ASFYX vs. DBMF
Compare and contrast key facts about AlphaSimplex Managed Futures Strategy Fund Class Y (ASFYX) and iM DBi Managed Futures Strategy ETF (DBMF).
ASFYX is managed by Blackrock. It was launched on Jul 30, 2010. DBMF is an actively managed fund by Litman Gregory Capital Partners LLC. It was launched on May 8, 2019.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ASFYX or DBMF.
Key characteristics
| ASFYX | DBMF | |
|---|---|---|
| YTD Return | 6.91% | 13.12% |
| 1Y Return | 4.19% | 13.42% |
| 3Y Return (Ann) | 7.87% | 8.49% |
| Sharpe Ratio | 0.37 | 1.32 |
| Daily Std Dev | 9.93% | 9.90% |
| Max Drawdown | -28.00% | -20.39% |
| Current Drawdown | -13.23% | -7.11% |
Correlation
The correlation between ASFYX and DBMF is 0.68, 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
ASFYX vs. DBMF - Performance Comparison
In the year-to-date period, ASFYX achieves a 6.91% return, which is significantly lower than DBMF's 13.12% 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. DBMF - Expense Ratio Comparison
ASFYX has a 1.47% expense ratio, which is higher than DBMF's 0.85% expense ratio.
Risk-Adjusted Performance
ASFYX vs. DBMF - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for AlphaSimplex Managed Futures Strategy Fund Class Y (ASFYX) and iM DBi Managed Futures Strategy ETF (DBMF). 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. DBMF - Dividend Comparison
ASFYX's dividend yield for the trailing twelve months is around 0.92%, less than DBMF's 3.13% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y | 0.92% | 0.98% | 32.48% | 6.07% | 3.40% | 5.51% | 1.30% | 0.07% | 0.01% | 5.06% | 13.52% |
DBMF iM DBi Managed Futures Strategy ETF | 3.13% | 2.91% | 7.72% | 10.38% | 0.86% | 9.35% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
Drawdowns
ASFYX vs. DBMF - Drawdown Comparison
The maximum ASFYX drawdown since its inception was -28.00%, which is greater than DBMF's maximum drawdown of -20.39%. Use the drawdown chart below to compare losses from any high point for ASFYX and DBMF. For additional features, visit the drawdowns tool.
Volatility
ASFYX vs. DBMF - Volatility Comparison
The current volatility for AlphaSimplex Managed Futures Strategy Fund Class Y (ASFYX) is 3.83%, while iM DBi Managed Futures Strategy ETF (DBMF) has a volatility of 5.23%. This indicates that ASFYX experiences smaller price fluctuations and is considered to be less risky than DBMF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.