AMFAX vs. EBSIX
Compare and contrast key facts about AlphaSimplex Managed Futures Strategy Fund Class A (AMFAX) and Campbell Systematic Macro Fund Class I Shares (EBSIX).
AMFAX is managed by Blackrock. It was launched on Jul 30, 2010. EBSIX is managed by Campbell & Company. It was launched on Mar 4, 2013.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: AMFAX or EBSIX.
Key characteristics
| AMFAX | EBSIX | |
|---|---|---|
| YTD Return | -3.77% | 8.44% |
| 1Y Return | -8.25% | 4.33% |
| 3Y Return (Ann) | -2.89% | 10.86% |
| 5Y Return (Ann) | 2.31% | 8.85% |
| 10Y Return (Ann) | -0.02% | 4.67% |
| Sharpe Ratio | -0.65 | 0.57 |
| Sortino Ratio | -0.76 | 0.84 |
| Omega Ratio | 0.90 | 1.11 |
| Calmar Ratio | -0.20 | 0.49 |
| Martin Ratio | -0.95 | 2.38 |
| Ulcer Index | 7.98% | 2.24% |
| Daily Std Dev | 11.73% | 9.32% |
| Max Drawdown | -37.95% | -30.10% |
| Current Drawdown | -36.57% | -2.89% |
Correlation
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 -3.77% return, which is significantly lower than EBSIX's 8.44% return. Over the past 10 years, AMFAX has underperformed EBSIX with an annualized return of -0.02%, while EBSIX has yielded a comparatively higher 4.67% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.
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AMFAX vs. EBSIX - Expense Ratio Comparison
AMFAX has a 1.72% expense ratio, which is lower than EBSIX's 1.75% expense ratio.
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.
Dividends
AMFAX vs. EBSIX - Dividend Comparison
AMFAX's dividend yield for the trailing twelve months is around 0.31%, less than EBSIX's 1.67% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|
AMFAX AlphaSimplex Managed Futures Strategy Fund Class A | 0.31% | 0.30% | 10.01% | 5.74% | 3.14% | 6.12% | 0.00% | 0.00% | 0.00% | 2.08% | 2.63% |
EBSIX Campbell Systematic Macro Fund Class I Shares | 1.67% | 1.81% | 2.34% | 6.61% | 0.00% | 10.31% | 14.06% | 0.00% | 0.00% | 2.09% | 6.01% |
Drawdowns
AMFAX vs. EBSIX - Drawdown Comparison
The maximum AMFAX drawdown since its inception was -37.95%, which is greater than EBSIX's maximum 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.
Volatility
AMFAX vs. EBSIX - Volatility Comparison
AlphaSimplex Managed Futures Strategy Fund Class A (AMFAX) has a higher volatility of 3.01% compared to Campbell Systematic Macro Fund Class I Shares (EBSIX) at 2.52%. 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.