ASFYX vs. DBC
Compare and contrast key facts about AlphaSimplex Managed Futures Strategy Fund Class Y (ASFYX) and Invesco DB Commodity Index Tracking Fund (DBC).
ASFYX is managed by Blackrock. It was launched on Jul 30, 2010. DBC is a passively managed fund by Invesco that tracks the performance of the DBIQ Optimum Yield Diversified Commodity Index Excess Return. It was launched on Feb 3, 2006.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ASFYX or DBC.
Key characteristics
| ASFYX | DBC | |
|---|---|---|
| YTD Return | 11.18% | 5.90% |
| 1Y Return | 7.33% | 4.83% |
| 3Y Return (Ann) | 9.31% | 11.24% |
| 5Y Return (Ann) | 10.51% | 9.58% |
| 10Y Return (Ann) | 6.35% | -0.36% |
| Sharpe Ratio | 0.77 | 0.28 |
| Daily Std Dev | 9.65% | 14.17% |
| Max Drawdown | -28.00% | -76.36% |
| Current Drawdown | -9.76% | -44.55% |
Correlation
The correlation between ASFYX and DBC is 0.08, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.
Performance
ASFYX vs. DBC - Performance Comparison
In the year-to-date period, ASFYX achieves a 11.18% return, which is significantly higher than DBC's 5.90% return. Over the past 10 years, ASFYX has outperformed DBC with an annualized return of 6.35%, while DBC has yielded a comparatively lower -0.36% 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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ASFYX vs. DBC - Expense Ratio Comparison
ASFYX has a 1.47% expense ratio, which is higher than DBC's 0.85% expense ratio.
Risk-Adjusted Performance
ASFYX vs. DBC - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for AlphaSimplex Managed Futures Strategy Fund Class Y (ASFYX) and Invesco DB Commodity Index Tracking Fund (DBC). 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. DBC - Dividend Comparison
ASFYX's dividend yield for the trailing twelve months is around 0.89%, less than DBC's 4.67% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y | 0.89% | 0.98% | 32.48% | 6.07% | 3.40% | 5.51% | 1.30% | 0.07% | 0.01% | 5.06% | 13.52% |
DBC Invesco DB Commodity Index Tracking Fund | 4.67% | 4.94% | 0.59% | 0.00% | 0.00% | 1.59% | 1.30% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
ASFYX vs. DBC - Drawdown Comparison
The maximum ASFYX drawdown since its inception was -28.00%, smaller than the maximum DBC drawdown of -76.36%. Use the drawdown chart below to compare losses from any high point for ASFYX and DBC. For additional features, visit the drawdowns tool.
Volatility
ASFYX vs. DBC - Volatility Comparison
AlphaSimplex Managed Futures Strategy Fund Class Y (ASFYX) and Invesco DB Commodity Index Tracking Fund (DBC) have volatilities of 2.98% and 2.90%, 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.