GAFYX vs. QDSIX
Compare and contrast key facts about AlphaSimplex Global Alternatives Fund (GAFYX) and AQR Diversifying Strategies Fund (QDSIX).
GAFYX is managed by Natixis Funds. It was launched on Sep 29, 2008. QDSIX is managed by AQR Funds. It was launched on Jun 7, 2020.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: GAFYX or QDSIX.
Key characteristics
| GAFYX | QDSIX | |
|---|---|---|
| YTD Return | 10.58% | 11.23% |
| 1Y Return | 11.63% | 0.48% |
| 3Y Return (Ann) | 3.87% | 8.03% |
| Sharpe Ratio | 1.77 | 0.03 |
| Sortino Ratio | 2.35 | 0.10 |
| Omega Ratio | 1.34 | 1.03 |
| Calmar Ratio | 1.92 | 0.04 |
| Martin Ratio | 8.66 | 0.09 |
| Ulcer Index | 1.36% | 4.31% |
| Daily Std Dev | 6.64% | 11.67% |
| Max Drawdown | -21.09% | -11.30% |
| Current Drawdown | -0.18% | -2.19% |
Correlation
The correlation between GAFYX and QDSIX is 0.29, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Performance
GAFYX vs. QDSIX - Performance Comparison
In the year-to-date period, GAFYX achieves a 10.58% return, which is significantly lower than QDSIX's 11.23% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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GAFYX vs. QDSIX - Expense Ratio Comparison
GAFYX has a 1.24% expense ratio, which is higher than QDSIX's 0.20% expense ratio.
Risk-Adjusted Performance
GAFYX vs. QDSIX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for AlphaSimplex Global Alternatives Fund (GAFYX) and AQR Diversifying Strategies Fund (QDSIX). 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.
Dividends
GAFYX vs. QDSIX - Dividend Comparison
GAFYX's dividend yield for the trailing twelve months is around 4.57%, less than QDSIX's 10.05% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
GAFYX AlphaSimplex Global Alternatives Fund | 4.57% | 5.24% | 9.57% | 0.00% | 2.57% | 1.15% | 1.37% | 0.75% | 0.00% | 0.00% | 0.00% | 0.59% |
QDSIX AQR Diversifying Strategies Fund | 10.05% | 11.18% | 8.06% | 4.70% | 1.93% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
GAFYX vs. QDSIX - Drawdown Comparison
The maximum GAFYX drawdown since its inception was -21.09%, which is greater than QDSIX's maximum drawdown of -11.30%. Use the drawdown chart below to compare losses from any high point for GAFYX and QDSIX. For additional features, visit the drawdowns tool.
Volatility
GAFYX vs. QDSIX - Volatility Comparison
AlphaSimplex Global Alternatives Fund (GAFYX) has a higher volatility of 1.95% compared to AQR Diversifying Strategies Fund (QDSIX) at 1.54%. This indicates that GAFYX's price experiences larger fluctuations and is considered to be riskier than QDSIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.