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

Key characteristics


AMFAXEBSIX
YTD Return5.32%5.89%
1Y Return-0.53%-0.32%
3Y Return (Ann)7.35%10.97%
5Y Return (Ann)8.56%8.73%
10Y Return (Ann)5.17%6.04%
Sharpe Ratio0.01-0.01
Daily Std Dev10.81%9.03%
Max Drawdown-28.58%-30.10%
Current Drawdown-14.78%-4.45%

Correlation

-0.50.00.51.00.7

The correlation between AMFAX and EBSIX is 0.65, 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.

Performance

AMFAX vs. EBSIX - Performance Comparison

In the year-to-date period, AMFAX achieves a 5.32% return, which is significantly lower than EBSIX's 5.89% return. Over the past 10 years, AMFAX has underperformed EBSIX with an annualized return of 5.17%, while EBSIX has yielded a comparatively higher 6.04% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


60.00%70.00%80.00%90.00%100.00%2024FebruaryMarchAprilMayJune
91.80%
75.11%
AMFAX
EBSIX

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AlphaSimplex Managed Futures Strategy Fund Class A

Campbell Systematic Macro Fund Class I Shares

AMFAX vs. EBSIX - Expense Ratio Comparison

AMFAX has a 1.72% expense ratio, which is lower than EBSIX's 1.75% expense ratio.


EBSIX
Campbell Systematic Macro Fund Class I Shares
Expense ratio chart for EBSIX: current value at 1.75% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.75%
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%

Risk-Adjusted Performance

AMFAX vs. EBSIX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for AlphaSimplex Managed Futures Strategy Fund Class A (AMFAX) and Campbell Systematic Macro Fund Class I Shares (EBSIX). 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
EBSIX
Sharpe ratio
The chart of Sharpe ratio for EBSIX, currently valued at -0.01, compared to the broader market-1.000.001.002.003.004.00-0.01
Sortino ratio
The chart of Sortino ratio for EBSIX, currently valued at 0.04, compared to the broader market-2.000.002.004.006.008.0010.0012.000.04
Omega ratio
The chart of Omega ratio for EBSIX, currently valued at 1.01, compared to the broader market1.002.003.004.001.01
Calmar ratio
The chart of Calmar ratio for EBSIX, currently valued at -0.01, compared to the broader market0.005.0010.0015.00-0.01
Martin ratio
The chart of Martin ratio for EBSIX, currently valued at -0.02, compared to the broader market0.0020.0040.0060.0080.00-0.02

AMFAX vs. EBSIX - Sharpe Ratio Comparison

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


Rolling 12-month Sharpe Ratio-1.00-0.500.000.501.002024FebruaryMarchAprilMayJune
0.01
-0.01
AMFAX
EBSIX

Dividends

AMFAX vs. EBSIX - Dividend Comparison

AMFAX's dividend yield for the trailing twelve months is around 0.29%, less than EBSIX's 1.71% 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%
EBSIX
Campbell Systematic Macro Fund Class I Shares
1.71%1.82%15.10%7.73%0.00%18.49%14.06%0.00%0.00%2.09%6.01%

Drawdowns

AMFAX vs. EBSIX - Drawdown Comparison

The maximum AMFAX drawdown since its inception was -28.58%, smaller than the maximum EBSIX drawdown of -30.10%. Use the drawdown chart below to compare losses from any high point for AMFAX and EBSIX. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%2024FebruaryMarchAprilMayJune
-14.78%
-4.45%
AMFAX
EBSIX

Volatility

AMFAX vs. EBSIX - Volatility Comparison

AlphaSimplex Managed Futures Strategy Fund Class A (AMFAX) has a higher volatility of 4.44% compared to Campbell Systematic Macro Fund Class I Shares (EBSIX) at 2.06%. This indicates that AMFAX's price experiences larger fluctuations and is considered to be riskier than EBSIX based on this measure. 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%
2.06%
AMFAX
EBSIX