ASFYX vs. ABYIX
Compare and contrast key facts about AlphaSimplex Managed Futures Strategy Fund Class Y (ASFYX) and Abbey Capital Futures Strategy Fund Class I (ABYIX).
ASFYX is managed by Blackrock. It was launched on Jul 30, 2010. ABYIX is managed by Abbey Capital. It was launched on Jul 1, 2014.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ASFYX or ABYIX.
Performance
ASFYX vs. ABYIX - Performance Comparison
Returns By Period
In the year-to-date period, ASFYX achieves a -3.62% return, which is significantly lower than ABYIX's -0.09% return. Over the past 10 years, ASFYX has outperformed ABYIX with an annualized return of 3.37%, while ABYIX has yielded a comparatively lower 3.12% annualized return.
ASFYX
-3.62%
-0.23%
-13.57%
-5.17%
6.61%
3.37%
ABYIX
-0.09%
0.27%
-8.56%
-1.18%
4.70%
3.12%
Key characteristics
| ASFYX | ABYIX | |
|---|---|---|
| Sharpe Ratio | -0.47 | -0.16 |
| Sortino Ratio | -0.54 | -0.17 |
| Omega Ratio | 0.93 | 0.98 |
| Calmar Ratio | -0.23 | -0.12 |
| Martin Ratio | -0.67 | -0.26 |
| Ulcer Index | 8.04% | 5.26% |
| Daily Std Dev | 11.34% | 8.23% |
| Max Drawdown | -27.99% | -17.13% |
| Current Drawdown | -21.72% | -9.86% |
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ASFYX vs. ABYIX - Expense Ratio Comparison
ASFYX has a 1.47% expense ratio, which is lower than ABYIX's 1.79% expense ratio.
Correlation
The correlation between ASFYX and ABYIX 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.
Risk-Adjusted Performance
ASFYX vs. ABYIX - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for AlphaSimplex Managed Futures Strategy Fund Class Y (ASFYX) and Abbey Capital Futures Strategy Fund Class I (ABYIX). 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
ASFYX vs. ABYIX - Dividend Comparison
ASFYX's dividend yield for the trailing twelve months is around 1.02%, less than ABYIX's 2.03% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y | 1.02% | 0.98% | 32.48% | 6.07% | 3.40% | 5.51% | 1.30% | 0.07% | 0.01% | 5.06% | 13.64% | 0.00% |
ABYIX Abbey Capital Futures Strategy Fund Class I | 2.03% | 2.02% | 9.55% | 2.52% | 1.55% | 6.11% | 0.14% | 0.00% | 0.00% | 0.24% | 1.87% | 0.00% |
Drawdowns
ASFYX vs. ABYIX - Drawdown Comparison
The maximum ASFYX drawdown since its inception was -27.99%, which is greater than ABYIX's maximum drawdown of -17.13%. Use the drawdown chart below to compare losses from any high point for ASFYX and ABYIX. For additional features, visit the drawdowns tool.
Volatility
ASFYX vs. ABYIX - Volatility Comparison
AlphaSimplex Managed Futures Strategy Fund Class Y (ASFYX) has a higher volatility of 2.92% compared to Abbey Capital Futures Strategy Fund Class I (ABYIX) at 2.17%. This indicates that ASFYX's price experiences larger fluctuations and is considered to be riskier than ABYIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.