PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
GAFYX vs. QSPIX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between GAFYX and QSPIX is 0.08, 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.


-0.50.00.51.00.1

Performance

GAFYX vs. QSPIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AlphaSimplex Global Alternatives Fund (GAFYX) and AQR Style Premia Alternative Fund (QSPIX). The values are adjusted to include any dividend payments, if applicable.

0.00%20.00%40.00%60.00%80.00%100.00%JulyAugustSeptemberOctoberNovemberDecember
12.48%
77.64%
GAFYX
QSPIX

Key characteristics

Sharpe Ratio

GAFYX:

1.45

QSPIX:

0.65

Sortino Ratio

GAFYX:

1.94

QSPIX:

0.88

Omega Ratio

GAFYX:

1.28

QSPIX:

1.14

Calmar Ratio

GAFYX:

1.60

QSPIX:

0.85

Martin Ratio

GAFYX:

7.20

QSPIX:

2.33

Ulcer Index

GAFYX:

1.36%

QSPIX:

3.96%

Daily Std Dev

GAFYX:

6.75%

QSPIX:

14.11%

Max Drawdown

GAFYX:

-21.09%

QSPIX:

-41.37%

Current Drawdown

GAFYX:

-2.09%

QSPIX:

-10.60%

Returns By Period

In the year-to-date period, GAFYX achieves a 9.36% return, which is significantly lower than QSPIX's 10.96% return. Over the past 10 years, GAFYX has underperformed QSPIX with an annualized return of 1.33%, while QSPIX has yielded a comparatively higher 4.61% annualized return.


GAFYX

YTD

9.36%

1M

-0.46%

6M

2.58%

1Y

9.58%

5Y*

2.26%

10Y*

1.33%

QSPIX

YTD

10.96%

1M

-6.87%

6M

-9.32%

1Y

10.64%

5Y*

9.32%

10Y*

4.61%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


GAFYX vs. QSPIX - Expense Ratio Comparison

GAFYX has a 1.24% expense ratio, which is lower than QSPIX's 1.49% expense ratio.


QSPIX
AQR Style Premia Alternative Fund
Expense ratio chart for QSPIX: current value at 1.49% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.49%
Expense ratio chart for GAFYX: current value at 1.24% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.24%

Risk-Adjusted Performance

GAFYX vs. QSPIX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for AlphaSimplex Global Alternatives Fund (GAFYX) and AQR Style Premia Alternative Fund (QSPIX). 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.


Sharpe ratio
The chart of Sharpe ratio for GAFYX, currently valued at 1.45, compared to the broader market-1.000.001.002.003.004.001.450.65
The chart of Sortino ratio for GAFYX, currently valued at 1.94, compared to the broader market-2.000.002.004.006.008.0010.001.940.88
The chart of Omega ratio for GAFYX, currently valued at 1.28, compared to the broader market0.501.001.502.002.503.003.501.281.14
The chart of Calmar ratio for GAFYX, currently valued at 1.60, compared to the broader market0.002.004.006.008.0010.0012.0014.001.600.85
The chart of Martin ratio for GAFYX, currently valued at 7.20, compared to the broader market0.0020.0040.0060.007.202.33
GAFYX
QSPIX

The current GAFYX Sharpe Ratio is 1.45, which is higher than the QSPIX Sharpe Ratio of 0.65. The chart below compares the historical Sharpe Ratios of GAFYX and QSPIX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio0.501.001.502.002.50JulyAugustSeptemberOctoberNovemberDecember
1.45
0.65
GAFYX
QSPIX

Dividends

GAFYX vs. QSPIX - Dividend Comparison

Neither GAFYX nor QSPIX has paid dividends to shareholders.


TTM20232022202120202019201820172016201520142013
GAFYX
AlphaSimplex Global Alternatives Fund
0.00%5.24%9.57%0.00%2.57%1.15%1.37%0.75%0.00%0.00%0.00%0.59%
QSPIX
AQR Style Premia Alternative Fund
0.00%23.67%22.69%12.79%0.00%1.62%0.96%7.08%1.74%5.83%12.86%2.25%

Drawdowns

GAFYX vs. QSPIX - Drawdown Comparison

The maximum GAFYX drawdown since its inception was -21.09%, smaller than the maximum QSPIX drawdown of -41.37%. Use the drawdown chart below to compare losses from any high point for GAFYX and QSPIX. For additional features, visit the drawdowns tool.


-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-2.09%
-10.60%
GAFYX
QSPIX

Volatility

GAFYX vs. QSPIX - Volatility Comparison

The current volatility for AlphaSimplex Global Alternatives Fund (GAFYX) is 1.58%, while AQR Style Premia Alternative Fund (QSPIX) has a volatility of 8.54%. This indicates that GAFYX experiences smaller price fluctuations and is considered to be less risky than QSPIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
1.58%
8.54%
GAFYX
QSPIX
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab