio (1.71 vs 0.99), 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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