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GAFYX vs. FSMSX
Performance
Return for Risk
Drawdowns
Volatility
Dividends

GAFYX vs. FSMSX

Last updated Jun 23, 2026

GAFYX (AlphaSimplex Global Alternatives Fund) and FSMSX (FS Multi-Strategy Alternatives Fund) are both Multistrategy funds. Over the past 5 years, GAFYX returned 6.29%/yr vs 5.34%/yr for FSMSX. At a 0.32 correlation, their price movements are largely independent. GAFYX charges 1.24%/yr vs 1.89%/yr for FSMSX.

Performance

GAFYX vs. FSMSX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AlphaSimplex Global Alternatives Fund (GAFYX) and FS Multi-Strategy Alternatives Fund (FSMSX). The values are adjusted to include any dividend payments, if applicable.

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Returns By Period

In the year-to-date period, GAFYX achieves a 10.35% return, which is significantly higher than FSMSX's 3.86% return.

GAFYX

1D
0.55%
1M
0.87%
YTD
10.35%
6M
9.97%
1Y
16.96%
3Y*
8.81%
5Y*
6.29%
10Y*
4.94%

FSMSX

1D
0.61%
1M
0.09%
YTD
3.86%
6M
4.05%
1Y
8.05%
3Y*
5.22%
5Y*
5.34%
10Y*
—
*Multi-year figures are annualized to reflect compound growth (CAGR)

GAFYX vs. FSMSX - Yearly Performance Comparison

2026 (YTD)202520242023202220212020201920182017
GAFYX
AlphaSimplex Global Alternatives Fund		10.35%6.68%9.66%3.77%-0.49%1.29%-2.12%10.49%-6.21%8.36%
FSMSX
FS Multi-Strategy Alternatives Fund		3.86%4.13%4.63%5.44%3.17%13.97%-3.66%7.77%-3.82%2.00%

Correlation

The correlation between GAFYX and FSMSX is 0.41, which is low. Their price movements are largely independent, making them effective diversification partners.

Correlation
Correlation (1Y)
Calculated over the trailing 1-year period

0.41

Correlation (3Y)
Calculated over the trailing 3-year period

0.35

Correlation (5Y)
Calculated over the trailing 5-year period

0.38

Correlation (All Time)
Calculated using the full available price history since May 22, 2017

0.32

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AlphaSimplex Global Alternatives Fund

FS Multi-Strategy Alternatives Fund

Often compared with GAFYX:
GAFYX vs. QDSIXGAFYX vs. HFNDGAFYX vs. QSPIXGAFYX vs. SRDAXGAFYX vs. QISGAFYX vs. NEFHXGAFYX vs. SHLD
Often compared with FSMSX:
FSMSX vs. FSMDXFSMSX vs. QDSIXFSMSX vs. SRDAXFSMSX vs. LCSIXFSMSX vs. CSQIXFSMSX vs. QISFSMSX vs. FMSDX

Return for Risk

GAFYX vs. FSMSX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.
GAFYX
GAFYX Risk / Return Rank: 6868
Overall Rank
GAFYX Sharpe Ratio Rank: 5959
Sharpe Ratio Rank
GAFYX Sortino Ratio Rank: 5959
Sortino Ratio Rank
GAFYX Omega Ratio Rank: 6666
Omega Ratio Rank
GAFYX Calmar Ratio Rank: 7575
Calmar Ratio Rank
GAFYX Martin Ratio Rank: 7878
Martin Ratio Rank
FSMSX
FSMSX Risk / Return Rank: 8888
Overall Rank
FSMSX Sharpe Ratio Rank: 8484
Sharpe Ratio Rank
FSMSX Sortino Ratio Rank: 8484
Sortino Ratio Rank
FSMSX Omega Ratio Rank: 8585
Omega Ratio Rank
FSMSX Calmar Ratio Rank: 9595
Calmar Ratio Rank
FSMSX Martin Ratio Rank: 9090
Martin Ratio Rank
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.

