JELGX vs. ASFYX

Last updated Jul 4, 2026

JELGX (John Hancock Variable Insurance Trust Managed Volatility Growth Portfolio) and ASFYX (AlphaSimplex Managed Futures Strategy Fund Class Y) are both mutual funds - JELGX is a Diversified Portfolio fund managed by BlackRock, while ASFYX is a Systematic Trend fund managed by BlackRock. Over the past 10 years, JELGX returned 5.85%/yr vs 2.06%/yr for ASFYX. At a 0.25 correlation, their price movements are largely independent. JELGX charges 0.18%/yr vs 1.47%/yr for ASFYX.

Performance

JELGX vs. ASFYX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in John Hancock Variable Insurance Trust Managed Volatility Growth Portfolio (JELGX) 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, JELGX achieves a 7.08% return, which is significantly lower than ASFYX's 8.40% return. Over the past 10 years, JELGX has outperformed ASFYX with an annualized return of 5.85%, while ASFYX has yielded a comparatively lower 2.06% annualized return.

JELGX

• 1D: -0.08%
• 1M: -0.79%
• 6M: 6.44%
• YTD: 7.08%
• 1Y: 14.88%
• 3Y*: 12.00%
• 5Y*: 5.77%
• 10Y*: 5.85%

ASFYX

• 1D: -0.47%
• 1M: -5.94%
• 6M: 7.29%
• YTD: 8.40%
• 1Y: 18.15%
• 3Y*: -4.05%
• 5Y*: 2.04%
• 10Y*: 2.06%

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

JELGX vs. ASFYX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
JELGX John Hancock Variable Insurance Trust Managed Volatility Growth Portfolio	7.08%	10.85%	11.92%	13.80%	-14.85%	12.82%	-1.50%	19.53%	-6.56%	12.01%
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y	8.40%	-9.67%	-3.22%	-10.33%	35.67%	3.52%	13.59%	8.99%	-12.59%	6.78%

Correlation

The correlation between JELGX and ASFYX is 0.44, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.44
Correlation (3Y) Calculated over the trailing 3-year period	0.29
Correlation (5Y) Calculated over the trailing 5-year period	0.14
Correlation (10Y) Calculated over the trailing 10-year period	0.23
Correlation (All Time) Calculated using the full available price history since Aug 3, 2010	0.25

The correlation between JELGX and ASFYX shifts across timeframes, from 0.14 (5 years) to 0.44 (1 year), reflecting how their relationship changes across market environments.

Return for Risk

JELGX vs. ASFYX — Risk / Return Rank

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

JELGX

JELGX Risk / Return Rank: 47
JELGX Sharpe Ratio Rank: 45
JELGX Sortino Ratio Rank: 44
JELGX Omega Ratio Rank: 46
JELGX Calmar Ratio Rank: 48
JELGX Martin Ratio Rank: 53

ASFYX

ASFYX Risk / Return Rank: 46
ASFYX Sharpe Ratio Rank: 41
ASFYX Sortino Ratio Rank: 37
ASFYX Omega Ratio Rank: 38
ASFYX Calmar Ratio Rank: 62
ASFYX Martin Ratio Rank: 52

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.

JELGX vs. ASFYX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for John Hancock Variable Insurance Trust Managed Volatility Growth Portfolio (JELGX) 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.

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.

	JELGX	ASFYX	Difference
Sharpe ratio: Return per unit of total volatility	1.52	1.47	+0.05
Sortino ratio: Return per unit of downside risk	2.15	1.98	+0.17
Omega ratio: Gain probability vs. loss probability	1.28	1.26	+0.02
Calmar ratio: Return relative to maximum drawdown	2.16	2.46	-0.30
Martin ratio: Return relative to average drawdown	8.60	8.64	-0.04

JELGX vs. ASFYX - Sharpe Ratio Comparison

The current JELGX Sharpe Ratio is 1.52, which is comparable to the ASFYX Sharpe Ratio of 1.47. The chart below compares the historical Sharpe Ratios of JELGX 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.

Drawdowns

JELGX vs. ASFYX - Drawdown Comparison

The maximum JELGX drawdown since its inception was -58.74%, which is greater than ASFYX's maximum drawdown of -36.43%. Use the drawdown chart below to compare losses from any high point for JELGX and ASFYX.

Drawdown Indicators

	JELGX	ASFYX	Difference
Max Drawdown Largest peak-to-trough decline	-58.74%	-36.43%	-22.31%
Max Drawdown (1Y) Largest decline over 1 year	-7.91%	-7.42%	-0.49%
Max Drawdown (3Y) Largest decline over 3 years	-12.77%	-30.32%	+17.55%
Max Drawdown (5Y) Largest decline over 5 years	-18.68%	-36.43%	+17.75%
Max Drawdown (10Y) Largest decline over 10 years	-21.45%	-36.43%	+14.98%
Current Drawdown Current decline from peak	-1.41%	-23.08%	+21.67%
Average Drawdown Average peak-to-trough decline	-16.36%	-13.22%	-3.14%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.89%	2.11%	-0.22%

Volatility

JELGX vs. ASFYX - Volatility Comparison

John Hancock Variable Insurance Trust Managed Volatility Growth Portfolio (JELGX) has a higher volatility of 4.46% compared to AlphaSimplex Managed Futures Strategy Fund Class Y (ASFYX) at 4.01%. This indicates that JELGX'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

	JELGX	ASFYX	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.46%	4.01%	+0.45%
Volatility (6M) Calculated over the trailing 6-month period	8.99%	10.02%	-1.03%
Volatility (1Y) Calculated over the trailing 1-year period	11.22%	12.37%	-1.15%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	10.77%	13.82%	-3.05%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	10.58%	12.73%	-2.15%

JELGX vs. ASFYX - Expense Ratio Comparison

JELGX has a 0.18% expense ratio, which is lower than ASFYX's 1.47% expense ratio.

Dividends

JELGX vs. ASFYX - Dividend Comparison

JELGX's dividend yield for the trailing twelve months is around 7.66%, more than ASFYX's 1.40% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y	1.40%	1.52%	1.46%	0.99%	32.48%	6.07%	3.40%	5.51%	1.30%	0.07%	0.01%	5.06%
JELGX John Hancock Variable Insurance Trust Managed Volatility Growth Portfolio	7.66%	8.21%	2.68%	15.02%	4.73%	2.20%	8.29%	9.21%	12.38%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both JELGX and ASFYX in my portfolio?

JELGX and ASFYX have a correlation of 0.44, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, JELGX or ASFYX?

JELGX has higher volatility (4.46%) compared to ASFYX (4.01%). In terms of maximum drawdown, JELGX dropped -58.74% vs ASFYX's -36.43%.

Which has better risk-adjusted returns?

JELGX currently has the higher Sharpe Ratio (1.52 vs 1.47), 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.