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ABYIX vs. DBMF
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between ABYIX and DBMF is 0.63, which is considered to be moderate. This suggests that the two assets have some degree of positive relationship in their price movements. Moderate correlation can be acceptable for portfolio diversification, offering a balance between risk and potential returns.


-0.50.00.51.00.6

Performance

ABYIX vs. DBMF - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Abbey Capital Futures Strategy Fund Class I (ABYIX) and iM DBi Managed Futures Strategy ETF (DBMF). The values are adjusted to include any dividend payments, if applicable.

30.00%40.00%50.00%60.00%70.00%JulyAugustSeptemberOctoberNovemberDecember
30.72%
48.39%
ABYIX
DBMF

Key characteristics

Sharpe Ratio

ABYIX:

-0.17

DBMF:

0.59

Sortino Ratio

ABYIX:

-0.17

DBMF:

0.85

Omega Ratio

ABYIX:

0.98

DBMF:

1.11

Calmar Ratio

ABYIX:

-0.11

DBMF:

0.36

Martin Ratio

ABYIX:

-0.23

DBMF:

1.03

Ulcer Index

ABYIX:

5.90%

DBMF:

6.17%

Daily Std Dev

ABYIX:

7.96%

DBMF:

10.82%

Max Drawdown

ABYIX:

-17.13%

DBMF:

-20.39%

Current Drawdown

ABYIX:

-10.91%

DBMF:

-12.41%

Returns By Period

In the year-to-date period, ABYIX achieves a -1.26% return, which is significantly lower than DBMF's 6.68% return.


ABYIX

YTD

-1.26%

1M

-1.17%

6M

-6.39%

1Y

-1.35%

5Y*

4.43%

10Y*

2.55%

DBMF

YTD

6.68%

1M

-0.74%

6M

-8.78%

1Y

6.63%

5Y*

6.12%

10Y*

N/A

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


ABYIX vs. DBMF - Expense Ratio Comparison

ABYIX has a 1.79% expense ratio, which is higher than DBMF's 0.85% expense ratio.


ABYIX
Abbey Capital Futures Strategy Fund Class I
Expense ratio chart for ABYIX: current value at 1.79% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.79%
Expense ratio chart for DBMF: current value at 0.85% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.85%

Risk-Adjusted Performance

ABYIX vs. DBMF - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Abbey Capital Futures Strategy Fund Class I (ABYIX) and iM DBi Managed Futures Strategy ETF (DBMF). 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.


Sharpe ratio
The chart of Sharpe ratio for ABYIX, currently valued at -0.17, compared to the broader market-1.000.001.002.003.004.00-0.170.59
The chart of Sortino ratio for ABYIX, currently valued at -0.17, compared to the broader market-2.000.002.004.006.008.0010.00-0.170.85
The chart of Omega ratio for ABYIX, currently valued at 0.98, compared to the broader market0.501.001.502.002.503.003.500.981.11
The chart of Calmar ratio for ABYIX, currently valued at -0.11, compared to the broader market0.002.004.006.008.0010.0012.0014.00-0.110.36
The chart of Martin ratio for ABYIX, currently valued at -0.23, compared to the broader market0.0020.0040.0060.00-0.231.03
ABYIX
DBMF

The current ABYIX Sharpe Ratio is -0.17, which is lower than the DBMF Sharpe Ratio of 0.59. The chart below compares the historical Sharpe Ratios of ABYIX and DBMF, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio-1.00-0.500.000.501.001.50JulyAugustSeptemberOctoberNovemberDecember
-0.17
0.59
ABYIX
DBMF

Dividends

ABYIX vs. DBMF - Dividend Comparison

ABYIX has not paid dividends to shareholders, while DBMF's dividend yield for the trailing twelve months is around 5.26%.


TTM2023202220212020201920182017201620152014
ABYIX
Abbey Capital Futures Strategy Fund Class I
0.00%2.02%9.55%2.52%1.55%6.11%0.14%0.00%0.00%0.24%1.87%
DBMF
iM DBi Managed Futures Strategy ETF
5.26%2.91%7.72%10.38%0.86%9.35%0.00%0.00%0.00%0.00%0.00%

Drawdowns

ABYIX vs. DBMF - Drawdown Comparison

The maximum ABYIX drawdown since its inception was -17.13%, smaller than the maximum DBMF drawdown of -20.39%. Use the drawdown chart below to compare losses from any high point for ABYIX and DBMF. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%JulyAugustSeptemberOctoberNovemberDecember
-10.91%
-12.41%
ABYIX
DBMF

Volatility

ABYIX vs. DBMF - Volatility Comparison

Abbey Capital Futures Strategy Fund Class I (ABYIX) has a higher volatility of 3.15% compared to iM DBi Managed Futures Strategy ETF (DBMF) at 2.14%. This indicates that ABYIX's price experiences larger fluctuations and is considered to be riskier than DBMF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%JulyAugustSeptemberOctoberNovemberDecember
3.15%
2.14%
ABYIX
DBMF
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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