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.
Performance
ASFYX vs. DBC - Performance Comparison
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ASFYX vs. DBC - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y | 6.72% | -9.67% | -3.22% | -10.33% | 35.67% | 3.52% | 13.59% | 8.99% | -12.59% | 6.78% |
DBC Invesco DB Commodity Index Tracking Fund | 28.26% | 8.10% | 2.18% | -6.19% | 19.34% | 41.36% | -7.84% | 11.84% | -11.63% | 4.86% |
Returns By Period
In the year-to-date period, ASFYX achieves a 6.72% return, which is significantly lower than DBC's 28.26% return. Over the past 10 years, ASFYX has underperformed DBC with an annualized return of 1.88%, while DBC has yielded a comparatively higher 10.02% annualized return.
ASFYX
- 1D
- 0.12%
- 1M
- -0.84%
- YTD
- 6.72%
- 6M
- 10.49%
- 1Y
- 3.28%
- 3Y*
- -2.85%
- 5Y*
- 2.28%
- 10Y*
- 1.88%
DBC
- 1D
- -0.93%
- 1M
- 11.12%
- YTD
- 28.26%
- 6M
- 31.82%
- 1Y
- 31.70%
- 3Y*
- 11.34%
- 5Y*
- 14.31%
- 10Y*
- 10.02%
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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.
Return for Risk
ASFYX vs. DBC — Risk / Return Rank
ASFYX
DBC
ASFYX vs. DBC - Risk-Adjusted Trends 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.
| ASFYX | DBC | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 0.27 | 1.70 | -1.42 |
Sortino ratioReturn per unit of downside risk | 0.42 | 2.28 | -1.86 |
Omega ratioGain probability vs. loss probability | 1.06 | 1.31 | -0.24 |
Calmar ratioReturn relative to maximum drawdown | 0.18 | 2.89 | -2.71 |
Martin ratioReturn relative to average drawdown | 0.29 | 7.43 | -7.14 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| ASFYX | DBC | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 0.27 | 1.70 | -1.42 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.17 | 0.76 | -0.59 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.15 | 0.57 | -0.42 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.31 | 0.10 | +0.21 |
Correlation
The correlation between ASFYX and DBC is 0.10, 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.
Dividends
ASFYX vs. DBC - Dividend Comparison
ASFYX's dividend yield for the trailing twelve months is around 1.42%, less than DBC's 2.59% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y | 1.42% | 1.52% | 1.46% | 0.99% | 32.48% | 6.07% | 3.40% | 5.51% | 1.30% | 0.07% | 0.01% | 5.06% |
DBC Invesco DB Commodity Index Tracking Fund | 2.59% | 3.33% | 5.22% | 4.94% | 0.59% | 0.00% | 0.00% | 1.59% | 1.30% | 0.00% | 0.00% | 0.00% |
Drawdowns
ASFYX vs. DBC - Drawdown Comparison
The maximum ASFYX drawdown since its inception was -36.43%, 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.
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Drawdown Indicators
| ASFYX | DBC | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -36.43% | -76.36% | +39.93% |
Max Drawdown (1Y)Largest decline over 1 year | -13.51% | -10.99% | -2.52% |
Max Drawdown (5Y)Largest decline over 5 years | -36.43% | -27.34% | -9.09% |
Max Drawdown (10Y)Largest decline over 10 years | -36.43% | -41.71% | +5.28% |
Current DrawdownCurrent decline from peak | -24.28% | -25.80% | +1.52% |
Average DrawdownAverage peak-to-trough decline | -13.10% | -46.42% | +33.32% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 8.26% | 4.27% | +3.99% |
Volatility
ASFYX vs. DBC - Volatility Comparison
The current volatility for AlphaSimplex Managed Futures Strategy Fund Class Y (ASFYX) is 3.82%, while Invesco DB Commodity Index Tracking Fund (DBC) has a volatility of 8.30%. This indicates that ASFYX experiences smaller price fluctuations and is considered to be less risky than DBC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ASFYX | DBC | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.82% | 8.30% | -4.48% |
Volatility (6M)Calculated over the trailing 6-month period | 10.00% | 13.96% | -3.96% |
Volatility (1Y)Calculated over the trailing 1-year period | 13.00% | 18.75% | -5.75% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 13.67% | 18.97% | -5.30% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 12.68% | 17.72% | -5.04% |