QDSIX vs. GAFYX
Compare and contrast key facts about AQR Diversifying Strategies Fund (QDSIX) and AlphaSimplex Global Alternatives Fund (GAFYX).
QDSIX is managed by AQR Funds. It was launched on Jun 7, 2020. GAFYX is managed by Natixis Funds. It was launched on Sep 29, 2008.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: QDSIX or GAFYX.
Key characteristics
| QDSIX | GAFYX | |
|---|---|---|
| YTD Return | 11.23% | 10.58% |
| 1Y Return | 0.48% | 11.63% |
| 3Y Return (Ann) | 8.03% | 3.87% |
| Sharpe Ratio | 0.03 | 1.77 |
| Sortino Ratio | 0.10 | 2.35 |
| Omega Ratio | 1.03 | 1.34 |
| Calmar Ratio | 0.04 | 1.92 |
| Martin Ratio | 0.09 | 8.66 |
| Ulcer Index | 4.31% | 1.36% |
| Daily Std Dev | 11.67% | 6.64% |
| Max Drawdown | -11.30% | -21.09% |
| Current Drawdown | -2.19% | -0.18% |
Correlation
The correlation between QDSIX and GAFYX 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
QDSIX vs. GAFYX - Performance Comparison
In the year-to-date period, QDSIX achieves a 11.23% return, which is significantly higher than GAFYX's 10.58% 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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QDSIX vs. GAFYX - Expense Ratio Comparison
QDSIX has a 0.20% expense ratio, which is lower than GAFYX's 1.24% expense ratio.
Risk-Adjusted Performance
QDSIX vs. GAFYX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Diversifying Strategies Fund (QDSIX) and AlphaSimplex Global Alternatives Fund (GAFYX). 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
QDSIX vs. GAFYX - Dividend Comparison
QDSIX's dividend yield for the trailing twelve months is around 10.05%, more than GAFYX's 4.57% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
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% |
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% |
Drawdowns
QDSIX vs. GAFYX - Drawdown Comparison
The maximum QDSIX drawdown since its inception was -11.30%, smaller than the maximum GAFYX drawdown of -21.09%. Use the drawdown chart below to compare losses from any high point for QDSIX and GAFYX. For additional features, visit the drawdowns tool.
Volatility
QDSIX vs. GAFYX - Volatility Comparison
The current volatility for AQR Diversifying Strategies Fund (QDSIX) is 1.54%, while AlphaSimplex Global Alternatives Fund (GAFYX) has a volatility of 1.95%. This indicates that QDSIX experiences smaller price fluctuations and is considered to be less risky than GAFYX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.