ABYIX vs. EVOIX

Last updated Jun 4, 2026

ABYIX (Abbey Capital Futures Strategy Fund Class I) and EVOIX (Altegris Futures Evolution Strategy Fund) are both Systematic Trend funds. Over the past 10 years, ABYIX returned 3.54%/yr vs 3.58%/yr for EVOIX. Their correlation of 0.80 suggests significant overlap in exposure. ABYIX charges 1.79%/yr vs 1.34%/yr for EVOIX.

Performance

ABYIX vs. EVOIX - Performance Comparison

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

Returns By Period

In the year-to-date period, ABYIX achieves a 7.88% return, which is significantly lower than EVOIX's 8.67% return. Both investments have delivered pretty close results over the past 10 years, with ABYIX having a 3.54% annualized return and EVOIX not far ahead at 3.58%.

ABYIX

• 1D: 0.25%
• 1M: 0.93%
• YTD: 7.88%
• 6M: 9.03%
• 1Y: 16.05%
• 3Y*: 2.75%
• 5Y*: 3.73%
• 10Y*: 3.54%

EVOIX

• 1D: -0.15%
• 1M: 0.74%
• YTD: 8.67%
• 6M: 11.53%
• 1Y: 25.40%
• 3Y*: 6.11%
• 5Y*: 7.17%
• 10Y*: 3.58%

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

ABYIX vs. EVOIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
ABYIX Abbey Capital Futures Strategy Fund Class I	7.88%	1.62%	1.11%	-3.29%	17.06%	3.39%	7.92%	8.84%	-6.15%	-0.09%
EVOIX Altegris Futures Evolution Strategy Fund	8.67%	4.69%	3.86%	5.03%	12.84%	12.20%	-12.94%	4.22%	-7.58%	9.09%

Correlation

The correlation between ABYIX and EVOIX is 0.86, 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	0.86
Correlation (3Y) Calculated over the trailing 3-year period	0.82
Correlation (5Y) Calculated over the trailing 5-year period	0.84
Correlation (10Y) Calculated over the trailing 10-year period	0.80
Correlation (All Time) Calculated using the full available price history since Jul 7, 2014	0.80

The correlation between ABYIX and EVOIX has been stable across timeframes, ranging from 0.80 to 0.86 - a consistent structural relationship.

Return for Risk

ABYIX vs. EVOIX — Risk / Return Rank

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

ABYIX

ABYIX Risk / Return Rank: 64
ABYIX Sharpe Ratio Rank: 50
ABYIX Sortino Ratio Rank: 47
ABYIX Omega Ratio Rank: 49
ABYIX Calmar Ratio Rank: 94
ABYIX Martin Ratio Rank: 81

EVOIX

EVOIX Risk / Return Rank: 75
EVOIX Sharpe Ratio Rank: 75
EVOIX Sortino Ratio Rank: 61
EVOIX Omega Ratio Rank: 65
EVOIX Calmar Ratio Rank: 91
EVOIX Martin Ratio Rank: 82

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.

ABYIX vs. EVOIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Abbey Capital Futures Strategy Fund Class I (ABYIX) and Altegris Futures Evolution Strategy Fund (EVOIX). 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	EVOIX	Difference
Sharpe ratio: Return per unit of total volatility	2.08	2.50	-0.42
Sortino ratio: Return per unit of downside risk	2.89	3.29	-0.40
Omega ratio: Gain probability vs. loss probability	1.38	1.45	-0.07
Calmar ratio: Return relative to maximum drawdown	5.61	4.76	+0.85
Martin ratio: Return relative to average drawdown	15.20	15.43	-0.23
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

ABYIX vs. EVOIX - Sharpe Ratio Comparison

The current ABYIX Sharpe Ratio is 2.08, which is comparable to the EVOIX Sharpe Ratio of 2.50. The chart below compares the historical Sharpe Ratios of ABYIX and EVOIX, 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

	ABYIX	EVOIX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.08	2.50	-0.42
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.47	0.74	-0.27
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.44	0.34	+0.10
Sharpe Ratio (All Time) Calculated using the full available price history	0.56	0.41	+0.14

Drawdowns

ABYIX vs. EVOIX - Drawdown Comparison

The maximum ABYIX drawdown since its inception was -17.13%, smaller than the maximum EVOIX drawdown of -29.57%. Use the drawdown chart below to compare losses from any high point for ABYIX and EVOIX.

Drawdown Indicators

	ABYIX	EVOIX	Difference
Max Drawdown Largest peak-to-trough decline	-17.13%	-29.57%	+12.44%
Max Drawdown (1Y) Largest decline over 1 year	-2.85%	-5.32%	+2.47%
Max Drawdown (3Y) Largest decline over 3 years	-14.00%	-18.80%	+4.80%
Max Drawdown (5Y) Largest decline over 5 years	-14.66%	-18.80%	+4.14%
Max Drawdown (10Y) Largest decline over 10 years	-14.74%	-29.57%	+14.83%
Current Drawdown Current decline from peak	-0.83%	-1.60%	+0.77%
Average Drawdown Average peak-to-trough decline	-6.66%	-8.16%	+1.50%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.05%	1.64%	-0.59%

Volatility

ABYIX vs. EVOIX - Volatility Comparison

The current volatility for Abbey Capital Futures Strategy Fund Class I (ABYIX) is 2.10%, while Altegris Futures Evolution Strategy Fund (EVOIX) has a volatility of 2.95%. This indicates that ABYIX experiences smaller price fluctuations and is considered to be less risky than EVOIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	ABYIX	EVOIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.10%	2.95%	-0.85%
Volatility (6M) Calculated over the trailing 6-month period	5.91%	7.79%	-1.88%
Volatility (1Y) Calculated over the trailing 1-year period	7.69%	10.13%	-2.44%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	7.99%	9.73%	-1.74%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	8.02%	10.49%	-2.47%

ABYIX vs. EVOIX - Expense Ratio Comparison

ABYIX has a 1.79% expense ratio, which is higher than EVOIX's 1.34% expense ratio.

Dividends

ABYIX vs. EVOIX - Dividend Comparison

ABYIX's dividend yield for the trailing twelve months is around 1.23%, less than EVOIX's 9.37% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
ABYIX Abbey Capital Futures Strategy Fund Class I	1.23%	1.33%	2.10%	2.03%	15.24%	3.68%	1.54%	8.70%	0.14%	0.00%	0.00%	0.24%
EVOIX Altegris Futures Evolution Strategy Fund	9.37%	11.11%	10.09%	1.71%	34.87%	9.73%	2.23%	1.63%	5.52%	1.57%	7.27%	9.05%

Frequently Asked Questions

Can I hold both ABYIX and EVOIX in my portfolio?

ABYIX and EVOIX have a correlation of 0.86, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ABYIX or EVOIX?

EVOIX has higher volatility (2.95%) compared to ABYIX (2.10%). In terms of maximum drawdown, ABYIX dropped -17.13% vs EVOIX's -29.57%.

Which has better risk-adjusted returns?

EVOIX currently has the higher Sharpe Ratio (2.50 vs 2.08), 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.