MAIIX vs. ASFYX
MAIIX (iShares MSCI EAFE International Index Fund) and ASFYX (AlphaSimplex Managed Futures Strategy Fund Class Y) are both mutual funds - MAIIX is a Foreign Large Cap Equities fund managed by BlackRock, while ASFYX is a Systematic Trend fund managed by BlackRock. Over the past 10 years, MAIIX returned 9.36%/yr vs 2.97%/yr for ASFYX. At a 0.20 correlation, their price movements are largely independent. MAIIX charges 0.09%/yr vs 1.47%/yr for ASFYX.
Performance
MAIIX vs. ASFYX - Performance Comparison
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Returns By Period
In the year-to-date period, MAIIX achieves a 9.66% return, which is significantly lower than ASFYX's 15.25% return. Over the past 10 years, MAIIX has outperformed ASFYX with an annualized return of 9.36%, while ASFYX has yielded a comparatively lower 2.97% annualized return.
MAIIX
- 1D
- 0.38%
- 1M
- 4.17%
- YTD
- 9.66%
- 6M
- 12.02%
- 1Y
- 22.42%
- 3Y*
- 17.16%
- 5Y*
- 8.87%
- 10Y*
- 9.36%
ASFYX
- 1D
- 0.56%
- 1M
- 1.71%
- YTD
- 15.25%
- 6M
- 17.77%
- 1Y
- 26.49%
- 3Y*
- -1.44%
- 5Y*
- 3.02%
- 10Y*
- 2.97%
MAIIX vs. ASFYX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
MAIIX iShares MSCI EAFE International Index Fund | 9.66% | 31.62% | 3.65% | 18.35% | -14.15% | 11.25% | 8.03% | 21.82% | -13.43% | 25.24% |
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y | 15.25% | -9.67% | -3.22% | -10.33% | 35.67% | 3.52% | 13.59% | 8.99% | -12.59% | 6.78% |
Correlation
The correlation between MAIIX and ASFYX is 0.49, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.49 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.33 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.14 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.18 |
Correlation (All Time) Calculated using the full available price history since Aug 4, 2010 | 0.20 |
Over the past year, MAIIX and ASFYX have become more correlated (0.49) than their long-term average of 0.20, meaning their price movements have been converging.
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Return for Risk
MAIIX vs. ASFYX — Risk / Return Rank
MAIIX
ASFYX
MAIIX vs. ASFYX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares MSCI EAFE International Index Fund (MAIIX) 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.
| MAIIX | ASFYX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.77 | ||
| Sortino ratioReturn per unit of downside risk | -0.87 | ||
| Omega ratioGain probability vs. loss probability | 1.26 | 1.39 | -0.13 |
| Calmar ratioReturn relative to maximum drawdown | 1.91 | 4.95 | -3.04 |
| Martin ratioReturn relative to average drawdown | 7.14 | 17.88 | -10.74 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| MAIIX | ASFYX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.43 | 2.20 | -0.77 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.55 | 0.22 | +0.33 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.56 | 0.23 | +0.33 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.31 | 0.35 | -0.04 |
Drawdowns
MAIIX vs. ASFYX - Drawdown Comparison
The maximum MAIIX drawdown since its inception was -61.05%, which is greater than ASFYX's maximum drawdown of -36.43%. Use the drawdown chart below to compare losses from any high point for MAIIX and ASFYX.
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Drawdown Indicators
| MAIIX | ASFYX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -61.05% | -36.43% | -24.62% |
Max Drawdown (1Y)Largest decline over 1 year | -11.31% | -5.24% | -6.07% |
Max Drawdown (3Y)Largest decline over 3 years | -13.68% | -30.32% | +16.64% |
Max Drawdown (5Y)Largest decline over 5 years | -29.31% | -36.43% | +7.12% |
Max Drawdown (10Y)Largest decline over 10 years | -34.01% | -36.43% | +2.42% |
Current DrawdownCurrent decline from peak | -0.38% | -18.22% | +17.84% |
Average DrawdownAverage peak-to-trough decline | -15.34% | -13.18% | -2.16% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.02% | 1.45% | +1.57% |
Volatility
MAIIX vs. ASFYX - Volatility Comparison
iShares MSCI EAFE International Index Fund (MAIIX) has a higher volatility of 4.72% compared to AlphaSimplex Managed Futures Strategy Fund Class Y (ASFYX) at 3.67%. This indicates that MAIIX'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.
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Volatility by Period
| MAIIX | ASFYX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 4.72% | 3.67% | +1.05% |
Volatility (6M)Calculated over the trailing 6-month period | 12.26% | 9.54% | +2.72% |
Volatility (1Y)Calculated over the trailing 1-year period | 15.11% | 11.77% | +3.34% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 16.14% | 13.77% | +2.37% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 16.65% | 12.71% | +3.94% |
MAIIX vs. ASFYX - Expense Ratio Comparison
MAIIX has a 0.09% expense ratio, which is lower than ASFYX's 1.47% expense ratio.
Dividends
MAIIX vs. ASFYX - Dividend Comparison
MAIIX's dividend yield for the trailing twelve months is around 3.38%, more than ASFYX's 1.32% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y | 1.32% | 1.52% | 1.46% | 0.99% | 32.48% | 6.07% | 3.40% | 5.51% | 1.30% | 0.07% | 0.01% | 5.06% |
MAIIX iShares MSCI EAFE International Index Fund | 3.38% | 3.71% | 3.38% | 3.16% | 2.76% | 3.00% | 1.94% | 3.29% | 4.53% | 2.42% | 2.81% | 2.40% |
Frequently Asked Questions
MAIIX and ASFYX have a correlation of 0.49, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
MAIIX has higher volatility (4.72%) compared to ASFYX (3.67%). In terms of maximum drawdown, MAIIX dropped -61.05% vs ASFYX's -36.43%.
ASFYX currently has the higher Sharpe Ratio (2.20 vs 1.43), 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.
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