PortfoliosLab logo
PortfoliosLab logo
Tools
Performance Analysis
Portfolio Analysis
Factor Model
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
ASFYX vs. FNCMX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Correlation

The correlation between ASFYX and FNCMX is 0.19, 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.


-0.50.00.51.00.2

Performance

ASFYX vs. FNCMX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AlphaSimplex Managed Futures Strategy Fund Class Y (ASFYX) and Fidelity NASDAQ Composite Index Fund (FNCMX). The values are adjusted to include any dividend payments, if applicable.

0.00%200.00%400.00%600.00%800.00%JulyAugustSeptemberOctoberNovemberDecember
83.56%
830.37%
ASFYX
FNCMX

Key characteristics

Sharpe Ratio

ASFYX:

-0.31

FNCMX:

1.86

Sortino Ratio

ASFYX:

-0.32

FNCMX:

2.43

Omega Ratio

ASFYX:

0.96

FNCMX:

1.33

Calmar Ratio

ASFYX:

-0.15

FNCMX:

2.54

Martin Ratio

ASFYX:

-0.39

FNCMX:

9.45

Ulcer Index

ASFYX:

8.88%

FNCMX:

3.53%

Daily Std Dev

ASFYX:

11.26%

FNCMX:

17.93%

Max Drawdown

ASFYX:

-28.00%

FNCMX:

-55.71%

Current Drawdown

ASFYX:

-21.81%

FNCMX:

-2.99%

Returns By Period

In the year-to-date period, ASFYX achieves a -3.67% return, which is significantly lower than FNCMX's 31.22% return. Over the past 10 years, ASFYX has underperformed FNCMX with an annualized return of 2.97%, while FNCMX has yielded a comparatively higher 15.65% annualized return.


ASFYX

YTD

-3.67%

1M

-0.05%

6M

-8.67%

1Y

-3.67%

5Y*

6.55%

10Y*

2.97%

FNCMX

YTD

31.22%

1M

3.26%

6M

10.97%

1Y

31.66%

5Y*

17.22%

10Y*

15.65%

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


ASFYX vs. FNCMX - Expense Ratio Comparison

ASFYX has a 1.47% expense ratio, which is higher than FNCMX's 0.29% expense ratio.


ASFYX
AlphaSimplex Managed Futures Strategy Fund Class Y
Expense ratio chart for ASFYX: current value at 1.47% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.47%
Expense ratio chart for FNCMX: current value at 0.29% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.29%

Risk-Adjusted Performance

ASFYX vs. FNCMX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for AlphaSimplex Managed Futures Strategy Fund Class Y (ASFYX) and Fidelity NASDAQ Composite Index Fund (FNCMX). 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.


Sharpe ratio
The chart of Sharpe ratio for ASFYX, currently valued at -0.31, compared to the broader market-1.000.001.002.003.004.00-0.311.86
The chart of Sortino ratio for ASFYX, currently valued at -0.32, compared to the broader market-2.000.002.004.006.008.0010.00-0.322.43
The chart of Omega ratio for ASFYX, currently valued at 0.96, compared to the broader market0.501.001.502.002.503.003.500.961.33
The chart of Calmar ratio for ASFYX, currently valued at -0.15, compared to the broader market0.002.004.006.008.0010.0012.0014.00-0.152.54
The chart of Martin ratio for ASFYX, currently valued at -0.39, compared to the broader market0.0020.0040.0060.00-0.399.45
ASFYX
FNCMX

The current ASFYX Sharpe Ratio is -0.31, which is lower than the FNCMX Sharpe Ratio of 1.86. The chart below compares the historical Sharpe Ratios of ASFYX and FNCMX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.


Rolling 12-month Sharpe Ratio-1.000.001.002.003.00JulyAugustSeptemberOctoberNovemberDecember
-0.31
1.86
ASFYX
FNCMX

Dividends

ASFYX vs. FNCMX - Dividend Comparison

ASFYX's dividend yield for the trailing twelve months is around 1.47%, more than FNCMX's 0.51% yield.


TTM20232022202120202019201820172016201520142013
ASFYX
AlphaSimplex Managed Futures Strategy Fund Class Y
1.47%0.98%32.48%6.07%3.40%5.51%1.30%0.07%0.01%5.06%13.64%0.00%
FNCMX
Fidelity NASDAQ Composite Index Fund
0.51%0.67%0.88%0.47%0.67%0.97%0.94%0.70%0.91%0.89%0.80%0.72%

Drawdowns

ASFYX vs. FNCMX - Drawdown Comparison

The maximum ASFYX drawdown since its inception was -28.00%, smaller than the maximum FNCMX drawdown of -55.71%. Use the drawdown chart below to compare losses from any high point for ASFYX and FNCMX. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-21.81%
-2.99%
ASFYX
FNCMX

Volatility

ASFYX vs. FNCMX - Volatility Comparison

The current volatility for AlphaSimplex Managed Futures Strategy Fund Class Y (ASFYX) is 2.37%, while Fidelity NASDAQ Composite Index Fund (FNCMX) has a volatility of 5.06%. This indicates that ASFYX experiences smaller price fluctuations and is considered to be less risky than FNCMX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%JulyAugustSeptemberOctoberNovemberDecember
2.37%
5.06%
ASFYX
FNCMX
PortfoliosLab logo
Performance Analysis
Portfolio AnalysisPortfolio PerformanceStock ComparisonSharpe RatioMartin RatioTreynor RatioSortino RatioOmega RatioCalmar RatioSummers Ratio
Community
Discussions


Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

Copyright © 2024 PortfoliosLab