EVOIX vs. ASFYX
Compare and contrast key facts about Altegris Futures Evolution Strategy Fund (EVOIX) and AlphaSimplex Managed Futures Strategy Fund Class Y (ASFYX).
EVOIX is managed by Altegris. It was launched on Oct 30, 2011. ASFYX is managed by BlackRock. It was launched on Jul 30, 2010.
Performance
EVOIX vs. ASFYX - Performance Comparison
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EVOIX vs. ASFYX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
EVOIX Altegris Futures Evolution Strategy Fund | 4.82% | 4.69% | 3.86% | 5.03% | 12.84% | 12.20% | -12.94% | 4.22% | -7.58% | 9.09% |
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y | 6.72% | -9.67% | -3.22% | -10.33% | 35.67% | 3.52% | 13.59% | 8.99% | -12.59% | 6.78% |
Returns By Period
In the year-to-date period, EVOIX achieves a 4.82% return, which is significantly lower than ASFYX's 6.72% return. Over the past 10 years, EVOIX has outperformed ASFYX with an annualized return of 2.81%, while ASFYX has yielded a comparatively lower 1.88% annualized return.
EVOIX
- 1D
- -0.46%
- 1M
- -0.61%
- YTD
- 4.82%
- 6M
- 10.44%
- 1Y
- 13.47%
- 3Y*
- 7.11%
- 5Y*
- 7.60%
- 10Y*
- 2.81%
ASFYX
- 1D
- 0.12%
- 1M
- -0.84%
- YTD
- 6.72%
- 6M
- 10.49%
- 1Y
- 3.28%
- 3Y*
- -2.85%
- 5Y*
- 2.28%
- 10Y*
- 1.88%
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EVOIX vs. ASFYX - Expense Ratio Comparison
EVOIX has a 1.34% expense ratio, which is lower than ASFYX's 1.47% expense ratio.
Return for Risk
EVOIX vs. ASFYX — Risk / Return Rank
EVOIX
ASFYX
EVOIX vs. ASFYX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Altegris Futures Evolution Strategy Fund (EVOIX) 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.
| EVOIX | ASFYX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.29 | 0.27 | +1.02 |
Sortino ratioReturn per unit of downside risk | 1.76 | 0.42 | +1.34 |
Omega ratioGain probability vs. loss probability | 1.24 | 1.06 | +0.17 |
Calmar ratioReturn relative to maximum drawdown | 1.67 | 0.18 | +1.49 |
Martin ratioReturn relative to average drawdown | 3.47 | 0.29 | +3.18 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| EVOIX | ASFYX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.29 | 0.27 | +1.02 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.79 | 0.17 | +0.62 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.27 | 0.15 | +0.12 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.39 | 0.31 | +0.08 |
Correlation
The correlation between EVOIX and ASFYX is 0.78, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Dividends
EVOIX vs. ASFYX - Dividend Comparison
EVOIX's dividend yield for the trailing twelve months is around 10.11%, more than ASFYX's 1.42% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EVOIX Altegris Futures Evolution Strategy Fund | 10.11% | 11.11% | 10.09% | 1.71% | 34.87% | 9.73% | 2.23% | 1.63% | 5.52% | 1.57% | 7.27% | 9.05% |
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y | 1.42% | 1.52% | 1.46% | 0.99% | 32.48% | 6.07% | 3.40% | 5.51% | 1.30% | 0.07% | 0.01% | 5.06% |
Drawdowns
EVOIX vs. ASFYX - Drawdown Comparison
The maximum EVOIX drawdown since its inception was -29.57%, smaller than the maximum ASFYX drawdown of -36.43%. Use the drawdown chart below to compare losses from any high point for EVOIX and ASFYX.
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Drawdown Indicators
| EVOIX | ASFYX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -29.57% | -36.43% | +6.86% |
Max Drawdown (1Y)Largest decline over 1 year | -7.61% | -13.51% | +5.90% |
Max Drawdown (5Y)Largest decline over 5 years | -18.80% | -36.43% | +17.63% |
Max Drawdown (10Y)Largest decline over 10 years | -29.57% | -36.43% | +6.86% |
Current DrawdownCurrent decline from peak | -1.21% | -24.28% | +23.07% |
Average DrawdownAverage peak-to-trough decline | -8.25% | -13.10% | +4.85% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.73% | 8.26% | -4.53% |
Volatility
EVOIX vs. ASFYX - Volatility Comparison
The current volatility for Altegris Futures Evolution Strategy Fund (EVOIX) is 2.50%, while AlphaSimplex Managed Futures Strategy Fund Class Y (ASFYX) has a volatility of 3.82%. This indicates that EVOIX 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.
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Volatility by Period
| EVOIX | ASFYX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.50% | 3.82% | -1.32% |
Volatility (6M)Calculated over the trailing 6-month period | 7.97% | 10.00% | -2.03% |
Volatility (1Y)Calculated over the trailing 1-year period | 10.04% | 13.00% | -2.96% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.68% | 13.67% | -3.99% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 10.46% | 12.68% | -2.22% |