QDSIX vs. GAFYX

Last updated Jun 24, 2026

QDSIX (AQR Diversifying Strategies Fund) and GAFYX (AlphaSimplex Global Alternatives Fund) are both Multistrategy funds. Over the past 5 years, QDSIX returned 11.53%/yr vs 6.14%/yr for GAFYX. At a 0.35 correlation, their price movements are largely independent. QDSIX charges 0.20%/yr vs 1.24%/yr for GAFYX.

Performance

QDSIX vs. GAFYX - Performance Comparison

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

Returns By Period

In the year-to-date period, QDSIX achieves a 5.50% return, which is significantly lower than GAFYX's 10.70% return.

QDSIX

• 1D: 0.41%
• 1M: 0.41%
• YTD: 5.50%
• 6M: 5.72%
• 1Y: 13.96%
• 3Y*: 12.64%
• 5Y*: 11.53%
• 10Y*: —

GAFYX

• 1D: 0.32%
• 1M: 1.19%
• YTD: 10.70%
• 6M: 9.84%
• 1Y: 16.90%
• 3Y*: 9.49%
• 5Y*: 6.14%
• 10Y*: 5.00%

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

QDSIX vs. GAFYX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
QDSIX AQR Diversifying Strategies Fund	5.50%	16.36%	9.71%	8.88%	14.69%	10.64%	5.50%
GAFYX AlphaSimplex Global Alternatives Fund	10.70%	6.68%	9.66%	3.77%	-0.49%	1.29%	6.10%

Correlation

The correlation between QDSIX and GAFYX is 0.54, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.54
Correlation (3Y) Calculated over the trailing 3-year period	0.48
Correlation (5Y) Calculated over the trailing 5-year period	0.32
Correlation (All Time) Calculated using the full available price history since Jun 10, 2020	0.35

The correlation between QDSIX and GAFYX shifts across timeframes, from 0.32 (5 years) to 0.54 (1 year), reflecting how their relationship changes across market environments.

Return for Risk

QDSIX vs. GAFYX — Risk / Return Rank

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

QDSIX

QDSIX Risk / Return Rank: 91
QDSIX Sharpe Ratio Rank: 90
QDSIX Sortino Ratio Rank: 90
QDSIX Omega Ratio Rank: 84
QDSIX Calmar Ratio Rank: 98
QDSIX Martin Ratio Rank: 95

GAFYX

GAFYX Risk / Return Rank: 71
GAFYX Sharpe Ratio Rank: 64
GAFYX Sortino Ratio Rank: 64
GAFYX Omega Ratio Rank: 70
GAFYX Calmar Ratio Rank: 78
GAFYX Martin Ratio Rank: 81

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.

QDSIX vs. GAFYX - Risk-Adjusted Trends 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.

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.

	QDSIX	GAFYX	Difference
Sharpe ratio: Return per unit of total volatility	2.75	2.16	+0.59
Sortino ratio: Return per unit of downside risk	4.07	3.05	+1.02
Omega ratio: Gain probability vs. loss probability	1.52	1.43	+0.09
Calmar ratio: Return relative to maximum drawdown	7.21	3.36	+3.86
Martin ratio: Return relative to average drawdown	19.76	14.10	+5.66

QDSIX vs. GAFYX - Sharpe Ratio Comparison

The current QDSIX Sharpe Ratio is 2.75, which is comparable to the GAFYX Sharpe Ratio of 2.16. The chart below compares the historical Sharpe Ratios of QDSIX and GAFYX, 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

QDSIX vs. GAFYX - Drawdown Comparison

The maximum QDSIX drawdown since its inception was -7.06%, smaller than the maximum GAFYX drawdown of -19.49%. Use the drawdown chart below to compare losses from any high point for QDSIX and GAFYX.

Drawdown Indicators

	QDSIX	GAFYX	Difference
Max Drawdown Largest peak-to-trough decline	-7.06%	-19.49%	+12.43%
Max Drawdown (1Y) Largest decline over 1 year	-1.96%	-5.19%	+3.23%
Max Drawdown (3Y) Largest decline over 3 years	-6.90%	-9.74%	+2.84%
Max Drawdown (5Y) Largest decline over 5 years	-7.06%	-9.74%	+2.68%
Max Drawdown (10Y) Largest decline over 10 years	—	-13.26%	—
Current Drawdown Current decline from peak	-0.94%	-0.39%	-0.55%
Average Drawdown Average peak-to-trough decline	-1.44%	-4.62%	+3.18%
Ulcer Index Depth and duration of drawdowns from previous peaks	0.71%	1.23%	-0.52%

Volatility

QDSIX vs. GAFYX - Volatility Comparison

The current volatility for AQR Diversifying Strategies Fund (QDSIX) is 1.80%, while AlphaSimplex Global Alternatives Fund (GAFYX) has a volatility of 3.40%. 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.

Volatility by Period

	QDSIX	GAFYX	Difference
Volatility (1M) Calculated over the trailing 1-month period	1.80%	3.40%	-1.60%
Volatility (6M) Calculated over the trailing 6-month period	3.66%	7.03%	-3.37%
Volatility (1Y) Calculated over the trailing 1-year period	5.14%	8.06%	-2.92%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	7.62%	7.27%	+0.35%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	7.31%	6.82%	+0.49%

QDSIX vs. GAFYX - Expense Ratio Comparison

QDSIX has a 0.20% expense ratio, which is lower than GAFYX's 1.24% expense ratio.

Dividends

QDSIX vs. GAFYX - Dividend Comparison

QDSIX's dividend yield for the trailing twelve months is around 2.12%, while GAFYX has not paid dividends to shareholders.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
GAFYX AlphaSimplex Global Alternatives Fund	0.00%	0.00%	0.00%	5.24%	9.57%	0.00%	2.57%	1.16%	1.37%	0.74%	0.00%	3.53%
QDSIX AQR Diversifying Strategies Fund	2.12%	2.23%	0.00%	11.35%	8.22%	6.07%	1.93%	0.00%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both QDSIX and GAFYX in my portfolio?

QDSIX and GAFYX have a correlation of 0.54, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, QDSIX or GAFYX?

GAFYX has higher volatility (3.40%) compared to QDSIX (1.80%). In terms of maximum drawdown, QDSIX dropped -7.06% vs GAFYX's -19.49%.

Which has better risk-adjusted returns?

QDSIX currently has the higher Sharpe Ratio (2.75 vs 2.16), 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.