ABYAX's Sortino Ratio of 1.94 indicates that for each unit of downside volatility, it generates 1.94 units of excess return. The ratio is calculated using historical daily returns over the past 12 months (as of Aug 1, 2026).
Unlike other measures, Sortino only focuses on downside volatility (losses), making it particularly useful for investors more concerned about protecting against drawdowns than overall price swings.
ABYAX Sortino Ratio Rank
ABYAX ranks above 49.4% of all investments in our database based on Sortino Ratio over the past 12 months, indicating moderate downside protection relative to peers. Securities are ranked from 0 (worst) to 100 (best).
What moves the rank
- Strong returns with minimal downside volatility → Higher rank
- Severe or frequent drawdowns → Lower rank
- Upside volatility → No impact (Sortino doesn't penalize upside swings)
What you can do with this information
- Returns are proportional to downside risk—neither strong nor weak
- Evaluate whether downside volatility aligns with your risk tolerance
- Review higher-ranked alternatives in the same category
- Monitor rank direction to identify improving or deteriorating trends
ABYAX Sortino Ratio Market Positioning
The chart shows ABYAX's Sortino Ratio relative to all mutual funds on our platform, with color zones indicating percentile rankings. Higher ratios indicate better downside-adjusted returns.
- Red zone (bottom 25%): 1.39 or lower
- Yellow zone (middle 50%): 1.39 to 2.62
- Green zone (top 25%): 2.62 or higher
- Top 1%: 8.01+
- Median: 2.08 — half of all investments score higher
How it compares to other similar mutual funds
The table compares Abbey Capital Futures Strategy Fund Class A's Sortino Ratio with other mutual funds in the Systematic Trend category across multiple time periods, showing how ABYAX's risk-adjusted performance compares to similar funds.
Data shows 1-, 5-, and 10-year periods, plus each fund's all-time average, as of Aug 1, 2026.
| Symbol | Name | 1Y Sortino Ratio | 5Y Sortino Ratio | 10Y Sortino Ratio | All Time Sortino Ratio |
|---|---|---|---|---|---|
| LOTIX | LoCorr Market Trend Fund | 4.03 | |||
| MBXIX | Catalyst/Millburn Hedge Strategy Fund Class I | 3.18 | |||
| QNZNX | AQR Trend Total Return Fund | 3.16 | |||
| MBXAX | Catalyst/Millburn Hedge Strategy Fund | 3.13 | |||
| AHLIX | American Beacon AHL Managed Futures Strategy Fund Class R5 | 3.09 | |||
| AQMIX | AQR Managed Futures Strategy Fund - Class I | 3.08 | |||
| AHLPX | American Beacon AHL Managed Futures Strategy Fund | 3.06 | |||
| AQMNX | AQR Managed Futures Strategy Fund Class N | 3.05 | |||
| EVOIX | Winton Managed Futures Trend Fund | 2.63 | |||
| LFMAX | LoCorr Macro Strategies Fund | 2.58 | |||
| ABYAX | Abbey Capital Futures Strategy Fund Class A | 1.94 |
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How much price history to include in the calculation
Historical Sortino Ratio
The chart shows ABYAX's rolling Sortino ratio over time compared to your chosen benchmark. Rising trends indicate improving returns relative to downside risk, while declining trends may signal deteriorating risk-adjusted performance or increased volatility during market stress. Use multiple timeframes to distinguish short-term fluctuations from long-term patterns.
Identify market cycles by observing when ABYAX consistently outperforms (line above benchmark), underperforms (below benchmark), or aligns with the benchmark.
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