ABYAX vs. AMFAX
Compare and contrast key facts about Abbey Capital Futures Strategy Fund Class A (ABYAX) and AlphaSimplex Managed Futures Strategy Fund Class A (AMFAX).
ABYAX is managed by Abbey Capital. It was launched on Aug 29, 2014. AMFAX is managed by BlackRock. It was launched on Jul 30, 2010.
Performance
ABYAX vs. AMFAX - Performance Comparison
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ABYAX vs. AMFAX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
ABYAX Abbey Capital Futures Strategy Fund Class A | 4.46% | 1.47% | 0.77% | -3.55% | 16.76% | 3.19% | 7.59% | 8.65% | -6.49% | -0.26% |
AMFAX AlphaSimplex Managed Futures Strategy Fund Class A | 6.43% | -9.75% | -3.56% | -10.59% | 35.38% | 3.28% | 13.29% | 8.03% | -12.87% | 6.54% |
Returns By Period
In the year-to-date period, ABYAX achieves a 4.46% return, which is significantly lower than AMFAX's 6.43% return. Over the past 10 years, ABYAX has outperformed AMFAX with an annualized return of 2.58%, while AMFAX has yielded a comparatively lower 1.54% annualized return.
ABYAX
- 1D
- 0.00%
- 1M
- -1.38%
- YTD
- 4.46%
- 6M
- 7.57%
- 1Y
- 8.17%
- 3Y*
- 2.13%
- 5Y*
- 3.46%
- 10Y*
- 2.58%
AMFAX
- 1D
- 0.00%
- 1M
- -1.70%
- YTD
- 6.43%
- 6M
- 10.88%
- 1Y
- 3.13%
- 3Y*
- -3.17%
- 5Y*
- 2.03%
- 10Y*
- 1.54%
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ABYAX vs. AMFAX - Expense Ratio Comparison
ABYAX has a 2.04% expense ratio, which is higher than AMFAX's 1.72% expense ratio.
Return for Risk
ABYAX vs. AMFAX — Risk / Return Rank
ABYAX
AMFAX
ABYAX vs. AMFAX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Abbey Capital Futures Strategy Fund Class A (ABYAX) and AlphaSimplex Managed Futures Strategy Fund Class A (AMFAX). 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.
| ABYAX | AMFAX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.02 | 0.15 | +0.87 |
Sortino ratioReturn per unit of downside risk | 1.45 | 0.27 | +1.18 |
Omega ratioGain probability vs. loss probability | 1.19 | 1.04 | +0.15 |
Calmar ratioReturn relative to maximum drawdown | 1.54 | 0.08 | +1.46 |
Martin ratioReturn relative to average drawdown | 3.04 | 0.13 | +2.91 |
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
| ABYAX | AMFAX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.02 | 0.15 | +0.87 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.44 | 0.15 | +0.29 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.32 | 0.12 | +0.20 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.45 | 0.28 | +0.17 |
Correlation
The correlation between ABYAX and AMFAX is 0.86, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Dividends
ABYAX vs. AMFAX - Dividend Comparison
ABYAX's dividend yield for the trailing twelve months is around 1.22%, less than AMFAX's 1.73% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ABYAX Abbey Capital Futures Strategy Fund Class A | 1.22% | 1.27% | 1.68% | 0.99% | 15.33% | 3.57% | 1.36% | 8.50% | 0.00% | 0.00% | 0.00% | 0.06% |
AMFAX AlphaSimplex Managed Futures Strategy Fund Class A | 1.73% | 1.84% | 1.28% | 0.30% | 32.70% | 5.74% | 3.14% | 4.71% | 1.31% | 0.00% | 0.00% | 4.92% |
Drawdowns
ABYAX vs. AMFAX - Drawdown Comparison
The maximum ABYAX drawdown since its inception was -17.96%, smaller than the maximum AMFAX drawdown of -36.84%. Use the drawdown chart below to compare losses from any high point for ABYAX and AMFAX.
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Drawdown Indicators
| ABYAX | AMFAX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -17.96% | -36.84% | +18.88% |
Max Drawdown (1Y)Largest decline over 1 year | -4.30% | -13.54% | +9.24% |
Max Drawdown (5Y)Largest decline over 5 years | -15.23% | -36.84% | +21.61% |
Max Drawdown (10Y)Largest decline over 10 years | -15.23% | -36.84% | +21.61% |
Current DrawdownCurrent decline from peak | -3.92% | -25.04% | +21.12% |
Average DrawdownAverage peak-to-trough decline | -7.30% | -13.54% | +6.24% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.49% | 8.79% | -6.30% |
Volatility
ABYAX vs. AMFAX - Volatility Comparison
The current volatility for Abbey Capital Futures Strategy Fund Class A (ABYAX) is 1.85%, while AlphaSimplex Managed Futures Strategy Fund Class A (AMFAX) has a volatility of 3.94%. This indicates that ABYAX experiences smaller price fluctuations and is considered to be less risky than AMFAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ABYAX | AMFAX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.85% | 3.94% | -2.09% |
Volatility (6M)Calculated over the trailing 6-month period | 6.40% | 10.02% | -3.62% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.63% | 13.06% | -5.43% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 7.98% | 13.68% | -5.70% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 7.98% | 12.67% | -4.69% |