ABYIX vs. AMFAX
Compare and contrast key facts about Abbey Capital Futures Strategy Fund Class I (ABYIX) and AlphaSimplex Managed Futures Strategy Fund Class A (AMFAX).
ABYIX is managed by Abbey Capital. It was launched on Jul 1, 2014. AMFAX is managed by BlackRock. It was launched on Jul 30, 2010.
Performance
ABYIX vs. AMFAX - Performance Comparison
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ABYIX vs. AMFAX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
ABYIX Abbey Capital Futures Strategy Fund Class I | 4.62% | 1.62% | 1.11% | -3.29% | 17.06% | 3.39% | 7.92% | 8.84% | -6.15% | -0.09% |
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, ABYIX achieves a 4.62% return, which is significantly lower than AMFAX's 6.43% return. Over the past 10 years, ABYIX has outperformed AMFAX with an annualized return of 2.84%, while AMFAX has yielded a comparatively lower 1.54% annualized return.
ABYIX
- 1D
- 0.00%
- 1M
- -1.28%
- YTD
- 4.62%
- 6M
- 7.68%
- 1Y
- 8.38%
- 3Y*
- 2.42%
- 5Y*
- 3.73%
- 10Y*
- 2.84%
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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ABYIX vs. AMFAX - Expense Ratio Comparison
ABYIX has a 1.79% expense ratio, which is higher than AMFAX's 1.72% expense ratio.
Return for Risk
ABYIX vs. AMFAX — Risk / Return Rank
ABYIX
AMFAX
ABYIX vs. AMFAX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Abbey Capital Futures Strategy Fund Class I (ABYIX) 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.
| ABYIX | AMFAX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.06 | 0.15 | +0.91 |
Sortino ratioReturn per unit of downside risk | 1.51 | 0.27 | +1.24 |
Omega ratioGain probability vs. loss probability | 1.20 | 1.04 | +0.15 |
Calmar ratioReturn relative to maximum drawdown | 1.59 | 0.08 | +1.51 |
Martin ratioReturn relative to average drawdown | 3.20 | 0.13 | +3.08 |
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
| ABYIX | AMFAX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.06 | 0.15 | +0.91 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.47 | 0.15 | +0.32 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.36 | 0.12 | +0.23 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.53 | 0.28 | +0.25 |
Correlation
The correlation between ABYIX 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
ABYIX vs. AMFAX - Dividend Comparison
ABYIX's dividend yield for the trailing twelve months is around 1.27%, less than AMFAX's 1.73% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ABYIX Abbey Capital Futures Strategy Fund Class I | 1.27% | 1.33% | 2.10% | 2.03% | 15.24% | 3.68% | 1.54% | 8.70% | 0.14% | 0.00% | 0.00% | 0.24% |
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
ABYIX vs. AMFAX - Drawdown Comparison
The maximum ABYIX drawdown since its inception was -17.13%, smaller than the maximum AMFAX drawdown of -36.84%. Use the drawdown chart below to compare losses from any high point for ABYIX and AMFAX.
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Drawdown Indicators
| ABYIX | AMFAX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -17.13% | -36.84% | +19.71% |
Max Drawdown (1Y)Largest decline over 1 year | -4.36% | -13.54% | +9.18% |
Max Drawdown (5Y)Largest decline over 5 years | -14.66% | -36.84% | +22.18% |
Max Drawdown (10Y)Largest decline over 10 years | -14.74% | -36.84% | +22.10% |
Current DrawdownCurrent decline from peak | -3.02% | -25.04% | +22.02% |
Average DrawdownAverage peak-to-trough decline | -6.74% | -13.54% | +6.80% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.43% | 8.79% | -6.36% |
Volatility
ABYIX vs. AMFAX - Volatility Comparison
The current volatility for Abbey Capital Futures Strategy Fund Class I (ABYIX) is 1.96%, while AlphaSimplex Managed Futures Strategy Fund Class A (AMFAX) has a volatility of 3.94%. This indicates that ABYIX 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
| ABYIX | AMFAX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.96% | 3.94% | -1.98% |
Volatility (6M)Calculated over the trailing 6-month period | 6.43% | 10.02% | -3.59% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.65% | 13.06% | -5.41% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 8.01% | 13.68% | -5.67% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 8.00% | 12.67% | -4.67% |