GLD vs. ASFYX

Last updated Jun 9, 2026

GLD (SPDR Gold Shares) and ASFYX (AlphaSimplex Managed Futures Strategy Fund Class Y) are both funds - GLD is a Gold fund tracking the LBMA Gold Price PM, while ASFYX is a Systematic Trend fund managed by BlackRock. Over the past 10 years, GLD returned 12.56%/yr vs 2.62%/yr for ASFYX. At a 0.09 correlation, their price movements are largely independent. GLD charges 0.40%/yr vs 1.47%/yr for ASFYX.

Performance

GLD vs. ASFYX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in SPDR Gold Shares (GLD) and AlphaSimplex Managed Futures Strategy Fund Class Y (ASFYX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, GLD achieves a 0.24% return, which is significantly lower than ASFYX's 11.89% return. Over the past 10 years, GLD has outperformed ASFYX with an annualized return of 12.56%, while ASFYX has yielded a comparatively lower 2.62% annualized return.

GLD

• 1D: 0.26%
• 1M: -8.41%
• YTD: 0.24%
• 6M: 3.07%
• 1Y: 30.18%
• 3Y*: 29.71%
• 5Y*: 17.55%
• 10Y*: 12.56%

ASFYX

• 1D: -2.15%
• 1M: -1.25%
• YTD: 11.89%
• 6M: 14.79%
• 1Y: 22.46%
• 3Y*: -2.50%
• 5Y*: 2.23%
• 10Y*: 2.62%

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

GLD vs. ASFYX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
GLD SPDR Gold Shares	0.24%	63.68%	26.66%	12.69%	-0.77%	-4.15%	24.81%	17.86%	-1.94%	12.81%
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y	11.89%	-9.67%	-3.22%	-10.33%	35.67%	3.52%	13.59%	8.99%	-12.59%	6.78%

Correlation

The correlation between GLD and ASFYX is 0.35, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.35
Correlation (3Y) Calculated over the trailing 3-year period	0.27
Correlation (5Y) Calculated over the trailing 5-year period	0.05
Correlation (10Y) Calculated over the trailing 10-year period	0.10
Correlation (All Time) Calculated using the full available price history since Aug 3, 2010	0.09

Over the past year, GLD and ASFYX have become more correlated (0.35) than their long-term average of 0.09, meaning their price movements have been converging.

Return for Risk

GLD vs. ASFYX — Risk / Return Rank

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

GLD

GLD Risk / Return Rank: 33
GLD Sharpe Ratio Rank: 34
GLD Sortino Ratio Rank: 31
GLD Omega Ratio Rank: 38
GLD Calmar Ratio Rank: 34
GLD Martin Ratio Rank: 29

ASFYX

ASFYX Risk / Return Rank: 60
ASFYX Sharpe Ratio Rank: 44
ASFYX Sortino Ratio Rank: 39
ASFYX Omega Ratio Rank: 42
ASFYX Calmar Ratio Rank: 89
ASFYX Martin Ratio Rank: 85

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.

GLD vs. ASFYX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for SPDR Gold Shares (GLD) and AlphaSimplex Managed Futures Strategy Fund Class Y (ASFYX). 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.

	GLD	ASFYX	Difference
Sharpe ratio: Return per unit of total volatility	1.13	1.88	-0.75
Sortino ratio: Return per unit of downside risk	1.51	2.51	-1.00
Omega ratio: Gain probability vs. loss probability	1.23	1.34	-0.11
Calmar ratio: Return relative to maximum drawdown	1.51	4.31	-2.80
Martin ratio: Return relative to average drawdown	3.78	15.26	-11.48
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

GLD vs. ASFYX - Sharpe Ratio Comparison

The current GLD Sharpe Ratio is 1.13, which is lower than the ASFYX Sharpe Ratio of 1.88. The chart below compares the historical Sharpe Ratios of GLD and ASFYX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	GLD	ASFYX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.13	1.88	-0.75
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.98	0.16	+0.81
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.79	0.21	+0.58
Sharpe Ratio (All Time) Calculated using the full available price history	0.59	0.33	+0.26

Drawdowns

GLD vs. ASFYX - Drawdown Comparison

The maximum GLD drawdown since its inception was -45.56%, which is greater than ASFYX's maximum drawdown of -36.43%. Use the drawdown chart below to compare losses from any high point for GLD and ASFYX.

Drawdown Indicators

	GLD	ASFYX	Difference
Max Drawdown Largest peak-to-trough decline	-45.56%	-36.43%	-9.13%
Max Drawdown (1Y) Largest decline over 1 year	-20.10%	-5.24%	-14.86%
Max Drawdown (3Y) Largest decline over 3 years	-20.10%	-30.32%	+10.22%
Max Drawdown (5Y) Largest decline over 5 years	-21.03%	-36.43%	+15.40%
Max Drawdown (10Y) Largest decline over 10 years	-22.00%	-36.43%	+14.43%
Current Drawdown Current decline from peak	-19.89%	-20.61%	+0.72%
Average Drawdown Average peak-to-trough decline	-16.16%	-13.18%	-2.98%
Ulcer Index Depth and duration of drawdowns from previous peaks	8.01%	1.48%	+6.53%

Volatility

GLD vs. ASFYX - Volatility Comparison

SPDR Gold Shares (GLD) has a higher volatility of 5.68% compared to AlphaSimplex Managed Futures Strategy Fund Class Y (ASFYX) at 4.28%. This indicates that GLD's price experiences larger fluctuations and is considered to be riskier than ASFYX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	GLD	ASFYX	Difference
Volatility (1M) Calculated over the trailing 1-month period	5.68%	4.28%	+1.40%
Volatility (6M) Calculated over the trailing 6-month period	23.47%	9.83%	+13.64%
Volatility (1Y) Calculated over the trailing 1-year period	26.87%	11.99%	+14.88%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	18.07%	13.79%	+4.28%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	15.99%	12.73%	+3.26%

GLD vs. ASFYX - Expense Ratio Comparison

GLD has a 0.40% expense ratio, which is lower than ASFYX's 1.47% expense ratio.

Dividends

GLD vs. ASFYX - Dividend Comparison

GLD has not paid dividends to shareholders, while ASFYX's dividend yield for the trailing twelve months is around 1.36%.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y	1.36%	1.52%	1.46%	0.99%	32.48%	6.07%	3.40%	5.51%	1.30%	0.07%	0.01%	5.06%
GLD SPDR Gold Shares	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both GLD and ASFYX in my portfolio?

GLD and ASFYX have a correlation of 0.35, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, GLD or ASFYX?

GLD has higher volatility (5.68%) compared to ASFYX (4.28%). In terms of maximum drawdown, GLD dropped -45.56% vs ASFYX's -36.43%.

Which has better risk-adjusted returns?

ASFYX currently has the higher Sharpe Ratio (1.88 vs 1.13), 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.