ASFYX vs. QMHIX

Last updated Jun 25, 2026

ASFYX (AlphaSimplex Managed Futures Strategy Fund Class Y) and QMHIX (AQR Managed Futures Strategy HV Fund) are both Systematic Trend funds. Over the past 10 years, ASFYX returned 2.39%/yr vs 4.82%/yr for QMHIX. A 0.73 correlation means they provide meaningful diversification when combined. ASFYX charges 1.47%/yr vs 1.65%/yr for QMHIX.

Performance

ASFYX vs. QMHIX - Performance Comparison

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

Returns By Period

In the year-to-date period, ASFYX achieves a 9.82% return, which is significantly lower than QMHIX's 13.50% return. Over the past 10 years, ASFYX has underperformed QMHIX with an annualized return of 2.39%, while QMHIX has yielded a comparatively higher 4.82% annualized return.

ASFYX

• 1D: -1.85%
• 1M: -4.28%
• YTD: 9.82%
• 6M: 9.15%
• 1Y: 21.04%
• 3Y*: -2.84%
• 5Y*: 2.40%
• 10Y*: 2.39%

QMHIX

• 1D: -1.58%
• 1M: -2.53%
• YTD: 13.50%
• 6M: 14.29%
• 1Y: 31.77%
• 3Y*: 14.67%
• 5Y*: 16.59%
• 10Y*: 4.82%

*Multi-year figures are annualized to reflect compound growth (CAGR)

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	9.82%	-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	13.50%	19.97%	10.78%	-0.17%	50.14%	-2.08%	-0.73%	1.82%	-14.44%	-1.72%

Correlation

The correlation between ASFYX and QMHIX is 0.60, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.60
Correlation (3Y) Calculated over the trailing 3-year period	0.67
Correlation (5Y) Calculated over the trailing 5-year period	0.68
Correlation (10Y) Calculated over the trailing 10-year period	0.73
Correlation (All Time) Calculated using the full available price history since Jan 2, 2014	0.73

The correlation between ASFYX and QMHIX shifts across timeframes, from 0.60 (1 year) to 0.73 (all time), reflecting how their relationship changes across market environments.

Return for Risk

ASFYX vs. QMHIX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

ASFYX

ASFYX Risk / Return Rank: 54
ASFYX Sharpe Ratio Rank: 43
ASFYX Sortino Ratio Rank: 37
ASFYX Omega Ratio Rank: 40
ASFYX Calmar Ratio Rank: 83
ASFYX Martin Ratio Rank: 67

QMHIX

QMHIX Risk / Return Rank: 82
QMHIX Sharpe Ratio Rank: 82
QMHIX Sortino Ratio Rank: 71
QMHIX Omega Ratio Rank: 67
QMHIX Calmar Ratio Rank: 97
QMHIX Martin Ratio Rank: 94

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

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.

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	QMHIX	Difference
Sharpe ratio: Return per unit of total volatility	1.76	2.46	-0.70
Sortino ratio: Return per unit of downside risk	2.34	3.19	-0.85
Omega ratio: Gain probability vs. loss probability	1.31	1.41	-0.10
Calmar ratio: Return relative to maximum drawdown	3.66	6.67	-3.01
Martin ratio: Return relative to average drawdown	12.09	19.03	-6.93

ASFYX vs. QMHIX - Sharpe Ratio Comparison

The current ASFYX Sharpe Ratio is 1.76, which is comparable to the QMHIX Sharpe Ratio of 2.46. The chart below compares the historical Sharpe Ratios of ASFYX and QMHIX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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.

Drawdown Indicators

	ASFYX	QMHIX	Difference
Max Drawdown Largest peak-to-trough decline	-36.43%	-39.37%	+2.94%
Max Drawdown (1Y) Largest decline over 1 year	-5.87%	-4.83%	-1.04%
Max Drawdown (3Y) Largest decline over 3 years	-30.32%	-19.06%	-11.26%
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 Drawdown Current decline from peak	-22.07%	-4.69%	-17.38%
Average Drawdown Average peak-to-trough decline	-13.20%	-17.75%	+4.55%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.77%	1.69%	+0.08%

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 4.09% and 4.25%, 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.

Volatility by Period

	ASFYX	QMHIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.09%	4.25%	-0.16%
Volatility (6M) Calculated over the trailing 6-month period	10.06%	10.07%	-0.01%
Volatility (1Y) Calculated over the trailing 1-year period	12.19%	13.11%	-0.92%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	13.79%	17.32%	-3.53%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	12.72%	15.29%	-2.57%

ASFYX vs. QMHIX - Expense Ratio Comparison

ASFYX has a 1.47% expense ratio, which is lower than QMHIX's 1.65% expense ratio.

Dividends

ASFYX vs. QMHIX - Dividend Comparison

ASFYX's dividend yield for the trailing twelve months is around 1.38%, less than QMHIX's 1.80% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y	1.38%	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	1.80%	2.05%	2.31%	7.66%	9.34%	10.96%	9.52%	4.18%	0.00%	0.00%	0.01%	7.57%

Frequently Asked Questions

Can I hold both ASFYX and QMHIX in my portfolio?

ASFYX and QMHIX have a correlation of 0.60, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ASFYX or QMHIX?

QMHIX has higher volatility (4.25%) compared to ASFYX (4.09%). In terms of maximum drawdown, ASFYX dropped -36.43% vs QMHIX's -39.37%.

Which has better risk-adjusted returns?

QMHIX currently has the higher Sharpe Ratio (2.46 vs 1.76), 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.