EBSIX vs. AMFAX
Compare and contrast key facts about Campbell Systematic Macro Fund Class I Shares (EBSIX) and AlphaSimplex Managed Futures Strategy Fund Class A (AMFAX).
EBSIX is managed by Campbell & Company. It was launched on Mar 4, 2013. AMFAX is managed by Blackrock. It was launched on Jul 30, 2010.
Scroll down to visually compare performance, riskiness, drawdowns, and other indicators and decide which better suits your portfolio: EBSIX or AMFAX.
Key characteristics
| EBSIX | AMFAX | |
|---|---|---|
| YTD Return | 8.67% | -3.54% |
| 1Y Return | 4.66% | -8.43% |
| 3Y Return (Ann) | 10.46% | -3.20% |
| 5Y Return (Ann) | 8.93% | 2.21% |
| 10Y Return (Ann) | 4.69% | -0.08% |
| Sharpe Ratio | 0.48 | -0.71 |
| Sortino Ratio | 0.71 | -0.85 |
| Omega Ratio | 1.09 | 0.89 |
| Calmar Ratio | 0.40 | -0.22 |
| Martin Ratio | 2.03 | -1.03 |
| Ulcer Index | 2.19% | 8.08% |
| Daily Std Dev | 9.27% | 11.70% |
| Max Drawdown | -30.10% | -37.95% |
| Current Drawdown | -2.69% | -36.42% |
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.
Performance
EBSIX vs. AMFAX - Performance Comparison
In the year-to-date period, EBSIX achieves a 8.67% return, which is significantly higher than AMFAX's -3.54% return. Over the past 10 years, EBSIX has outperformed AMFAX with an annualized return of 4.69%, while AMFAX has yielded a comparatively lower -0.08% 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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EBSIX vs. AMFAX - Expense Ratio Comparison
EBSIX has a 1.75% expense ratio, which is higher than AMFAX's 1.72% expense ratio.
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.
Dividends
EBSIX vs. AMFAX - Dividend Comparison
EBSIX's dividend yield for the trailing twelve months is around 1.67%, more than AMFAX's 0.31% yield.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|
EBSIX Campbell Systematic Macro Fund Class I Shares | 1.67% | 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.
Volatility
EBSIX vs. AMFAX - Volatility Comparison
The current volatility for Campbell Systematic Macro Fund Class I Shares (EBSIX) is 2.36%, while AlphaSimplex Managed Futures Strategy Fund Class A (AMFAX) has a volatility of 2.96%. This indicates that EBSIX experiences smaller price fluctuations and is considered to be less risky than AMFAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.