GAFYX vs. NEFJX

Last updated Jun 24, 2026

GAFYX (AlphaSimplex Global Alternatives Fund) and NEFJX (Natixis Funds Trust I Vaughan Nelson Small Cap Value Fund) are both mutual funds - GAFYX is a Multistrategy fund managed by Natixis, while NEFJX is a Small Cap Blend Equities fund managed by Natixis. Over the past 10 years, GAFYX returned 5.00%/yr vs 10.51%/yr for NEFJX. A 0.67 correlation means they provide meaningful diversification when combined. GAFYX charges 1.24%/yr vs 1.25%/yr for NEFJX.

Performance

GAFYX vs. NEFJX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AlphaSimplex Global Alternatives Fund (GAFYX) and Natixis Funds Trust I Vaughan Nelson Small Cap Value Fund (NEFJX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, GAFYX achieves a 10.70% return, which is significantly higher than NEFJX's 9.78% return. Over the past 10 years, GAFYX has underperformed NEFJX with an annualized return of 5.00%, while NEFJX has yielded a comparatively higher 10.51% annualized return.

GAFYX

• 1D: 0.32%
• 1M: 1.19%
• YTD: 10.70%
• 6M: 9.84%
• 1Y: 16.90%
• 3Y*: 9.49%
• 5Y*: 6.14%
• 10Y*: 5.00%

NEFJX

• 1D: 0.00%
• 1M: 1.56%
• YTD: 9.78%
• 6M: 7.54%
• 1Y: 27.03%
• 3Y*: 13.59%
• 5Y*: 9.49%
• 10Y*: 10.51%

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

GAFYX vs. NEFJX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
GAFYX AlphaSimplex Global Alternatives Fund	10.70%	6.68%	9.66%	3.77%	-0.49%	1.29%	-2.12%	10.49%	-6.21%	11.12%
NEFJX Natixis Funds Trust I Vaughan Nelson Small Cap Value Fund	9.78%	12.15%	4.56%	24.82%	-10.19%	30.44%	8.93%	24.67%	-15.16%	6.32%

Correlation

The correlation between GAFYX and NEFJX is 0.59, 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	0.59
Correlation (3Y) Calculated over the trailing 3-year period	0.63
Correlation (5Y) Calculated over the trailing 5-year period	0.71
Correlation (10Y) Calculated over the trailing 10-year period	0.69
Correlation (All Time) Calculated using the full available price history since Oct 1, 2008	0.67

The correlation between GAFYX and NEFJX shifts across timeframes, from 0.59 (1 year) to 0.71 (5 years), reflecting how their relationship changes across market environments.

Return for Risk

GAFYX vs. NEFJX — Risk / Return Rank

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

GAFYX

GAFYX Risk / Return Rank: 71
GAFYX Sharpe Ratio Rank: 64
GAFYX Sortino Ratio Rank: 64
GAFYX Omega Ratio Rank: 70
GAFYX Calmar Ratio Rank: 78
GAFYX Martin Ratio Rank: 81

NEFJX

NEFJX Risk / Return Rank: 55
NEFJX Sharpe Ratio Rank: 49
NEFJX Sortino Ratio Rank: 53
NEFJX Omega Ratio Rank: 42
NEFJX Calmar Ratio Rank: 76
NEFJX Martin Ratio Rank: 57

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. NEFJX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for AlphaSimplex Global Alternatives Fund (GAFYX) and Natixis Funds Trust I Vaughan Nelson Small Cap Value Fund (NEFJX). 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.

	GAFYX	NEFJX	Difference
Sharpe ratio: Return per unit of total volatility	2.16	1.91	+0.25
Sortino ratio: Return per unit of downside risk	3.05	2.81	+0.23
Omega ratio: Gain probability vs. loss probability	1.43	1.32	+0.10
Calmar ratio: Return relative to maximum drawdown	3.36	3.26	+0.09
Martin ratio: Return relative to average drawdown	14.10	10.88	+3.22

GAFYX vs. NEFJX - Sharpe Ratio Comparison

The current GAFYX Sharpe Ratio is 2.16, which is comparable to the NEFJX Sharpe Ratio of 1.91. The chart below compares the historical Sharpe Ratios of GAFYX and NEFJX, 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

GAFYX vs. NEFJX - Drawdown Comparison

The maximum GAFYX drawdown since its inception was -19.49%, smaller than the maximum NEFJX drawdown of -65.58%. Use the drawdown chart below to compare losses from any high point for GAFYX and NEFJX.

Drawdown Indicators

	GAFYX	NEFJX	Difference
Max Drawdown Largest peak-to-trough decline	-19.49%	-65.58%	+46.09%
Max Drawdown (1Y) Largest decline over 1 year	-5.19%	-10.17%	+4.98%
Max Drawdown (3Y) Largest decline over 3 years	-9.74%	-25.88%	+16.14%
Max Drawdown (5Y) Largest decline over 5 years	-9.74%	-25.88%	+16.14%
Max Drawdown (10Y) Largest decline over 10 years	-13.26%	-40.97%	+27.71%
Current Drawdown Current decline from peak	-0.39%	-1.10%	+0.71%
Average Drawdown Average peak-to-trough decline	-4.62%	-15.19%	+10.57%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.23%	2.93%	-1.70%

Volatility

GAFYX vs. NEFJX - Volatility Comparison

The current volatility for AlphaSimplex Global Alternatives Fund (GAFYX) is 3.40%, while Natixis Funds Trust I Vaughan Nelson Small Cap Value Fund (NEFJX) has a volatility of 5.06%. This indicates that GAFYX experiences smaller price fluctuations and is considered to be less risky than NEFJX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	GAFYX	NEFJX	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.40%	5.06%	-1.66%
Volatility (6M) Calculated over the trailing 6-month period	7.03%	11.72%	-4.69%
Volatility (1Y) Calculated over the trailing 1-year period	8.06%	17.38%	-9.32%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	7.27%	20.71%	-13.44%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	6.82%	22.05%	-15.23%

GAFYX vs. NEFJX - Expense Ratio Comparison

GAFYX has a 1.24% expense ratio, which is lower than NEFJX's 1.25% expense ratio.

Dividends

GAFYX vs. NEFJX - Dividend Comparison

GAFYX has not paid dividends to shareholders, while NEFJX's dividend yield for the trailing twelve months is around 7.59%.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
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%
NEFJX Natixis Funds Trust I Vaughan Nelson Small Cap Value Fund	7.59%	5.82%	1.42%	0.29%	5.96%	21.29%	0.55%	0.70%	27.90%	12.20%	7.42%	16.34%

Frequently Asked Questions

Can I hold both GAFYX and NEFJX in my portfolio?

GAFYX and NEFJX have a correlation of 0.59, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, GAFYX or NEFJX?

NEFJX has higher volatility (5.06%) compared to GAFYX (3.40%). In terms of maximum drawdown, GAFYX dropped -19.49% vs NEFJX's -65.58%.

Which has better risk-adjusted returns?

GAFYX currently has the higher Sharpe Ratio (2.16 vs 1.91), 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.