CAPEX vs. ASFYX

Last updated Jun 24, 2026

CAPEX (Eaton Vance Tax Managed Growth 1.0 Fund) and ASFYX (AlphaSimplex Managed Futures Strategy Fund Class Y) are both mutual funds - CAPEX is a Large Cap Growth Equities fund managed by BlackRock, while ASFYX is a Systematic Trend fund managed by BlackRock. Over the past 10 years, CAPEX returned 15.42%/yr vs 2.59%/yr for ASFYX. At a 0.20 correlation, their price movements are largely independent. CAPEX charges 0.45%/yr vs 1.47%/yr for ASFYX.

Performance

CAPEX vs. ASFYX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Eaton Vance Tax Managed Growth 1.0 Fund (CAPEX) and AlphaSimplex Managed Futures Strategy Fund Class Y (ASFYX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, CAPEX achieves a 6.96% return, which is significantly lower than ASFYX's 11.89% return. Over the past 10 years, CAPEX has outperformed ASFYX with an annualized return of 15.42%, while ASFYX has yielded a comparatively lower 2.59% annualized return.

CAPEX

• 1D: -0.92%
• 1M: -0.84%
• YTD: 6.96%
• 6M: 6.16%
• 1Y: 21.04%
• 3Y*: 20.43%
• 5Y*: 12.27%
• 10Y*: 15.42%

ASFYX

• 1D: 0.58%
• 1M: -2.48%
• YTD: 11.89%
• 6M: 11.07%
• 1Y: 23.67%
• 3Y*: -2.24%
• 5Y*: 2.89%
• 10Y*: 2.59%

*Multi-year figures are annualized to reflect compound growth (CAGR)

CAPEX vs. ASFYX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
CAPEX Eaton Vance Tax Managed Growth 1.0 Fund	6.96%	16.83%	25.45%	28.62%	-19.92%	25.05%	23.49%	29.70%	-4.95%	22.72%
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y	11.89%	-9.67%	-3.22%	-10.33%	35.67%	3.52%	13.59%	8.99%	-12.59%	6.78%

Correlation

The correlation between CAPEX and ASFYX is 0.40, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.40
Correlation (3Y) Calculated over the trailing 3-year period	0.30
Correlation (5Y) Calculated over the trailing 5-year period	0.14
Correlation (10Y) Calculated over the trailing 10-year period	0.21
Correlation (All Time) Calculated using the full available price history since Aug 3, 2010	0.20

The correlation between CAPEX and ASFYX shifts across timeframes, from 0.14 (5 years) to 0.40 (1 year), reflecting how their relationship changes across market environments.

Return for Risk

CAPEX vs. ASFYX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

CAPEX

CAPEX Risk / Return Rank: 40
CAPEX Sharpe Ratio Rank: 41
CAPEX Sortino Ratio Rank: 39
CAPEX Omega Ratio Rank: 39
CAPEX Calmar Ratio Rank: 35
CAPEX Martin Ratio Rank: 48

ASFYX

ASFYX Risk / Return Rank: 64
ASFYX Sharpe Ratio Rank: 54
ASFYX Sortino Ratio Rank: 47
ASFYX Omega Ratio Rank: 50
ASFYX Calmar Ratio Rank: 91
ASFYX Martin Ratio Rank: 80

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

CAPEX vs. ASFYX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Eaton Vance Tax Managed Growth 1.0 Fund (CAPEX) and AlphaSimplex Managed Futures Strategy Fund Class Y (ASFYX). 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.

Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.

	CAPEX	ASFYX	Difference
Sharpe ratio: Return per unit of total volatility	1.73	2.01	-0.28
Sortino ratio: Return per unit of downside risk	2.42	2.65	-0.23
Omega ratio: Gain probability vs. loss probability	1.31	1.35	-0.04
Calmar ratio: Return relative to maximum drawdown	2.11	4.45	-2.33
Martin ratio: Return relative to average drawdown	9.39	13.89	-4.50

CAPEX vs. ASFYX - Sharpe Ratio Comparison

The current CAPEX Sharpe Ratio is 1.73, which is comparable to the ASFYX Sharpe Ratio of 2.01. The chart below compares the historical Sharpe Ratios of CAPEX and ASFYX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

CAPEX vs. ASFYX - Drawdown Comparison

The maximum CAPEX drawdown since its inception was -51.71%, which is greater than ASFYX's maximum drawdown of -36.43%. Use the drawdown chart below to compare losses from any high point for CAPEX and ASFYX.

Drawdown Indicators

	CAPEX	ASFYX	Difference
Max Drawdown Largest peak-to-trough decline	-51.71%	-36.43%	-15.28%
Max Drawdown (1Y) Largest decline over 1 year	-10.52%	-5.43%	-5.09%
Max Drawdown (3Y) Largest decline over 3 years	-19.05%	-30.32%	+11.27%
Max Drawdown (5Y) Largest decline over 5 years	-25.87%	-36.43%	+10.56%
Max Drawdown (10Y) Largest decline over 10 years	-32.94%	-36.43%	+3.49%
Current Drawdown Current decline from peak	-1.98%	-20.61%	+18.63%
Average Drawdown Average peak-to-trough decline	-8.37%	-13.20%	+4.83%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.36%	1.73%	+0.63%

Volatility

CAPEX vs. ASFYX - Volatility Comparison

Eaton Vance Tax Managed Growth 1.0 Fund (CAPEX) has a higher volatility of 4.78% compared to AlphaSimplex Managed Futures Strategy Fund Class Y (ASFYX) at 3.71%. This indicates that CAPEX's price experiences larger fluctuations and is considered to be riskier than ASFYX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	CAPEX	ASFYX	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.78%	3.71%	+1.07%
Volatility (6M) Calculated over the trailing 6-month period	10.29%	9.87%	+0.42%
Volatility (1Y) Calculated over the trailing 1-year period	12.87%	12.05%	+0.82%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.42%	13.77%	+3.65%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	18.40%	12.73%	+5.67%

CAPEX vs. ASFYX - Expense Ratio Comparison

CAPEX has a 0.45% expense ratio, which is lower than ASFYX's 1.47% expense ratio.

Dividends

CAPEX vs. ASFYX - Dividend Comparison

CAPEX's dividend yield for the trailing twelve months is around 2.99%, more than ASFYX's 1.36% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y	1.36%	1.52%	1.46%	0.99%	32.48%	6.07%	3.40%	5.51%	1.30%	0.07%	0.01%	5.06%
CAPEX Eaton Vance Tax Managed Growth 1.0 Fund	2.99%	3.19%	2.40%	0.83%	0.97%	0.63%	0.88%	1.15%	1.36%	1.20%	1.41%	1.39%

Frequently Asked Questions

Can I hold both CAPEX and ASFYX in my portfolio?

CAPEX and ASFYX have a correlation of 0.40, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, CAPEX or ASFYX?

CAPEX has higher volatility (4.78%) compared to ASFYX (3.71%). In terms of maximum drawdown, CAPEX dropped -51.71% vs ASFYX's -36.43%.

Which has better risk-adjusted returns?

ASFYX currently has the higher Sharpe Ratio (2.00 vs 1.73), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.