ASFYX vs. VNQI

Last updated Jun 13, 2026

ASFYX (AlphaSimplex Managed Futures Strategy Fund Class Y) and VNQI (Vanguard Global ex-U.S. Real Estate ETF) are both funds - ASFYX is a Systematic Trend fund managed by BlackRock, while VNQI is a REIT fund tracking the S&P Global ex-U.S. Property Index. Over the past 10 years, ASFYX returned 2.51%/yr vs 2.74%/yr for VNQI. At a 0.15 correlation, their price movements are largely independent. ASFYX charges 1.47%/yr vs 0.12%/yr for VNQI.

Performance

ASFYX vs. VNQI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AlphaSimplex Managed Futures Strategy Fund Class Y (ASFYX) and Vanguard Global ex-U.S. Real Estate ETF (VNQI). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, ASFYX achieves a 11.11% return, which is significantly higher than VNQI's -0.33% return. Over the past 10 years, ASFYX has underperformed VNQI with an annualized return of 2.51%, while VNQI has yielded a comparatively higher 2.74% annualized return.

ASFYX

• 1D: 0.58%
• 1M: -4.76%
• YTD: 11.11%
• 6M: 13.11%
• 1Y: 20.94%
• 3Y*: -2.86%
• 5Y*: 2.18%
• 10Y*: 2.51%

VNQI

• 1D: 0.68%
• 1M: -3.12%
• YTD: -0.33%
• 6M: 0.85%
• 1Y: 5.87%
• 3Y*: 8.59%
• 5Y*: -1.50%
• 10Y*: 2.74%

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

ASFYX vs. VNQI - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y	11.11%	-9.67%	-3.22%	-10.33%	35.67%	3.52%	13.59%	8.99%	-12.59%	6.78%
VNQI Vanguard Global ex-U.S. Real Estate ETF	-0.33%	21.38%	-2.22%	6.99%	-22.94%	5.93%	-7.22%	21.59%	-9.44%	26.91%

Correlation

The correlation between ASFYX and VNQI is 0.30, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.30
Correlation (3Y) Calculated over the trailing 3-year period	0.18
Correlation (5Y) Calculated over the trailing 5-year period	0.04
Correlation (10Y) Calculated over the trailing 10-year period	0.12
Correlation (All Time) Calculated using the full available price history since Nov 1, 2010	0.15

The correlation between ASFYX and VNQI shifts across timeframes, from 0.04 (5 years) to 0.30 (1 year), reflecting how their relationship changes across market environments.

Return for Risk

ASFYX vs. VNQI — Risk / Return Rank

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

ASFYX

ASFYX Risk / Return Rank: 69
ASFYX Sharpe Ratio Rank: 59
ASFYX Sortino Ratio Rank: 53
ASFYX Omega Ratio Rank: 55
ASFYX Calmar Ratio Rank: 91
ASFYX Martin Ratio Rank: 87

VNQI

VNQI Risk / Return Rank: 16
VNQI Sharpe Ratio Rank: 17
VNQI Sortino Ratio Rank: 16
VNQI Omega Ratio Rank: 16
VNQI Calmar Ratio Rank: 15
VNQI Martin Ratio Rank: 15

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. VNQI - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for AlphaSimplex Managed Futures Strategy Fund Class Y (ASFYX) and Vanguard Global ex-U.S. Real Estate ETF (VNQI). 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	VNQI	Difference
Sharpe ratio: Return per unit of total volatility	1.79	0.43	+1.36
Sortino ratio: Return per unit of downside risk	2.39	0.70	+1.69
Omega ratio: Gain probability vs. loss probability	1.31	1.09	+0.23
Calmar ratio: Return relative to maximum drawdown	4.05	0.40	+3.65
Martin ratio: Return relative to average drawdown	13.53	1.13	+12.40

ASFYX vs. VNQI - Sharpe Ratio Comparison

The current ASFYX Sharpe Ratio is 1.79, which is higher than the VNQI Sharpe Ratio of 0.43. The chart below compares the historical Sharpe Ratios of ASFYX and VNQI, 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. VNQI - Drawdown Comparison

The maximum ASFYX drawdown since its inception was -36.43%, smaller than the maximum VNQI drawdown of -38.35%. Use the drawdown chart below to compare losses from any high point for ASFYX and VNQI.

Drawdown Indicators

	ASFYX	VNQI	Difference
Max Drawdown Largest peak-to-trough decline	-36.43%	-38.35%	+1.92%
Max Drawdown (1Y) Largest decline over 1 year	-5.32%	-14.78%	+9.46%
Max Drawdown (3Y) Largest decline over 3 years	-30.32%	-16.35%	-13.97%
Max Drawdown (5Y) Largest decline over 5 years	-36.43%	-35.55%	-0.88%
Max Drawdown (10Y) Largest decline over 10 years	-36.43%	-38.35%	+1.92%
Current Drawdown Current decline from peak	-21.16%	-9.99%	-11.17%
Average Drawdown Average peak-to-trough decline	-13.19%	-10.89%	-2.30%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.59%	5.19%	-3.60%

Volatility

ASFYX vs. VNQI - Volatility Comparison

The current volatility for AlphaSimplex Managed Futures Strategy Fund Class Y (ASFYX) is 3.85%, while Vanguard Global ex-U.S. Real Estate ETF (VNQI) has a volatility of 4.62%. This indicates that ASFYX experiences smaller price fluctuations and is considered to be less risky than VNQI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	ASFYX	VNQI	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.85%	4.62%	-0.77%
Volatility (6M) Calculated over the trailing 6-month period	9.91%	11.75%	-1.84%
Volatility (1Y) Calculated over the trailing 1-year period	12.06%	13.73%	-1.67%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	13.80%	15.54%	-1.74%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	12.73%	16.07%	-3.34%

ASFYX vs. VNQI - Expense Ratio Comparison

ASFYX has a 1.47% expense ratio, which is higher than VNQI's 0.12% expense ratio.

Dividends

ASFYX vs. VNQI - Dividend Comparison

ASFYX's dividend yield for the trailing twelve months is around 1.37%, less than VNQI's 4.72% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y	1.37%	1.52%	1.46%	0.99%	32.48%	6.07%	3.40%	5.51%	1.30%	0.07%	0.01%	5.06%
VNQI Vanguard Global ex-U.S. Real Estate ETF	4.72%	4.70%	5.16%	3.74%	0.57%	6.48%	0.93%	7.58%	4.62%	3.86%	5.18%	2.86%

Frequently Asked Questions

Can I hold both ASFYX and VNQI in my portfolio?

ASFYX and VNQI have a correlation of 0.30, 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 VNQI?

VNQI has higher volatility (4.62%) compared to ASFYX (3.85%). In terms of maximum drawdown, ASFYX dropped -36.43% vs VNQI's -38.35%.

Which has better risk-adjusted returns?

ASFYX currently has the higher Sharpe Ratio (1.79 vs 0.43), 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.