VOLSX vs. BIVIX

Last updated Jun 3, 2026

VOLSX (ABR 75/25 Volatility Fund) and BIVIX (Invenomic Fund Institutional Class) are both Long-Short funds. Over the past 5 years, VOLSX returned 5.37%/yr vs 10.56%/yr for BIVIX. At a correlation of -0.09, they often move in opposite directions. VOLSX charges 1.75%/yr vs 3.17%/yr for BIVIX.

Performance

VOLSX vs. BIVIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in ABR 75/25 Volatility Fund (VOLSX) and Invenomic Fund Institutional Class (BIVIX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, VOLSX achieves a 7.12% return, which is significantly higher than BIVIX's -9.27% return.

VOLSX

• 1D: 0.17%
• 1M: 5.17%
• YTD: 7.12%
• 6M: 8.63%
• 1Y: 27.59%
• 3Y*: 11.15%
• 5Y*: 5.37%
• 10Y*: —

BIVIX

• 1D: 3.08%
• 1M: -3.89%
• YTD: -9.27%
• 6M: -5.72%
• 1Y: -1.89%
• 3Y*: -2.89%
• 5Y*: 10.56%
• 10Y*: —

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

VOLSX vs. BIVIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
VOLSX ABR 75/25 Volatility Fund	7.12%	2.83%	15.19%	24.73%	-29.76%	27.64%	2.00%
BIVIX Invenomic Fund Institutional Class	-9.27%	4.63%	-8.81%	16.80%	50.01%	63.81%	24.09%

Correlation

The correlation between VOLSX and BIVIX is -0.19, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	-0.19
Correlation (3Y) Calculated over the trailing 3-year period	-0.20
Correlation (5Y) Calculated over the trailing 5-year period	-0.09
Correlation (All Time) Calculated using the full available price history since Aug 4, 2020	-0.09

The correlation between VOLSX and BIVIX shifts across timeframes, from -0.20 (3 years) to -0.09 (all time), reflecting how their relationship changes across market environments.

Return for Risk

VOLSX vs. BIVIX — Risk / Return Rank

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

VOLSX

VOLSX Risk / Return Rank: 44
VOLSX Sharpe Ratio Rank: 47
VOLSX Sortino Ratio Rank: 42
VOLSX Omega Ratio Rank: 48
VOLSX Calmar Ratio Rank: 35
VOLSX Martin Ratio Rank: 48

BIVIX

BIVIX Risk / Return Rank: 2
BIVIX Sharpe Ratio Rank: 2
BIVIX Sortino Ratio Rank: 2
BIVIX Omega Ratio Rank: 2
BIVIX Calmar Ratio Rank: 2
BIVIX Martin Ratio Rank: 2

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.

VOLSX vs. BIVIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for ABR 75/25 Volatility Fund (VOLSX) and Invenomic Fund Institutional Class (BIVIX). 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.

	VOLSX	BIVIX	Difference
Sharpe ratio Return per unit of total volatility	2.02	-0.10	+2.12
Sortino ratio Return per unit of downside risk	2.72	0.02	+2.70
Omega ratio Gain probability vs. loss probability	1.38	1.00	+0.38
Calmar ratio Return relative to maximum drawdown	2.27	-0.14	+2.42
Martin ratio Return relative to average drawdown	9.94	-0.39	+10.33
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

VOLSX vs. BIVIX - Sharpe Ratio Comparison

The current VOLSX Sharpe Ratio is 2.02, which is higher than the BIVIX Sharpe Ratio of -0.10. The chart below compares the historical Sharpe Ratios of VOLSX and BIVIX, 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

	VOLSX	BIVIX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.02	-0.10	+2.12
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.30	0.64	-0.34
Sharpe Ratio (All Time) Calculated using the full available price history	0.35	0.88	-0.54

Drawdowns

VOLSX vs. BIVIX - Drawdown Comparison

The maximum VOLSX drawdown since its inception was -35.10%, which is greater than BIVIX's maximum drawdown of -20.70%. Use the drawdown chart below to compare losses from any high point for VOLSX and BIVIX.

Drawdown Indicators

	VOLSX	BIVIX	Difference
Max Drawdown Largest peak-to-trough decline	-35.10%	-20.70%	-14.40%
Max Drawdown (1Y) Largest decline over 1 year	-12.37%	-20.70%	+8.33%
Max Drawdown (3Y) Largest decline over 3 years	-24.07%	-20.70%	-3.37%
Max Drawdown (5Y) Largest decline over 5 years	-35.10%	-20.70%	-14.40%
Current Drawdown Current decline from peak	0.00%	-14.98%	+14.98%
Average Drawdown Average peak-to-trough decline	-11.05%	-5.88%	-5.17%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.83%	7.71%	-4.88%

Volatility

VOLSX vs. BIVIX - Volatility Comparison

The current volatility for ABR 75/25 Volatility Fund (VOLSX) is 2.85%, while Invenomic Fund Institutional Class (BIVIX) has a volatility of 11.31%. This indicates that VOLSX experiences smaller price fluctuations and is considered to be less risky than BIVIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	VOLSX	BIVIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.85%	11.31%	-8.46%
Volatility (6M) Calculated over the trailing 6-month period	10.82%	19.66%	-8.84%
Volatility (1Y) Calculated over the trailing 1-year period	14.16%	23.83%	-9.67%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	18.20%	16.60%	+1.60%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	18.93%	17.03%	+1.90%

VOLSX vs. BIVIX - Expense Ratio Comparison

VOLSX has a 1.75% expense ratio, which is lower than BIVIX's 3.17% expense ratio.

Dividends

VOLSX vs. BIVIX - Dividend Comparison

VOLSX's dividend yield for the trailing twelve months is around 2.04%, less than BIVIX's 2.42% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017
BIVIX Invenomic Fund Institutional Class	2.42%	2.20%	3.95%	20.15%	27.91%	16.08%	3.15%	3.19%	4.79%	1.21%
VOLSX ABR 75/25 Volatility Fund	2.04%	2.18%	2.24%	0.29%	0.00%	18.63%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both VOLSX and BIVIX in my portfolio?

VOLSX and BIVIX have a correlation of -0.19, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, VOLSX or BIVIX?

BIVIX has higher volatility (11.31%) compared to VOLSX (2.85%). In terms of maximum drawdown, VOLSX dropped -35.10% vs BIVIX's -20.70%.

Which has better risk-adjusted returns?

VOLSX currently has the higher Sharpe Ratio (2.02 vs -0.10), 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.