NAVFX vs. ABRYX

Last updated Jun 5, 2026

NAVFX (Sector Rotation Fund) and ABRYX (Invesco Balanced-Risk Allocation Fund) are both Tactical Allocation funds. Over the past 10 years, NAVFX returned 11.01%/yr vs 5.11%/yr for ABRYX. At a 0.50 correlation, their price movements are largely independent. NAVFX charges 1.97%/yr vs 1.06%/yr for ABRYX.

Performance

NAVFX vs. ABRYX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Sector Rotation Fund (NAVFX) and Invesco Balanced-Risk Allocation Fund (ABRYX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, NAVFX achieves a 7.97% return, which is significantly lower than ABRYX's 20.69% return. Over the past 10 years, NAVFX has outperformed ABRYX with an annualized return of 11.01%, while ABRYX has yielded a comparatively lower 5.11% annualized return.

NAVFX

• 1D: -0.67%
• 1M: 2.87%
• YTD: 7.97%
• 6M: 8.27%
• 1Y: 19.93%
• 3Y*: 18.75%
• 5Y*: 9.86%
• 10Y*: 11.01%

ABRYX

• 1D: -0.49%
• 1M: 1.60%
• YTD: 20.69%
• 6M: 20.44%
• 1Y: 29.65%
• 3Y*: 12.32%
• 5Y*: 4.61%
• 10Y*: 5.11%

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

NAVFX vs. ABRYX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
NAVFX Sector Rotation Fund	7.97%	13.35%	21.19%	24.55%	-17.89%	15.78%	11.54%	22.22%	-5.38%	20.41%
ABRYX Invesco Balanced-Risk Allocation Fund	20.69%	8.50%	3.34%	6.34%	-14.82%	9.65%	9.50%	9.76%	-6.73%	9.97%

Correlation

The correlation between NAVFX and ABRYX is 0.48, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.48
Correlation (3Y) Calculated over the trailing 3-year period	0.50
Correlation (5Y) Calculated over the trailing 5-year period	0.51
Correlation (10Y) Calculated over the trailing 10-year period	0.52
Correlation (All Time) Calculated using the full available price history since Dec 31, 2009	0.50

The correlation between NAVFX and ABRYX has been stable across timeframes, ranging from 0.48 to 0.52 - a consistent structural relationship.

Return for Risk

NAVFX vs. ABRYX — Risk / Return Rank

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

NAVFX

NAVFX Risk / Return Rank: 38
NAVFX Sharpe Ratio Rank: 35
NAVFX Sortino Ratio Rank: 36
NAVFX Omega Ratio Rank: 37
NAVFX Calmar Ratio Rank: 30
NAVFX Martin Ratio Rank: 50

ABRYX

ABRYX Risk / Return Rank: 94
ABRYX Sharpe Ratio Rank: 95
ABRYX Sortino Ratio Rank: 91
ABRYX Omega Ratio Rank: 91
ABRYX Calmar Ratio Rank: 97
ABRYX 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.

NAVFX vs. ABRYX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Sector Rotation Fund (NAVFX) and Invesco Balanced-Risk Allocation Fund (ABRYX). 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.

	NAVFX	ABRYX	Difference
Sharpe ratio: Return per unit of total volatility	1.70	3.41	-1.71
Sortino ratio: Return per unit of downside risk	2.48	4.50	-2.02
Omega ratio: Gain probability vs. loss probability	1.32	1.67	-0.36
Calmar ratio: Return relative to maximum drawdown	2.00	7.28	-5.29
Martin ratio: Return relative to average drawdown	10.08	26.53	-16.45
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

NAVFX vs. ABRYX - Sharpe Ratio Comparison

The current NAVFX Sharpe Ratio is 1.70, which is lower than the ABRYX Sharpe Ratio of 3.41. The chart below compares the historical Sharpe Ratios of NAVFX and ABRYX, 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

	NAVFX	ABRYX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.70	3.41	-1.71
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.60	0.38	+0.22
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.67	0.47	+0.20
Sharpe Ratio (All Time) Calculated using the full available price history	0.68	0.65	+0.03

Drawdowns

NAVFX vs. ABRYX - Drawdown Comparison

The maximum NAVFX drawdown since its inception was -30.79%, which is greater than ABRYX's maximum drawdown of -26.63%. Use the drawdown chart below to compare losses from any high point for NAVFX and ABRYX.

Drawdown Indicators

	NAVFX	ABRYX	Difference
Max Drawdown Largest peak-to-trough decline	-30.79%	-26.63%	-4.16%
Max Drawdown (1Y) Largest decline over 1 year	-10.14%	-4.15%	-5.99%
Max Drawdown (3Y) Largest decline over 3 years	-20.39%	-18.09%	-2.30%
Max Drawdown (5Y) Largest decline over 5 years	-24.30%	-19.17%	-5.13%
Max Drawdown (10Y) Largest decline over 10 years	-30.79%	-26.63%	-4.16%
Current Drawdown Current decline from peak	-0.97%	-0.49%	-0.48%
Average Drawdown Average peak-to-trough decline	-4.56%	-4.64%	+0.08%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.00%	1.14%	+0.86%

Volatility

NAVFX vs. ABRYX - Volatility Comparison

Sector Rotation Fund (NAVFX) has a higher volatility of 3.16% compared to Invesco Balanced-Risk Allocation Fund (ABRYX) at 2.99%. This indicates that NAVFX's price experiences larger fluctuations and is considered to be riskier than ABRYX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	NAVFX	ABRYX	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.16%	2.99%	+0.17%
Volatility (6M) Calculated over the trailing 6-month period	10.01%	7.91%	+2.10%
Volatility (1Y) Calculated over the trailing 1-year period	11.95%	8.87%	+3.08%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.42%	12.18%	+4.24%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	16.56%	10.90%	+5.66%

NAVFX vs. ABRYX - Expense Ratio Comparison

NAVFX has a 1.97% expense ratio, which is higher than ABRYX's 1.06% expense ratio.

Dividends

NAVFX vs. ABRYX - Dividend Comparison

NAVFX's dividend yield for the trailing twelve months is around 2.05%, less than ABRYX's 2.94% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
ABRYX Invesco Balanced-Risk Allocation Fund	2.94%	3.55%	13.21%	2.43%	0.00%	25.72%	1.40%	6.66%	0.00%	6.34%	4.36%	7.17%
NAVFX Sector Rotation Fund	2.05%	2.21%	7.02%	1.66%	7.80%	5.16%	1.16%	8.54%	10.05%	6.08%	2.96%	3.14%

Frequently Asked Questions

Can I hold both NAVFX and ABRYX in my portfolio?

NAVFX and ABRYX have a correlation of 0.48, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, NAVFX or ABRYX?

NAVFX has higher volatility (3.16%) compared to ABRYX (2.99%). In terms of maximum drawdown, NAVFX dropped -30.79% vs ABRYX's -26.63%.

Which has better risk-adjusted returns?

ABRYX currently has the higher Sharpe Ratio (3.41 vs 1.70), 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.