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EBSIX vs. AMFAX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Performance

EBSIX vs. AMFAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Campbell Systematic Macro Fund Class I Shares (EBSIX) and AlphaSimplex Managed Futures Strategy Fund Class A (AMFAX). The values are adjusted to include any dividend payments, if applicable.

-15.00%-10.00%-5.00%0.00%5.00%JuneJulyAugustSeptemberOctoberNovember
0.10%
-13.37%
EBSIX
AMFAX

Returns By Period

In the year-to-date period, EBSIX achieves a 5.33% return, which is significantly higher than AMFAX's -3.10% return. Over the past 10 years, EBSIX has outperformed AMFAX with an annualized return of 3.91%, while AMFAX has yielded a comparatively lower -0.50% annualized return.


EBSIX

YTD

5.33%

1M

-1.76%

6M

-0.52%

1Y

2.05%

5Y (annualized)

8.07%

10Y (annualized)

3.91%

AMFAX

YTD

-3.10%

1M

1.39%

6M

-13.62%

1Y

-5.02%

5Y (annualized)

1.84%

10Y (annualized)

-0.50%

Key characteristics


EBSIXAMFAX
Sharpe Ratio0.21-0.44
Sortino Ratio0.34-0.50
Omega Ratio1.040.94
Calmar Ratio0.19-0.13
Martin Ratio0.91-0.61
Ulcer Index2.24%8.21%
Daily Std Dev9.79%11.45%
Max Drawdown-30.10%-37.95%
Current Drawdown-5.67%-36.13%

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EBSIX vs. AMFAX - Expense Ratio Comparison

EBSIX has a 1.75% expense ratio, which is higher than AMFAX's 1.72% expense ratio.


EBSIX
Campbell Systematic Macro Fund Class I Shares
Expense ratio chart for EBSIX: current value at 1.75% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.75%
Expense ratio chart for AMFAX: current value at 1.72% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.72%

Correlation

The correlation between EBSIX and AMFAX is 0.65, 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.


-0.50.00.51.00.7

Risk-Adjusted Performance

EBSIX vs. AMFAX - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Campbell Systematic Macro Fund Class I Shares (EBSIX) and AlphaSimplex Managed Futures Strategy Fund Class A (AMFAX). 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 EBSIX, currently valued at 0.21, compared to the broader market-1.000.001.002.003.004.005.000.21-0.44
The chart of Sortino ratio for EBSIX, currently valued at 0.34, compared to the broader market0.005.0010.000.34-0.50
The chart of Omega ratio for EBSIX, currently valued at 1.04, compared to the broader market1.002.003.004.001.040.94
The chart of Calmar ratio for EBSIX, currently valued at 0.19, compared to the broader market0.005.0010.0015.0020.000.19-0.13
The chart of Martin ratio for EBSIX, currently valued at 0.91, compared to the broader market0.0020.0040.0060.0080.000.91-0.61
EBSIX
AMFAX

The current EBSIX Sharpe Ratio is 0.21, which is higher than the AMFAX Sharpe Ratio of -0.44. The chart below compares the historical Sharpe Ratios of EBSIX and AMFAX, 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-1.00-0.500.000.501.00JuneJulyAugustSeptemberOctoberNovember
0.21
-0.44
EBSIX
AMFAX

Dividends

EBSIX vs. AMFAX - Dividend Comparison

EBSIX has not paid dividends to shareholders, while AMFAX's dividend yield for the trailing twelve months is around 0.31%.


TTM2023202220212020201920182017201620152014
EBSIX
Campbell Systematic Macro Fund Class I Shares
0.00%1.81%2.34%6.61%0.00%10.31%14.06%0.00%0.00%2.09%6.01%
AMFAX
AlphaSimplex Managed Futures Strategy Fund Class A
0.31%0.30%10.01%5.74%3.14%6.12%0.00%0.00%0.00%2.08%2.63%

Drawdowns

EBSIX vs. AMFAX - Drawdown Comparison

The maximum EBSIX drawdown since its inception was -30.10%, smaller than the maximum AMFAX drawdown of -37.95%. Use the drawdown chart below to compare losses from any high point for EBSIX and AMFAX. For additional features, visit the drawdowns tool.


-40.00%-30.00%-20.00%-10.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-5.67%
-36.13%
EBSIX
AMFAX

Volatility

EBSIX vs. AMFAX - Volatility Comparison

Campbell Systematic Macro Fund Class I Shares (EBSIX) has a higher volatility of 4.03% compared to AlphaSimplex Managed Futures Strategy Fund Class A (AMFAX) at 3.04%. This indicates that EBSIX's price experiences larger fluctuations and is considered to be riskier than AMFAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


1.00%2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
4.03%
3.04%
EBSIX
AMFAX
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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.

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