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AMFAX vs. ASFYX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


AMFAXASFYX
YTD Return5.32%5.48%
1Y Return-0.53%-0.26%
3Y Return (Ann)7.35%7.63%
5Y Return (Ann)8.56%8.86%
10Y Return (Ann)5.17%5.35%
Sharpe Ratio0.010.03
Daily Std Dev10.81%10.77%
Max Drawdown-28.58%-28.00%
Current Drawdown-14.78%-14.38%

Correlation

-0.50.00.51.01.0

The correlation between AMFAX and ASFYX is 0.99, 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.

Performance

AMFAX vs. ASFYX - Performance Comparison

The year-to-date returns for both investments are quite close, with AMFAX having a 5.32% return and ASFYX slightly higher at 5.48%. Both investments have delivered pretty close results over the past 10 years, with AMFAX having a 5.17% annualized return and ASFYX not far ahead at 5.35%. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


0.00%5.00%10.00%2024FebruaryMarchAprilMayJune
4.96%
5.14%
AMFAX
ASFYX

Compare stocks, funds, or ETFs

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


AlphaSimplex Managed Futures Strategy Fund Class A

AlphaSimplex Managed Futures Strategy Fund Class Y

AMFAX vs. ASFYX - Expense Ratio Comparison

AMFAX has a 1.72% expense ratio, which is higher than ASFYX's 1.47% expense ratio.


AMFAX
AlphaSimplex Managed Futures Strategy Fund Class A
Expense ratio chart for AMFAX: current value at 1.72% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.72%
Expense ratio chart for ASFYX: current value at 1.47% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.47%

Risk-Adjusted Performance

AMFAX vs. ASFYX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for AlphaSimplex Managed Futures Strategy Fund Class A (AMFAX) 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.


AMFAX
Sharpe ratio
The chart of Sharpe ratio for AMFAX, currently valued at 0.01, compared to the broader market-1.000.001.002.003.004.000.01
Sortino ratio
The chart of Sortino ratio for AMFAX, currently valued at 0.08, compared to the broader market-2.000.002.004.006.008.0010.0012.000.08
Omega ratio
The chart of Omega ratio for AMFAX, currently valued at 1.01, compared to the broader market1.002.003.004.001.01
Calmar ratio
The chart of Calmar ratio for AMFAX, currently valued at 0.00, compared to the broader market0.005.0010.0015.000.00
Martin ratio
The chart of Martin ratio for AMFAX, currently valued at 0.02, compared to the broader market0.0020.0040.0060.0080.000.02
ASFYX
Sharpe ratio
The chart of Sharpe ratio for ASFYX, currently valued at 0.03, compared to the broader market-1.000.001.002.003.004.000.03
Sortino ratio
The chart of Sortino ratio for ASFYX, currently valued at 0.12, compared to the broader market-2.000.002.004.006.008.0010.0012.000.12
Omega ratio
The chart of Omega ratio for ASFYX, currently valued at 1.01, compared to the broader market1.002.003.004.001.01
Calmar ratio
The chart of Calmar ratio for ASFYX, currently valued at 0.02, compared to the broader market0.005.0010.0015.000.02
Martin ratio
The chart of Martin ratio for ASFYX, currently valued at 0.08, compared to the broader market0.0020.0040.0060.0080.000.08

AMFAX vs. ASFYX - Sharpe Ratio Comparison

The current AMFAX Sharpe Ratio is 0.01, which is lower than the ASFYX Sharpe Ratio of 0.03. The chart below compares the 12-month rolling Sharpe Ratio of AMFAX and ASFYX.


Rolling 12-month Sharpe Ratio-1.00-0.500.000.501.002024FebruaryMarchAprilMayJune
0.01
0.03
AMFAX
ASFYX

Dividends

AMFAX vs. ASFYX - Dividend Comparison

AMFAX's dividend yield for the trailing twelve months is around 0.29%, less than ASFYX's 0.93% yield.


TTM2023202220212020201920182017201620152014
AMFAX
AlphaSimplex Managed Futures Strategy Fund Class A
0.29%0.30%32.70%5.74%3.14%6.12%1.31%0.00%0.00%4.92%13.32%
ASFYX
AlphaSimplex Managed Futures Strategy Fund Class Y
0.93%0.98%32.48%6.07%3.40%5.51%1.30%0.07%0.01%5.06%13.52%

Drawdowns

AMFAX vs. ASFYX - Drawdown Comparison

The maximum AMFAX drawdown since its inception was -28.58%, roughly equal to the maximum ASFYX drawdown of -28.00%. Use the drawdown chart below to compare losses from any high point for AMFAX and ASFYX. For additional features, visit the drawdowns tool.


-20.00%-18.00%-16.00%-14.00%-12.00%-10.00%-8.00%2024FebruaryMarchAprilMayJune
-14.78%
-14.38%
AMFAX
ASFYX

Volatility

AMFAX vs. ASFYX - Volatility Comparison

AlphaSimplex Managed Futures Strategy Fund Class A (AMFAX) and AlphaSimplex Managed Futures Strategy Fund Class Y (ASFYX) have volatilities of 4.44% and 4.38%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


2.00%2.50%3.00%3.50%4.00%4.50%2024FebruaryMarchAprilMayJune
4.44%
4.38%
AMFAX
ASFYX