GAFYX vs. FSMSX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for AlphaSimplex Global Alternatives Fund (GAFYX) and FS Multi-Strategy Alternatives Fund (FSMSX). 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.

GAFYXFSMSXDifference
Sharpe ratioReturn per unit of total volatility
2.09
2.54

-0.45

Sortino ratioReturn per unit of downside risk
2.95
3.66

-0.70

Omega ratioGain probability vs. loss probability

1.41

1.54

-0.13

Calmar ratioReturn relative to maximum drawdown

3.24

5.46

-2.21

Martin ratioReturn relative to average drawdown

13.63

16.48

-2.85

GAFYX vs. FSMSX - Sharpe Ratio Comparison

The current GAFYX Sharpe Ratio is 2.09, which is comparable to the FSMSX Sharpe Ratio of 2.54. The chart below compares the historical Sharpe Ratios of GAFYX and FSMSX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

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Drawdowns

GAFYX vs. FSMSX - Drawdown Comparison

The maximum GAFYX drawdown since its inception was -19.49%, which is greater than FSMSX's maximum drawdown of -8.94%. Use the drawdown chart below to compare losses from any high point for GAFYX and FSMSX.

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Drawdown Indicators

GAFYXFSMSXDifference

Max Drawdown

Largest peak-to-trough decline

-19.49%

-8.94%

-10.55%

Max Drawdown (1Y)

Largest decline over 1 year

-5.19%

-1.46%

-3.73%

Max Drawdown (3Y)

Largest decline over 3 years

-9.74%

-4.06%

-5.68%

Max Drawdown (5Y)

Largest decline over 5 years

-9.74%

-4.13%

-5.61%

Max Drawdown (10Y)

Largest decline over 10 years

-13.26%

—

—

Current Drawdown

Current decline from peak

-0.70%

-0.34%

-0.36%

Average Drawdown

Average peak-to-trough decline

-4.62%

-1.63%

-2.99%

Ulcer Index

Depth and duration of drawdowns from previous peaks

1.23%

0.48%

+0.75%

Volatility

GAFYX vs. FSMSX - Volatility Comparison

AlphaSimplex Global Alternatives Fund (GAFYX) has a higher volatility of 3.44% compared to FS Multi-Strategy Alternatives Fund (FSMSX) at 1.49%. This indicates that GAFYX's price experiences larger fluctuations and is considered to be riskier than FSMSX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

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Volatility by Period

GAFYXFSMSXDifference

Volatility (1M)

Calculated over the trailing 1-month period

3.44%

1.49%

+1.95%

Volatility (6M)

Calculated over the trailing 6-month period

7.04%

2.56%

+4.48%

Volatility (1Y)

Calculated over the trailing 1-year period

8.05%

3.15%

+4.90%

Volatility (5Y)

Calculated over the trailing 5-year period, annualized

7.28%

4.65%

+2.63%

Volatility (10Y)

Calculated over the trailing 10-year period, annualized

6.82%

4.66%

+2.16%

GAFYX vs. FSMSX - Expense Ratio Comparison

GAFYX has a 1.24% expense ratio, which is lower than FSMSX's 1.89% expense ratio.

Dividends

GAFYX vs. FSMSX - Dividend Comparison

GAFYX has not paid dividends to shareholders, while FSMSX's dividend yield for the trailing twelve months is around 3.97%.

PositionTTM20252024202320222021202020192018201720162015
FSMSX
FS Multi-Strategy Alternatives Fund		3.97%4.12%2.48%3.61%4.12%3.22%0.77%2.20%0.82%0.00%0.00%0.00%
GAFYX
AlphaSimplex Global Alternatives Fund		0.00%0.00%0.00%5.24%9.57%0.00%2.57%1.16%1.37%0.74%0.00%3.53%

Frequently Asked Questions

GAFYX and FSMSX have a correlation of 0.41, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

GAFYX has higher volatility (3.44%) compared to FSMSX (1.49%). In terms of maximum drawdown, GAFYX dropped -19.49% vs FSMSX's -8.94%.

FSMSX currently has the higher Sharpe Ratio (2.54 vs 2.09), 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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