AMFAX vs. ABYAX
Compare and contrast key facts about AlphaSimplex Managed Futures Strategy Fund Class A (AMFAX) and Abbey Capital Futures Strategy Fund Class A (ABYAX).
AMFAX is managed by BlackRock. It was launched on Jul 30, 2010. ABYAX is managed by Abbey Capital. It was launched on Aug 29, 2014.
Performance
AMFAX vs. ABYAX - Performance Comparison
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AMFAX vs. ABYAX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
AMFAX AlphaSimplex Managed Futures Strategy Fund Class A | 6.69% | -9.75% | -3.56% | -10.59% | 35.38% | 3.28% | 13.29% | 8.03% | -12.87% | 6.54% |
ABYAX Abbey Capital Futures Strategy Fund Class A | 4.46% | 1.47% | 0.77% | -3.55% | 16.76% | 3.19% | 7.59% | 8.65% | -6.49% | -0.26% |
Returns By Period
In the year-to-date period, AMFAX achieves a 6.69% return, which is significantly higher than ABYAX's 4.46% return. Over the past 10 years, AMFAX has underperformed ABYAX with an annualized return of 1.57%, while ABYAX has yielded a comparatively higher 2.58% annualized return.
AMFAX
- 1D
- 0.25%
- 1M
- -0.85%
- YTD
- 6.69%
- 6M
- 10.56%
- 1Y
- 3.12%
- 3Y*
- -3.09%
- 5Y*
- 2.04%
- 10Y*
- 1.57%
ABYAX
- 1D
- 0.00%
- 1M
- -1.38%
- YTD
- 4.46%
- 6M
- 7.57%
- 1Y
- 8.17%
- 3Y*
- 2.13%
- 5Y*
- 3.46%
- 10Y*
- 2.58%
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AMFAX vs. ABYAX - Expense Ratio Comparison
AMFAX has a 1.72% expense ratio, which is lower than ABYAX's 2.04% expense ratio.
Return for Risk
AMFAX vs. ABYAX — Risk / Return Rank
AMFAX
ABYAX
AMFAX vs. ABYAX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AlphaSimplex Managed Futures Strategy Fund Class A (AMFAX) and Abbey Capital Futures Strategy Fund Class A (ABYAX). 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.
| AMFAX | ABYAX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.26 | 1.02 | -0.76 |
Sortino ratioReturn per unit of downside risk | 0.40 | 1.45 | -1.05 |
Omega ratioGain probability vs. loss probability | 1.06 | 1.19 | -0.13 |
Calmar ratioReturn relative to maximum drawdown | 0.16 | 1.54 | -1.37 |
Martin ratioReturn relative to average drawdown | 0.27 | 3.04 | -2.77 |
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
| AMFAX | ABYAX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.26 | 1.02 | -0.76 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.15 | 0.44 | -0.29 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.12 | 0.32 | -0.20 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.29 | 0.45 | -0.17 |
Correlation
The correlation between AMFAX and ABYAX 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
AMFAX vs. ABYAX - Dividend Comparison
AMFAX's dividend yield for the trailing twelve months is around 1.72%, more than ABYAX's 1.22% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
AMFAX AlphaSimplex Managed Futures Strategy Fund Class A | 1.72% | 1.84% | 1.28% | 0.30% | 32.70% | 5.74% | 3.14% | 4.71% | 1.31% | 0.00% | 0.00% | 4.92% |
ABYAX Abbey Capital Futures Strategy Fund Class A | 1.22% | 1.27% | 1.68% | 0.99% | 15.33% | 3.57% | 1.36% | 8.50% | 0.00% | 0.00% | 0.00% | 0.06% |
Drawdowns
AMFAX vs. ABYAX - Drawdown Comparison
The maximum AMFAX drawdown since its inception was -36.84%, which is greater than ABYAX's maximum drawdown of -17.96%. Use the drawdown chart below to compare losses from any high point for AMFAX and ABYAX.
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Drawdown Indicators
| AMFAX | ABYAX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -36.84% | -17.96% | -18.88% |
Max Drawdown (1Y)Largest decline over 1 year | -13.54% | -4.30% | -9.24% |
Max Drawdown (5Y)Largest decline over 5 years | -36.84% | -15.23% | -21.61% |
Max Drawdown (10Y)Largest decline over 10 years | -36.84% | -15.23% | -21.61% |
Current DrawdownCurrent decline from peak | -24.86% | -3.92% | -20.94% |
Average DrawdownAverage peak-to-trough decline | -13.55% | -7.30% | -6.25% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 8.33% | 2.49% | +5.84% |
Volatility
AMFAX vs. ABYAX - Volatility Comparison
AlphaSimplex Managed Futures Strategy Fund Class A (AMFAX) has a higher volatility of 3.91% compared to Abbey Capital Futures Strategy Fund Class A (ABYAX) at 1.85%. This indicates that AMFAX's price experiences larger fluctuations and is considered to be riskier than ABYAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| AMFAX | ABYAX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.91% | 1.85% | +2.06% |
Volatility (6M)Calculated over the trailing 6-month period | 10.01% | 6.40% | +3.61% |
Volatility (1Y)Calculated over the trailing 1-year period | 13.03% | 7.63% | +5.40% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 13.68% | 7.98% | +5.70% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 12.67% | 7.98% | +4.69% |