RETSX vs. ASFYX

Last updated Apr 1, 2026

Compare and contrast key facts about Russell Investment Tax-Managed U.S. Large Cap Fund (RETSX) and AlphaSimplex Managed Futures Strategy Fund Class Y (ASFYX).

RETSX is managed by BlackRock. It was launched on Oct 7, 1996. ASFYX is managed by BlackRock. It was launched on Jul 30, 2010.

Performance

RETSX vs. ASFYX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Russell Investment Tax-Managed U.S. Large Cap Fund (RETSX) and AlphaSimplex Managed Futures Strategy Fund Class Y (ASFYX). The values are adjusted to include any dividend payments, if applicable.

RETSX vs. ASFYX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
RETSX Russell Investment Tax-Managed U.S. Large Cap Fund	-7.47%	14.45%	20.43%	24.74%	-18.96%	24.82%	17.70%	28.94%	-6.97%	21.51%
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y	6.59%	-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, RETSX achieves a -7.47% return, which is significantly lower than ASFYX's 6.59% return. Over the past 10 years, RETSX has outperformed ASFYX with an annualized return of 11.63%, while ASFYX has yielded a comparatively lower 1.87% annualized return.

RETSX

• 1D: -0.28%
• 1M: -7.60%
• YTD: -7.47%
• 6M: -5.43%
• 1Y: 11.02%
• 3Y*: 14.07%
• 5Y*: 8.91%
• 10Y*: 11.63%

ASFYX

• 1D: 0.00%
• 1M: -1.55%
• YTD: 6.59%
• 6M: 10.95%
• 1Y: 3.41%
• 3Y*: -2.89%
• 5Y*: 2.30%
• 10Y*: 1.87%

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

RETSX vs. ASFYX - Expense Ratio Comparison

RETSX has a 0.92% expense ratio, which is lower than ASFYX's 1.47% expense ratio.

ASFYX

AlphaSimplex Managed Futures Strategy Fund Class Y

RETSX

Russell Investment Tax-Managed U.S. Large Cap Fund

Return for Risk

RETSX vs. ASFYX — Risk / Return Rank

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

RETSX

RETSX Risk / Return Rank: 28
RETSX Sharpe Ratio Rank: 26
RETSX Sortino Ratio Rank: 28
RETSX Omega Ratio Rank: 30
RETSX Calmar Ratio Rank: 26
RETSX Martin Ratio Rank: 32

ASFYX

ASFYX Risk / Return Rank: 8
ASFYX Sharpe Ratio Rank: 9
ASFYX Sortino Ratio Rank: 8
ASFYX Omega Ratio Rank: 8
ASFYX Calmar Ratio Rank: 8
ASFYX Martin Ratio Rank: 7

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.

RETSX vs. ASFYX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Russell Investment Tax-Managed U.S. Large Cap Fund (RETSX) 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.

	RETSX	ASFYX	Difference
Sharpe ratio Return per unit of total volatility	0.65	0.18	+0.47
Sortino ratio Return per unit of downside risk	1.05	0.30	+0.75
Omega ratio Gain probability vs. loss probability	1.16	1.04	+0.11
Calmar ratio Return relative to maximum drawdown	0.77	0.10	+0.67
Martin ratio Return relative to average drawdown	3.50	0.16	+3.34
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

RETSX vs. ASFYX - Sharpe Ratio Comparison

The current RETSX Sharpe Ratio is 0.65, which is higher than the ASFYX Sharpe Ratio of 0.18. The chart below compares the historical Sharpe Ratios of RETSX and ASFYX, offering insights into how both investments have performed under varying market conditions. These values are calculated using daily returns over the previous 12 months.

Sharpe Ratios by Period

	RETSX	ASFYX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	0.65	0.18	+0.47
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.54	0.17	+0.37
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.66	0.15	+0.51
Sharpe Ratio (All Time) Calculated using the full available price history	0.43	0.31	+0.12

Correlation

The correlation between RETSX and ASFYX is 0.21, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Dividends

RETSX vs. ASFYX - Dividend Comparison

RETSX's dividend yield for the trailing twelve months is around 0.48%, less than ASFYX's 1.43% yield.

	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
RETSX Russell Investment Tax-Managed U.S. Large Cap Fund	0.48%	0.44%	0.49%	0.54%	0.59%	0.14%	0.47%	0.78%	0.90%	1.02%	0.84%	0.76%
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y	1.43%	1.52%	1.46%	0.99%	32.48%	6.07%	3.40%	5.51%	1.30%	0.07%	0.01%	5.06%

Drawdowns

RETSX vs. ASFYX - Drawdown Comparison

The maximum RETSX drawdown since its inception was -57.35%, which is greater than ASFYX's maximum drawdown of -36.43%. Use the drawdown chart below to compare losses from any high point for RETSX and ASFYX.

Drawdown Indicators

	RETSX	ASFYX	Difference
Max Drawdown Largest peak-to-trough decline	-57.35%	-36.43%	-20.92%
Max Drawdown (1Y) Largest decline over 1 year	-12.20%	-13.51%	+1.31%
Max Drawdown (5Y) Largest decline over 5 years	-25.62%	-36.43%	+10.81%
Max Drawdown (10Y) Largest decline over 10 years	-33.52%	-36.43%	+2.91%
Current Drawdown Current decline from peak	-9.29%	-24.37%	+15.08%
Average Drawdown Average peak-to-trough decline	-10.60%	-13.09%	+2.49%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.68%	8.72%	-6.04%

Volatility

RETSX vs. ASFYX - Volatility Comparison

Russell Investment Tax-Managed U.S. Large Cap Fund (RETSX) has a higher volatility of 4.12% compared to AlphaSimplex Managed Futures Strategy Fund Class Y (ASFYX) at 3.86%. This indicates that RETSX's price experiences larger fluctuations and is considered to be riskier than ASFYX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	RETSX	ASFYX	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.12%	3.86%	+0.26%
Volatility (6M) Calculated over the trailing 6-month period	8.92%	10.01%	-1.09%
Volatility (1Y) Calculated over the trailing 1-year period	18.01%	13.02%	+4.99%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	16.67%	13.68%	+2.99%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	17.79%	12.68%	+5.11%