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.
Performance
ASFYX vs. SPY - Performance Comparison
Returns By Period
In the year-to-date period, ASFYX achieves a -3.07% return, which is significantly lower than SPY's 25.41% return. Over the past 10 years, ASFYX has underperformed SPY with an annualized return of 3.38%, while SPY has yielded a comparatively higher 13.07% annualized return.
ASFYX
-3.07%
0.57%
-12.91%
-5.04%
6.73%
3.38%
SPY
25.41%
1.18%
12.15%
32.04%
15.51%
13.07%
Key characteristics
| ASFYX | SPY | |
|---|---|---|
| Sharpe Ratio | -0.41 | 2.62 |
| Sortino Ratio | -0.46 | 3.50 |
| Omega Ratio | 0.94 | 1.49 |
| Calmar Ratio | -0.20 | 3.78 |
| Martin Ratio | -0.57 | 17.00 |
| Ulcer Index | 8.09% | 1.87% |
| Daily Std Dev | 11.36% | 12.14% |
| Max Drawdown | -27.99% | -55.19% |
| Current Drawdown | -21.27% | -1.38% |
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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.
Correlation
The correlation between ASFYX and SPY 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.
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 1.02%, less than SPY's 1.19% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y | 1.02% | 0.98% | 32.48% | 6.07% | 3.40% | 5.51% | 1.30% | 0.07% | 0.01% | 5.06% | 13.64% | 0.00% |
SPY SPDR S&P 500 ETF | 1.19% | 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 -27.99%, 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 2.88%, while SPDR S&P 500 ETF (SPY) has a volatility of 3.96%. 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.