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

Performance

MAFIX vs. SPY - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Abbey Capital Multi Asset Fund Class I (MAFIX) and SPDR S&P 500 ETF (SPY). The values are adjusted to include any dividend payments, if applicable.

-10.00%-5.00%0.00%5.00%10.00%JuneJulyAugustSeptemberOctoberNovember
-2.85%
12.84%
MAFIX
SPY

Returns By Period

In the year-to-date period, MAFIX achieves a 9.55% return, which is significantly lower than SPY's 26.08% return.


MAFIX

YTD

9.55%

1M

3.20%

6M

-2.85%

1Y

11.53%

5Y (annualized)

11.80%

10Y (annualized)

N/A

SPY

YTD

26.08%

1M

1.77%

6M

13.59%

1Y

32.24%

5Y (annualized)

15.62%

10Y (annualized)

13.10%

Key characteristics


MAFIXSPY
Sharpe Ratio0.852.70
Sortino Ratio1.203.60
Omega Ratio1.161.50
Calmar Ratio0.883.90
Martin Ratio2.4017.52
Ulcer Index4.80%1.87%
Daily Std Dev13.48%12.14%
Max Drawdown-13.28%-55.19%
Current Drawdown-4.96%-0.85%

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MAFIX vs. SPY - Expense Ratio Comparison

MAFIX has a 1.79% expense ratio, which is higher than SPY's 0.09% 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 SPY: current value at 0.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.09%

Correlation

-0.50.00.51.00.7

The correlation between MAFIX and SPY is 0.68, 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.

Risk-Adjusted Performance

MAFIX vs. SPY - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for Abbey Capital Multi Asset Fund Class I (MAFIX) and SPDR S&P 500 ETF (SPY). 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 MAFIX, currently valued at 0.85, compared to the broader market-1.000.001.002.003.004.005.000.852.66
The chart of Sortino ratio for MAFIX, currently valued at 1.20, compared to the broader market0.005.0010.001.203.55
The chart of Omega ratio for MAFIX, currently valued at 1.16, compared to the broader market1.002.003.004.001.161.50
The chart of Calmar ratio for MAFIX, currently valued at 0.88, compared to the broader market0.005.0010.0015.0020.000.883.84
The chart of Martin ratio for MAFIX, currently valued at 2.40, compared to the broader market0.0020.0040.0060.0080.00100.002.4017.24
MAFIX
SPY

The current MAFIX Sharpe Ratio is 0.85, which is lower than the SPY Sharpe Ratio of 2.70. The chart below compares the historical Sharpe Ratios of MAFIX and SPY, 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 Ratio0.001.002.003.004.00JuneJulyAugustSeptemberOctoberNovember
0.85
2.66
MAFIX
SPY

Dividends

MAFIX vs. SPY - Dividend Comparison

MAFIX's dividend yield for the trailing twelve months is around 0.90%, less than SPY's 1.18% yield.


TTM20232022202120202019201820172016201520142013
MAFIX
Abbey Capital Multi Asset Fund Class I
0.90%0.99%3.84%3.04%1.64%10.10%9.36%0.00%0.00%0.00%0.00%0.00%
SPY
SPDR S&P 500 ETF
1.18%1.40%1.65%1.20%1.52%1.75%2.04%1.80%2.03%2.06%1.87%1.81%

Drawdowns

MAFIX vs. SPY - Drawdown Comparison

The maximum MAFIX drawdown since its inception was -13.28%, smaller than the maximum SPY drawdown of -55.19%. Use the drawdown chart below to compare losses from any high point for MAFIX and SPY. For additional features, visit the drawdowns tool.


-14.00%-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%JuneJulyAugustSeptemberOctoberNovember
-4.96%
-0.85%
MAFIX
SPY

Volatility

MAFIX vs. SPY - Volatility Comparison

Abbey Capital Multi Asset Fund Class I (MAFIX) and SPDR S&P 500 ETF (SPY) have volatilities of 4.07% and 3.98%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.


2.00%3.00%4.00%5.00%6.00%JuneJulyAugustSeptemberOctoberNovember
4.07%
3.98%
MAFIX
SPY