ABYIX vs. ASFYX
Compare and contrast key facts about Abbey Capital Futures Strategy Fund Class I (ABYIX) and AlphaSimplex Managed Futures Strategy Fund Class Y (ASFYX).
ABYIX is managed by Abbey Capital. It was launched on Jul 1, 2014. ASFYX is managed by Blackrock. It was launched on Jul 30, 2010.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ABYIX or ASFYX.
Performance
ABYIX vs. ASFYX - Performance Comparison
Returns By Period
In the year-to-date period, ABYIX achieves a -0.45% return, which is significantly higher than ASFYX's -4.28% return. Over the past 10 years, ABYIX has underperformed ASFYX with an annualized return of 3.08%, while ASFYX has yielded a comparatively higher 3.31% annualized return.
ABYIX
-0.45%
-0.63%
-9.41%
-1.71%
4.67%
3.08%
ASFYX
-4.28%
-1.80%
-14.66%
-6.02%
6.49%
3.31%
Key characteristics
| ABYIX | ASFYX | |
|---|---|---|
| Sharpe Ratio | -0.25 | -0.56 |
| Sortino Ratio | -0.28 | -0.66 |
| Omega Ratio | 0.96 | 0.92 |
| Calmar Ratio | -0.18 | -0.27 |
| Martin Ratio | -0.39 | -0.79 |
| Ulcer Index | 5.22% | 7.99% |
| Daily Std Dev | 8.23% | 11.33% |
| Max Drawdown | -17.13% | -27.99% |
| Current Drawdown | -10.18% | -22.25% |
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ABYIX vs. ASFYX - Expense Ratio Comparison
ABYIX has a 1.79% expense ratio, which is higher than ASFYX's 1.47% expense ratio.
Correlation
The correlation between ABYIX and ASFYX 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.
Risk-Adjusted Performance
ABYIX vs. ASFYX - Risk-Adjusted Performance 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 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.
Dividends
ABYIX vs. ASFYX - Dividend Comparison
ABYIX's dividend yield for the trailing twelve months is around 2.03%, more than ASFYX's 1.03% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ABYIX Abbey Capital Futures Strategy Fund Class I | 2.03% | 2.02% | 9.55% | 2.52% | 1.55% | 6.11% | 0.14% | 0.00% | 0.00% | 0.24% | 1.87% | 0.00% |
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y | 1.03% | 0.98% | 32.48% | 6.07% | 3.40% | 5.51% | 1.30% | 0.07% | 0.01% | 5.06% | 13.64% | 0.00% |
Drawdowns
ABYIX vs. ASFYX - Drawdown Comparison
The maximum ABYIX drawdown since its inception was -17.13%, smaller than the maximum ASFYX drawdown of -27.99%. Use the drawdown chart below to compare losses from any high point for ABYIX and ASFYX. For additional features, visit the drawdowns tool.
Volatility
ABYIX vs. ASFYX - Volatility Comparison
The current volatility for Abbey Capital Futures Strategy Fund Class I (ABYIX) is 2.15%, while AlphaSimplex Managed Futures Strategy Fund Class Y (ASFYX) has a volatility of 2.84%. This indicates that ABYIX 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.