ASFYX vs. QMHIX
Compare and contrast key facts about AlphaSimplex Managed Futures Strategy Fund Class Y (ASFYX) and AQR Managed Futures Strategy HV Fund (QMHIX).
ASFYX is managed by BlackRock. It was launched on Jul 30, 2010. QMHIX is managed by AQR Funds. It was launched on Jul 15, 2013.
Performance
ASFYX vs. QMHIX - Performance Comparison
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ASFYX vs. QMHIX - 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% |
QMHIX AQR Managed Futures Strategy HV Fund | 14.62% | 19.97% | 10.78% | -0.17% | 50.14% | -2.08% | -0.73% | 1.82% | -14.44% | -1.72% |
Returns By Period
In the year-to-date period, ASFYX achieves a 6.59% return, which is significantly lower than QMHIX's 14.62% return. Over the past 10 years, ASFYX has underperformed QMHIX with an annualized return of 1.87%, while QMHIX has yielded a comparatively higher 5.02% 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%
QMHIX
- 1D
- -0.62%
- 1M
- 2.92%
- YTD
- 14.62%
- 6M
- 19.29%
- 1Y
- 27.61%
- 3Y*
- 18.04%
- 5Y*
- 16.43%
- 10Y*
- 5.02%
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ASFYX vs. QMHIX - Expense Ratio Comparison
ASFYX has a 1.47% expense ratio, which is lower than QMHIX's 1.65% expense ratio.
Return for Risk
ASFYX vs. QMHIX — Risk / Return Rank
ASFYX
QMHIX
ASFYX vs. QMHIX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AlphaSimplex Managed Futures Strategy Fund Class Y (ASFYX) and AQR Managed Futures Strategy HV Fund (QMHIX). 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 | QMHIX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.18 | 2.01 | -1.84 |
Sortino ratioReturn per unit of downside risk | 0.30 | 2.45 | -2.15 |
Omega ratioGain probability vs. loss probability | 1.04 | 1.36 | -0.32 |
Calmar ratioReturn relative to maximum drawdown | 0.10 | 3.29 | -3.19 |
Martin ratioReturn relative to average drawdown | 0.16 | 8.79 | -8.63 |
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 | QMHIX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.18 | 2.01 | -1.84 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.17 | 0.96 | -0.79 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.15 | 0.33 | -0.18 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.31 | 0.37 | -0.06 |
Correlation
The correlation between ASFYX and QMHIX is 0.73, 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. QMHIX - Dividend Comparison
ASFYX's dividend yield for the trailing twelve months is around 1.43%, less than QMHIX's 1.79% yield.
| 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% |
QMHIX AQR Managed Futures Strategy HV Fund | 1.79% | 2.05% | 2.31% | 7.66% | 9.34% | 10.96% | 9.52% | 4.18% | 0.00% | 0.00% | 0.01% | 7.57% |
Drawdowns
ASFYX vs. QMHIX - Drawdown Comparison
The maximum ASFYX drawdown since its inception was -36.43%, smaller than the maximum QMHIX drawdown of -39.37%. Use the drawdown chart below to compare losses from any high point for ASFYX and QMHIX.
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Drawdown Indicators
| ASFYX | QMHIX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -36.43% | -39.37% | +2.94% |
Max Drawdown (1Y)Largest decline over 1 year | -13.51% | -8.34% | -5.17% |
Max Drawdown (5Y)Largest decline over 5 years | -36.43% | -19.06% | -17.37% |
Max Drawdown (10Y)Largest decline over 10 years | -36.43% | -34.54% | -1.89% |
Current DrawdownCurrent decline from peak | -24.37% | -0.62% | -23.75% |
Average DrawdownAverage peak-to-trough decline | -13.09% | -18.05% | +4.96% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 8.72% | 3.13% | +5.59% |
Volatility
ASFYX vs. QMHIX - Volatility Comparison
AlphaSimplex Managed Futures Strategy Fund Class Y (ASFYX) and AQR Managed Futures Strategy HV Fund (QMHIX) have volatilities of 3.86% and 3.98%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ASFYX | QMHIX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.86% | 3.98% | -0.12% |
Volatility (6M)Calculated over the trailing 6-month period | 10.01% | 9.98% | +0.03% |
Volatility (1Y)Calculated over the trailing 1-year period | 13.02% | 14.16% | -1.14% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 13.68% | 17.26% | -3.58% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 12.68% | 15.50% | -2.82% |