ECAT vs. ASFYX

Last updated Jun 5, 2026

ECAT (BlackRock ESG Capital Allocation Term Trust) and ASFYX (AlphaSimplex Managed Futures Strategy Fund Class Y) are both mutual funds - ECAT is a Derivative Income fund managed by BlackRock, while ASFYX is a Systematic Trend fund managed by BlackRock. Over the past 3 years, ECAT returned 19.60%/yr vs -1.44%/yr for ASFYX. At a 0.06 correlation, their price movements are largely independent. ECAT charges 1.38%/yr vs 1.47%/yr for ASFYX.

Performance

ECAT vs. ASFYX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in BlackRock ESG Capital Allocation Term Trust (ECAT) 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, ECAT achieves a 11.44% return, which is significantly lower than ASFYX's 15.25% return.

ECAT

• 1D: 0.19%
• 1M: 6.55%
• YTD: 11.44%
• 6M: 9.71%
• 1Y: 20.46%
• 3Y*: 19.60%
• 5Y*: —
• 10Y*: —

ASFYX

• 1D: 0.00%
• 1M: 1.36%
• YTD: 15.25%
• 6M: 17.47%
• 1Y: 25.96%
• 3Y*: -1.44%
• 5Y*: 2.84%
• 10Y*: 2.97%

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

ECAT vs. ASFYX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021
ECAT BlackRock ESG Capital Allocation Term Trust	11.44%	16.64%	19.96%	32.36%	-21.90%	-6.25%
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y	15.25%	-9.67%	-3.22%	-10.33%	35.67%	-1.37%

Correlation

The correlation between ECAT and ASFYX is 0.41, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.41
Correlation (3Y) Calculated over the trailing 3-year period	0.23
Correlation (All Time) Calculated using the full available price history since Sep 29, 2021	0.06

Over the past year, ECAT and ASFYX have become more correlated (0.41) than their long-term average of 0.06, meaning their price movements have been converging.

Return for Risk

ECAT vs. ASFYX — Risk / Return Rank

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

ECAT

ECAT Risk / Return Rank: 26
ECAT Sharpe Ratio Rank: 28
ECAT Sortino Ratio Rank: 27
ECAT Omega Ratio Rank: 27
ECAT Calmar Ratio Rank: 22
ECAT Martin Ratio Rank: 28

ASFYX

ASFYX Risk / Return Rank: 69
ASFYX Sharpe Ratio Rank: 58
ASFYX Sortino Ratio Rank: 51
ASFYX Omega Ratio Rank: 54
ASFYX Calmar Ratio Rank: 92
ASFYX Martin Ratio Rank: 91

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.

ECAT vs. ASFYX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for BlackRock ESG Capital Allocation Term Trust (ECAT) 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.

	ECAT	ASFYX	Difference
Sharpe ratio: Return per unit of total volatility	1.53	2.27	-0.73
Sortino ratio: Return per unit of downside risk	2.18	3.01	-0.83
Omega ratio: Gain probability vs. loss probability	1.27	1.40	-0.13
Calmar ratio: Return relative to maximum drawdown	1.74	5.08	-3.34
Martin ratio: Return relative to average drawdown	6.53	18.34	-11.81
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

ECAT vs. ASFYX - Sharpe Ratio Comparison

The current ECAT Sharpe Ratio is 1.53, which is lower than the ASFYX Sharpe Ratio of 2.27. The chart below compares the historical Sharpe Ratios of ECAT 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.

Sharpe Ratios by Period

	ECAT	ASFYX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.53	2.27	-0.73
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	—	0.21	—
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	—	0.23	—
Sharpe Ratio (All Time) Calculated using the full available price history	0.55	0.35	+0.20

Drawdowns

ECAT vs. ASFYX - Drawdown Comparison

The maximum ECAT drawdown since its inception was -32.23%, smaller than the maximum ASFYX drawdown of -36.43%. Use the drawdown chart below to compare losses from any high point for ECAT and ASFYX.

Drawdown Indicators

	ECAT	ASFYX	Difference
Max Drawdown Largest peak-to-trough decline	-32.23%	-36.43%	+4.20%
Max Drawdown (1Y) Largest decline over 1 year	-11.80%	-5.24%	-6.56%
Max Drawdown (3Y) Largest decline over 3 years	-15.79%	-30.32%	+14.53%
Max Drawdown (5Y) Largest decline over 5 years	—	-36.43%	—
Max Drawdown (10Y) Largest decline over 10 years	—	-36.43%	—
Current Drawdown Current decline from peak	-1.01%	-18.22%	+17.21%
Average Drawdown Average peak-to-trough decline	-9.11%	-13.18%	+4.07%
Ulcer Index Depth and duration of drawdowns from previous peaks	3.14%	1.45%	+1.69%

Volatility

ECAT vs. ASFYX - Volatility Comparison

The current volatility for BlackRock ESG Capital Allocation Term Trust (ECAT) is 3.31%, while AlphaSimplex Managed Futures Strategy Fund Class Y (ASFYX) has a volatility of 3.66%. This indicates that ECAT experiences smaller price fluctuations and is considered to be less risky than ASFYX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	ECAT	ASFYX	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.31%	3.66%	-0.35%
Volatility (6M) Calculated over the trailing 6-month period	10.50%	9.52%	+0.98%
Volatility (1Y) Calculated over the trailing 1-year period	13.43%	11.76%	+1.67%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.89%	13.76%	+3.13%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.89%	12.71%	+4.18%

ECAT vs. ASFYX - Expense Ratio Comparison

ECAT has a 1.38% expense ratio, which is lower than ASFYX's 1.47% expense ratio.

Dividends

ECAT vs. ASFYX - Dividend Comparison

ECAT's dividend yield for the trailing twelve months is around 21.67%, more than ASFYX's 1.32% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y	1.32%	1.52%	1.46%	0.99%	32.48%	6.07%	3.40%	5.51%	1.30%	0.07%	0.01%	5.06%
ECAT BlackRock ESG Capital Allocation Term Trust	21.67%	23.00%	17.44%	9.14%	8.94%	0.54%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both ECAT and ASFYX in my portfolio?

ECAT and ASFYX have a correlation of 0.41, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ECAT or ASFYX?

ASFYX has higher volatility (3.66%) compared to ECAT (3.31%). In terms of maximum drawdown, ECAT dropped -32.23% vs ASFYX's -36.43%.

Which has better risk-adjusted returns?

ASFYX currently has the higher Sharpe Ratio (2.27 vs 1.53), 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.