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AlphaSimplex Managed Futures Strategy Fund Class A (AMFAX)

Mutual Fund · Currency in USD · Last updated Mar 24, 2023

The AlphaSimplex Managed Futures Strategy Fund (AMFAX) uses a trend-following strategy to benefit from rising and falling asset prices by taking long and short positions. It employs a multi-model approach that considers trends over different time horizons and uses exchange-traded futures and currency forward contracts to invest in over 70 different assets across global markets. The fund adjusts its position sizes daily to maintain a stable risk profile as market risk levels change.

Share Price Chart


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Performance

The chart shows the growth of $10,000 invested in AlphaSimplex Managed Futures Strategy Fund Class A in Oct 2022 and compares it to the S&P 500 index or another benchmark. It would be worth nearly $18,781 for a total return of roughly 87.81%. All prices are adjusted for splits and dividends.


100.00%150.00%200.00%250.00%NovemberDecember2023FebruaryMarch
87.81%
256.23%
AMFAX (AlphaSimplex Managed Futures Strategy Fund Class A)
Benchmark (^GSPC)

S&P 500

Compare to other instruments

Search for stocks, ETFs, and funds to compare with AMFAX

Return

AlphaSimplex Managed Futures Strategy Fund Class A had a return of -9.48% year-to-date (YTD) and 4.20% in the last 12 months. Over the past 10 years, AlphaSimplex Managed Futures Strategy Fund Class A had an annualized return of 6.20%, while the S&P 500 had an annualized return of 9.76%, indicating that AlphaSimplex Managed Futures Strategy Fund Class A did not perform as well as the benchmark.


PeriodReturnBenchmark
1 month-10.10%-3.20%
Year-To-Date-9.48%2.84%
6 months-13.34%4.19%
1 year4.20%-12.48%
5 years (annualized)7.64%8.83%
10 years (annualized)6.20%9.76%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2023-0.89%1.69%
20228.62%-0.68%-6.75%-0.80%

Sharpe Ratio Chart

The Sharpe ratio shows whether the portfolio's excess returns are due to smart investment decisions or a result of taking a higher risk. The higher a portfolio's Sharpe ratio, the better its risk-adjusted performance.

The current AlphaSimplex Managed Futures Strategy Fund Class A Sharpe ratio is 0.24. A Sharpe ratio between 0 and 1.0 is considered sub-optimal.

The chart below displays rolling 12-month Sharpe Ratio.


-1.000.001.002.003.00NovemberDecember2023FebruaryMarch
0.24
-0.54
AMFAX (AlphaSimplex Managed Futures Strategy Fund Class A)
Benchmark (^GSPC)

Dividend History

AlphaSimplex Managed Futures Strategy Fund Class A granted a 36.12% dividend yield in the last twelve months. The annual payout for that period amounted to $3.31 per share.


PeriodTTM20222021202020192018201720162015201420132012
Dividend$3.31$3.31$0.57$0.32$0.57$0.12$0.00$0.00$0.51$1.46$0.00$0.09

Dividend yield

36.12%32.70%7.62%4.40%8.86%2.02%0.00%0.00%7.65%21.64%0.00%1.73%

Monthly Dividends

The table displays the monthly dividend distributions for AlphaSimplex Managed Futures Strategy Fund Class A. The dividends shown in the table have been adjusted to account for any splits that may have occurred.


JanFebMarAprMayJunJulAugSepOctNovDec
2023$0.00$0.00
2022$0.00$0.00$0.00$0.03$0.00$0.00$0.00$0.00$0.00$0.00$0.00$3.28
2021$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.57
2020$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.32
2019$0.03$0.03$0.04$0.03$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.44
2018$0.00$0.00$0.00$0.12$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00
2017$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00
2016$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00
2015$0.00$0.00$0.00$0.40$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.11
2014$0.00$0.00$0.00$0.09$0.00$0.00$0.00$0.00$0.00$0.00$0.00$1.37
2013$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.00
2012$0.06$0.00$0.00$0.00$0.00$0.00$0.00$0.00$0.03

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%NovemberDecember2023FebruaryMarch
-18.07%
-17.68%
AMFAX (AlphaSimplex Managed Futures Strategy Fund Class A)
Benchmark (^GSPC)

Worst Drawdowns

The table below shows the maximum drawdowns of the AlphaSimplex Managed Futures Strategy Fund Class A. A maximum drawdown is an indicator of risk. It shows a reduction in portfolio value from its maximum due to a series of losing trades.

The maximum drawdown since January 2010 for the AlphaSimplex Managed Futures Strategy Fund Class A is 28.58%, recorded on Nov 7, 2018. It took 626 trading sessions for the portfolio to recover.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-28.58%Apr 16, 2015900Nov 7, 2018626May 6, 20211526
-20.11%May 2, 2011393Nov 21, 2012437Aug 19, 2014830
-18.61%Oct 17, 2022105Mar 17, 2023
-12.46%Jun 15, 202239Aug 10, 202231Sep 23, 202270
-8.65%Jun 3, 2021126Nov 30, 202150Feb 10, 2022176
-7.18%Nov 5, 201017Nov 30, 201064Mar 3, 201181
-5.71%May 9, 202215May 27, 20228Jun 9, 202223
-5.21%Mar 7, 20118Mar 16, 201125Apr 20, 201133
-4.66%Sep 28, 20225Oct 4, 20228Oct 14, 202213
-3.61%Oct 15, 20109Oct 27, 20106Nov 4, 201015

Volatility Chart

Current AlphaSimplex Managed Futures Strategy Fund Class A volatility is 51.69%. The chart below shows the rolling 10-day volatility. Volatility is a statistical measure showing how big price swings are in either direction. The higher asset volatility, the riskier it is, because the price movements are less predictable.


0.00%10.00%20.00%30.00%40.00%50.00%60.00%NovemberDecember2023FebruaryMarch
51.69%
19.59%
AMFAX (AlphaSimplex Managed Futures Strategy Fund Class A)
Benchmark (^GSPC)