ABYAX vs. ASFYX

Last updated Jun 4, 2026

ABYAX (Abbey Capital Futures Strategy Fund Class A) and ASFYX (AlphaSimplex Managed Futures Strategy Fund Class Y) are both Systematic Trend funds. Over the past 10 years, ABYAX returned 3.27%/yr vs 2.97%/yr for ASFYX. Their correlation of 0.86 suggests significant overlap in exposure. ABYAX charges 2.04%/yr vs 1.47%/yr for ASFYX.

Performance

ABYAX vs. ASFYX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Abbey Capital Futures Strategy Fund Class A (ABYAX) and AlphaSimplex Managed Futures Strategy Fund Class Y (ASFYX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, ABYAX achieves a 7.65% return, which is significantly lower than ASFYX's 15.25% return. Over the past 10 years, ABYAX has outperformed ASFYX with an annualized return of 3.27%, while ASFYX has yielded a comparatively lower 2.97% annualized return.

ABYAX

• 1D: 0.25%
• 1M: 0.85%
• YTD: 7.65%
• 6M: 8.84%
• 1Y: 15.78%
• 3Y*: 2.49%
• 5Y*: 3.44%
• 10Y*: 3.27%

ASFYX

• 1D: 0.56%
• 1M: 1.71%
• YTD: 15.25%
• 6M: 17.77%
• 1Y: 26.49%
• 3Y*: -1.44%
• 5Y*: 3.02%
• 10Y*: 2.97%

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

ABYAX vs. ASFYX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
ABYAX Abbey Capital Futures Strategy Fund Class A	7.65%	1.47%	0.77%	-3.55%	16.76%	3.19%	7.59%	8.65%	-6.49%	-0.26%
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y	15.25%	-9.67%	-3.22%	-10.33%	35.67%	3.52%	13.59%	8.99%	-12.59%	6.78%

Correlation

The correlation between ABYAX and ASFYX is 0.90, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.90
Correlation (3Y) Calculated over the trailing 3-year period	0.90
Correlation (5Y) Calculated over the trailing 5-year period	0.90
Correlation (10Y) Calculated over the trailing 10-year period	0.87
Correlation (All Time) Calculated using the full available price history since Sep 3, 2014	0.86

The correlation between ABYAX and ASFYX has been stable across timeframes, ranging from 0.86 to 0.90 - a consistent structural relationship.

Return for Risk

ABYAX vs. ASFYX — Risk / Return Rank

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

ABYAX

ABYAX Risk / Return Rank: 63
ABYAX Sharpe Ratio Rank: 48
ABYAX Sortino Ratio Rank: 46
ABYAX Omega Ratio Rank: 48
ABYAX Calmar Ratio Rank: 94
ABYAX Martin Ratio Rank: 78

ASFYX

ASFYX Risk / Return Rank: 67
ASFYX Sharpe Ratio Rank: 56
ASFYX Sortino Ratio Rank: 48
ASFYX Omega Ratio Rank: 51
ASFYX Calmar Ratio Rank: 92
ASFYX Martin Ratio Rank: 89

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.

ABYAX vs. ASFYX - 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 Y (ASFYX). 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	ASFYX	Difference
Sharpe ratio: Return per unit of total volatility	2.05	2.20	-0.15
Sortino ratio: Return per unit of downside risk	2.84	2.93	-0.09
Omega ratio: Gain probability vs. loss probability	1.38	1.39	-0.01
Calmar ratio: Return relative to maximum drawdown	5.48	4.95	+0.53
Martin ratio: Return relative to average drawdown	14.69	17.88	-3.19
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

ABYAX vs. ASFYX - Sharpe Ratio Comparison

The current ABYAX Sharpe Ratio is 2.05, which is comparable to the ASFYX Sharpe Ratio of 2.20. The chart below compares the historical Sharpe Ratios of ABYAX and ASFYX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	ABYAX	ASFYX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.05	2.20	-0.15
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.43	0.22	+0.21
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.41	0.23	+0.18
Sharpe Ratio (All Time) Calculated using the full available price history	0.48	0.35	+0.13

Drawdowns

ABYAX vs. ASFYX - Drawdown Comparison

The maximum ABYAX drawdown since its inception was -17.96%, smaller than the maximum ASFYX drawdown of -36.43%. Use the drawdown chart below to compare losses from any high point for ABYAX and ASFYX.

Drawdown Indicators

	ABYAX	ASFYX	Difference
Max Drawdown Largest peak-to-trough decline	-17.96%	-36.43%	+18.47%
Max Drawdown (1Y) Largest decline over 1 year	-2.87%	-5.24%	+2.37%
Max Drawdown (3Y) Largest decline over 3 years	-14.21%	-30.32%	+16.11%
Max Drawdown (5Y) Largest decline over 5 years	-15.23%	-36.43%	+21.20%
Max Drawdown (10Y) Largest decline over 10 years	-15.23%	-36.43%	+21.20%
Current Drawdown Current decline from peak	-0.99%	-18.22%	+17.23%
Average Drawdown Average peak-to-trough decline	-7.22%	-13.18%	+5.96%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.07%	1.45%	-0.38%

Volatility

ABYAX vs. ASFYX - Volatility Comparison

The current volatility for Abbey Capital Futures Strategy Fund Class A (ABYAX) is 2.04%, while AlphaSimplex Managed Futures Strategy Fund Class Y (ASFYX) has a volatility of 3.67%. This indicates that ABYAX experiences smaller price fluctuations and is considered to be less risky than ASFYX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	ABYAX	ASFYX	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.04%	3.67%	-1.63%
Volatility (6M) Calculated over the trailing 6-month period	5.85%	9.54%	-3.69%
Volatility (1Y) Calculated over the trailing 1-year period	7.68%	11.77%	-4.09%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	7.95%	13.77%	-5.82%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	8.00%	12.71%	-4.71%

ABYAX vs. ASFYX - Expense Ratio Comparison

ABYAX has a 2.04% expense ratio, which is higher than ASFYX's 1.47% expense ratio.

Dividends

ABYAX vs. ASFYX - Dividend Comparison

ABYAX's dividend yield for the trailing twelve months is around 1.18%, less than ASFYX's 1.32% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
ABYAX Abbey Capital Futures Strategy Fund Class A	1.18%	1.27%	1.68%	0.99%	15.33%	3.57%	1.36%	8.50%	0.00%	0.00%	0.00%	0.06%
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y	1.32%	1.52%	1.46%	0.99%	32.48%	6.07%	3.40%	5.51%	1.30%	0.07%	0.01%	5.06%

Frequently Asked Questions

Can I hold both ABYAX and ASFYX in my portfolio?

ABYAX and ASFYX have a correlation of 0.90, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ABYAX or ASFYX?

ASFYX has higher volatility (3.67%) compared to ABYAX (2.04%). In terms of maximum drawdown, ABYAX dropped -17.96% vs ASFYX's -36.43%.

Which has better risk-adjusted returns?

ASFYX currently has the higher Sharpe Ratio (2.20 vs 2.05), 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.