MDCEX vs. ABRZX

Last updated Jun 4, 2026

MDCEX (Matisse Discounted Closed-End Fund Strategy) and ABRZX (Invesco Balanced-Risk Allocation Fund Class A) are both Tactical Allocation funds. Over the past 10 years, MDCEX returned 11.07%/yr vs 4.91%/yr for ABRZX. A 0.59 correlation means they provide meaningful diversification when combined. MDCEX charges 1.25%/yr vs 1.41%/yr for ABRZX.

Performance

MDCEX vs. ABRZX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Matisse Discounted Closed-End Fund Strategy (MDCEX) and Invesco Balanced-Risk Allocation Fund Class A (ABRZX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, MDCEX achieves a 7.83% return, which is significantly lower than ABRZX's 21.20% return. Over the past 10 years, MDCEX has outperformed ABRZX with an annualized return of 11.07%, while ABRZX has yielded a comparatively lower 4.91% annualized return.

MDCEX

• 1D: 0.00%
• 1M: 2.85%
• YTD: 7.83%
• 6M: 11.02%
• 1Y: 27.36%
• 3Y*: 22.84%
• 5Y*: 11.44%
• 10Y*: 11.07%

ABRZX

• 1D: 0.82%
• 1M: 2.17%
• YTD: 21.20%
• 6M: 20.90%
• 1Y: 30.30%
• 3Y*: 12.25%
• 5Y*: 4.60%
• 10Y*: 4.91%

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

MDCEX vs. ABRZX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
MDCEX Matisse Discounted Closed-End Fund Strategy	7.83%	28.05%	14.98%	23.93%	-6.59%	12.61%	-6.12%	25.56%	-9.04%	20.71%
ABRZX Invesco Balanced-Risk Allocation Fund Class A	21.20%	8.20%	3.14%	5.97%	-14.96%	9.36%	9.20%	9.43%	-7.01%	9.80%

Correlation

The correlation between MDCEX and ABRZX is 0.52, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.52
Correlation (3Y) Calculated over the trailing 3-year period	0.56
Correlation (5Y) Calculated over the trailing 5-year period	0.57
Correlation (10Y) Calculated over the trailing 10-year period	0.61
Correlation (All Time) Calculated using the full available price history since Nov 2, 2012	0.59

The correlation between MDCEX and ABRZX has been stable across timeframes, ranging from 0.52 to 0.61 - a consistent structural relationship.

Return for Risk

MDCEX vs. ABRZX — Risk / Return Rank

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

MDCEX

MDCEX Risk / Return Rank: 68
MDCEX Sharpe Ratio Rank: 79
MDCEX Sortino Ratio Rank: 68
MDCEX Omega Ratio Rank: 74
MDCEX Calmar Ratio Rank: 62
MDCEX Martin Ratio Rank: 58

ABRZX

ABRZX Risk / Return Rank: 95
ABRZX Sharpe Ratio Rank: 96
ABRZX Sortino Ratio Rank: 92
ABRZX Omega Ratio Rank: 93
ABRZX Calmar Ratio Rank: 98
ABRZX Martin Ratio Rank: 97

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.

MDCEX vs. ABRZX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Matisse Discounted Closed-End Fund Strategy (MDCEX) and Invesco Balanced-Risk Allocation Fund Class A (ABRZX). 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.

	MDCEX	ABRZX	Difference
Sharpe ratio: Return per unit of total volatility	2.58	3.49	-0.90
Sortino ratio: Return per unit of downside risk	3.45	4.59	-1.14
Omega ratio: Gain probability vs. loss probability	1.49	1.70	-0.22
Calmar ratio: Return relative to maximum drawdown	3.04	7.59	-4.55
Martin ratio: Return relative to average drawdown	11.59	27.46	-15.87
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

MDCEX vs. ABRZX - Sharpe Ratio Comparison

The current MDCEX Sharpe Ratio is 2.58, which is comparable to the ABRZX Sharpe Ratio of 3.49. The chart below compares the historical Sharpe Ratios of MDCEX and ABRZX, 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

	MDCEX	ABRZX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.58	3.49	-0.90
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.83	0.38	+0.45
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.72	0.45	+0.27
Sharpe Ratio (All Time) Calculated using the full available price history	0.65	0.63	+0.02

Drawdowns

MDCEX vs. ABRZX - Drawdown Comparison

The maximum MDCEX drawdown since its inception was -48.68%, which is greater than ABRZX's maximum drawdown of -26.62%. Use the drawdown chart below to compare losses from any high point for MDCEX and ABRZX.

Drawdown Indicators

	MDCEX	ABRZX	Difference
Max Drawdown Largest peak-to-trough decline	-48.68%	-26.62%	-22.06%
Max Drawdown (1Y) Largest decline over 1 year	-9.27%	-4.07%	-5.20%
Max Drawdown (3Y) Largest decline over 3 years	-13.46%	-18.28%	+4.82%
Max Drawdown (5Y) Largest decline over 5 years	-21.14%	-19.33%	-1.81%
Max Drawdown (10Y) Largest decline over 10 years	-48.68%	-26.62%	-22.06%
Current Drawdown Current decline from peak	-0.12%	0.00%	-0.12%
Average Drawdown Average peak-to-trough decline	-5.33%	-4.74%	-0.59%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.42%	1.12%	+1.30%

Volatility

MDCEX vs. ABRZX - Volatility Comparison

Matisse Discounted Closed-End Fund Strategy (MDCEX) has a higher volatility of 3.61% compared to Invesco Balanced-Risk Allocation Fund Class A (ABRZX) at 2.99%. This indicates that MDCEX's price experiences larger fluctuations and is considered to be riskier than ABRZX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	MDCEX	ABRZX	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.61%	2.99%	+0.62%
Volatility (6M) Calculated over the trailing 6-month period	9.43%	7.89%	+1.54%
Volatility (1Y) Calculated over the trailing 1-year period	10.89%	8.87%	+2.02%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	13.90%	12.22%	+1.68%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	15.42%	10.90%	+4.52%

MDCEX vs. ABRZX - Expense Ratio Comparison

MDCEX has a 1.25% expense ratio, which is lower than ABRZX's 1.41% expense ratio.

Dividends

MDCEX vs. ABRZX - Dividend Comparison

MDCEX's dividend yield for the trailing twelve months is around 10.86%, more than ABRZX's 2.79% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
ABRZX Invesco Balanced-Risk Allocation Fund Class A	2.79%	3.38%	13.28%	2.21%	0.00%	26.02%	1.18%	6.49%	0.00%	6.43%	4.41%	6.91%
MDCEX Matisse Discounted Closed-End Fund Strategy	10.86%	11.38%	12.11%	8.00%	9.10%	41.90%	10.81%	10.09%	17.17%	2.33%	3.30%	9.38%

Frequently Asked Questions

Can I hold both MDCEX and ABRZX in my portfolio?

MDCEX and ABRZX have a correlation of 0.52, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, MDCEX or ABRZX?

MDCEX has higher volatility (3.61%) compared to ABRZX (2.99%). In terms of maximum drawdown, MDCEX dropped -48.68% vs ABRZX's -26.62%.

Which has better risk-adjusted returns?

ABRZX currently has the higher Sharpe Ratio (3.49 vs 2.58), 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.