QSPIX vs. GAFYX
Compare and contrast key facts about AQR Style Premia Alternative Fund (QSPIX) and AlphaSimplex Global Alternatives Fund (GAFYX).
QSPIX is managed by AQR Funds. It was launched on Oct 29, 2013. 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: QSPIX or GAFYX.
Key characteristics
| QSPIX | GAFYX | |
|---|---|---|
| YTD Return | 18.86% | 9.97% |
| 1Y Return | 12.46% | 10.26% |
| 3Y Return (Ann) | 25.36% | 3.69% |
| 5Y Return (Ann) | 10.75% | 2.75% |
| 10Y Return (Ann) | 5.52% | 1.57% |
| Sharpe Ratio | 1.09 | 1.58 |
| Sortino Ratio | 1.55 | 2.10 |
| Omega Ratio | 1.19 | 1.30 |
| Calmar Ratio | 1.39 | 1.71 |
| Martin Ratio | 3.46 | 7.72 |
| Ulcer Index | 3.74% | 1.36% |
| Daily Std Dev | 11.95% | 6.65% |
| Max Drawdown | -41.37% | -21.09% |
| Current Drawdown | -4.24% | -0.73% |
Correlation
The correlation between QSPIX and GAFYX is 0.08, 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
QSPIX vs. GAFYX - Performance Comparison
In the year-to-date period, QSPIX achieves a 18.86% return, which is significantly higher than GAFYX's 9.97% return. Over the past 10 years, QSPIX has outperformed GAFYX with an annualized return of 5.52%, while GAFYX has yielded a comparatively lower 1.57% annualized 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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QSPIX vs. GAFYX - Expense Ratio Comparison
QSPIX has a 1.49% expense ratio, which is higher than GAFYX's 1.24% expense ratio.
Risk-Adjusted Performance
QSPIX vs. GAFYX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for AQR Style Premia Alternative Fund (QSPIX) 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
QSPIX vs. GAFYX - Dividend Comparison
QSPIX's dividend yield for the trailing twelve months is around 19.91%, more than GAFYX's 4.60% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
QSPIX AQR Style Premia Alternative Fund | 19.91% | 23.67% | 22.69% | 12.79% | 0.00% | 1.62% | 0.96% | 7.08% | 1.74% | 5.83% | 12.86% | 2.25% |
GAFYX AlphaSimplex Global Alternatives Fund | 4.60% | 5.24% | 9.57% | 0.00% | 2.57% | 1.15% | 1.37% | 0.75% | 0.00% | 0.00% | 0.00% | 0.59% |
Drawdowns
QSPIX vs. GAFYX - Drawdown Comparison
The maximum QSPIX drawdown since its inception was -41.37%, which is greater than GAFYX's maximum drawdown of -21.09%. Use the drawdown chart below to compare losses from any high point for QSPIX and GAFYX. For additional features, visit the drawdowns tool.
Volatility
QSPIX vs. GAFYX - Volatility Comparison
AQR Style Premia Alternative Fund (QSPIX) has a higher volatility of 2.62% compared to AlphaSimplex Global Alternatives Fund (GAFYX) at 1.96%. This indicates that QSPIX's price experiences larger fluctuations and is considered to be riskier than GAFYX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.