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MAFIX vs. FV
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


MAFIXFV
YTD Return8.93%18.93%
1Y Return9.26%37.31%
3Y Return (Ann)5.08%7.00%
5Y Return (Ann)11.72%15.72%
Sharpe Ratio0.822.04
Sortino Ratio1.162.72
Omega Ratio1.161.36
Calmar Ratio0.852.87
Martin Ratio2.3610.15
Ulcer Index4.69%4.00%
Daily Std Dev13.49%19.79%
Max Drawdown-13.28%-34.04%
Current Drawdown-5.50%-0.18%

Correlation

-0.50.00.51.00.6

The correlation between MAFIX and FV is 0.62, 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

MAFIX vs. FV - Performance Comparison

In the year-to-date period, MAFIX achieves a 8.93% return, which is significantly lower than FV's 18.93% return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


-10.00%-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
-2.09%
10.06%
MAFIX
FV

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MAFIX vs. FV - Expense Ratio Comparison

MAFIX has a 1.79% expense ratio, which is higher than FV's 0.87% expense ratio.


MAFIX
Abbey Capital Multi Asset Fund Class I
Expense ratio chart for MAFIX: current value at 1.79% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.79%
Expense ratio chart for FV: current value at 0.87% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.87%

Risk-Adjusted Performance

MAFIX vs. FV - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Abbey Capital Multi Asset Fund Class I (MAFIX) and First Trust Dorsey Wright Focus 5 ETF (FV). 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.


MAFIX
Sharpe ratio
The chart of Sharpe ratio for MAFIX, currently valued at 0.82, compared to the broader market0.002.004.000.82
Sortino ratio
The chart of Sortino ratio for MAFIX, currently valued at 1.16, compared to the broader market0.005.0010.001.16
Omega ratio
The chart of Omega ratio for MAFIX, currently valued at 1.16, compared to the broader market1.002.003.004.001.16
Calmar ratio
The chart of Calmar ratio for MAFIX, currently valued at 0.85, compared to the broader market0.005.0010.0015.0020.0025.000.85
Martin ratio
The chart of Martin ratio for MAFIX, currently valued at 2.36, compared to the broader market0.0020.0040.0060.0080.00100.002.36
FV
Sharpe ratio
The chart of Sharpe ratio for FV, currently valued at 2.04, compared to the broader market0.002.004.002.04
Sortino ratio
The chart of Sortino ratio for FV, currently valued at 2.72, compared to the broader market0.005.0010.002.72
Omega ratio
The chart of Omega ratio for FV, currently valued at 1.36, compared to the broader market1.002.003.004.001.36
Calmar ratio
The chart of Calmar ratio for FV, currently valued at 2.87, compared to the broader market0.005.0010.0015.0020.0025.002.87
Martin ratio
The chart of Martin ratio for FV, currently valued at 10.15, compared to the broader market0.0020.0040.0060.0080.00100.0010.15

MAFIX vs. FV - Sharpe Ratio Comparison

The current MAFIX Sharpe Ratio is 0.82, which is lower than the FV Sharpe Ratio of 2.04. The chart below compares the historical Sharpe Ratios of MAFIX and FV, 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 Ratio0.000.501.001.502.00JuneJulyAugustSeptemberOctoberNovember
0.82
2.04
MAFIX
FV

Dividends

MAFIX vs. FV - Dividend Comparison

MAFIX's dividend yield for the trailing twelve months is around 0.91%, more than FV's 0.15% yield.


TTM2023202220212020201920182017201620152014
MAFIX
Abbey Capital Multi Asset Fund Class I
0.91%0.99%3.84%3.04%1.64%10.10%9.36%0.00%0.00%0.00%0.00%
FV
First Trust Dorsey Wright Focus 5 ETF
0.15%0.48%1.38%0.11%0.06%0.56%0.19%0.67%0.96%0.14%0.10%

Drawdowns

MAFIX vs. FV - Drawdown Comparison

The maximum MAFIX drawdown since its inception was -13.28%, smaller than the maximum FV drawdown of -34.04%. Use the drawdown chart below to compare losses from any high point for MAFIX and FV. For additional features, visit the drawdowns tool.


-15.00%-10.00%-5.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-5.50%
-0.18%
MAFIX
FV

Volatility

MAFIX vs. FV - Volatility Comparison

The current volatility for Abbey Capital Multi Asset Fund Class I (MAFIX) is 4.10%, while First Trust Dorsey Wright Focus 5 ETF (FV) has a volatility of 5.22%. This indicates that MAFIX experiences smaller price fluctuations and is considered to be less risky than FV based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%4.00%6.00%8.00%10.00%JuneJulyAugustSeptemberOctoberNovember
4.10%
5.22%
MAFIX
FV