ASFYX vs. SPY
Compare and contrast key facts about AlphaSimplex Managed Futures Strategy Fund Class Y (ASFYX) and SPDR S&P 500 ETF (SPY).
ASFYX is managed by Blackrock. It was launched on Jul 30, 2010. SPY is a passively managed fund by State Street that tracks the performance of the S&P 500 Index. It was launched on Jan 22, 1993.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: ASFYX or SPY.
Key characteristics
| ASFYX | SPY | |
|---|---|---|
| YTD Return | 6.91% | 7.90% |
| 1Y Return | 4.19% | 28.03% |
| 3Y Return (Ann) | 7.87% | 8.75% |
| 5Y Return (Ann) | 9.47% | 13.52% |
| 10Y Return (Ann) | 5.97% | 12.62% |
| Sharpe Ratio | 0.37 | 2.33 |
| Daily Std Dev | 9.93% | 11.63% |
| Max Drawdown | -28.00% | -55.19% |
| Current Drawdown | -13.23% | -2.27% |
Correlation
The correlation between ASFYX and SPY is 0.18, 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. SPY - Performance Comparison
In the year-to-date period, ASFYX achieves a 6.91% return, which is significantly lower than SPY's 7.90% return. Over the past 10 years, ASFYX has underperformed SPY with an annualized return of 5.97%, while SPY has yielded a comparatively higher 12.62% 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. SPY - Expense Ratio Comparison
ASFYX has a 1.47% expense ratio, which is higher than SPY's 0.09% expense ratio.
Risk-Adjusted Performance
ASFYX vs. SPY - Risk-Adjusted Performance Comparison
This table presents a comparison of risk-adjusted performance metrics for AlphaSimplex Managed Futures Strategy Fund Class Y (ASFYX) and SPDR S&P 500 ETF (SPY). 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. SPY - Dividend Comparison
ASFYX's dividend yield for the trailing twelve months is around 0.92%, less than SPY's 1.31% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
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% | 0.00% |
SPY SPDR S&P 500 ETF | 1.31% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% | 1.81% |
Drawdowns
ASFYX vs. SPY - Drawdown Comparison
The maximum ASFYX drawdown since its inception was -28.00%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for ASFYX and SPY. For additional features, visit the drawdowns tool.
Volatility
ASFYX vs. SPY - Volatility Comparison
The current volatility for AlphaSimplex Managed Futures Strategy Fund Class Y (ASFYX) is 3.83%, while SPDR S&P 500 ETF (SPY) has a volatility of 4.08%. This indicates that ASFYX experiences smaller price fluctuations and is considered to be less risky than SPY based on this measure. The chart below showcases a comparison of their rolling one-month volatility.