AlphaSimplex Managed Futures Strategy Fund Class A (AMFAX)
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.
Fund Info
| ISIN | US63872T7458 |
|---|---|
| CUSIP | 63872T745 |
| Issuer | Blackrock |
| Inception Date | Jul 30, 2010 |
| Category | Systematic Trend |
| Min. Investment | $2,500 |
| Home Page | www.im.natixis.com |
| Asset Class | Alternatives |
Expense Ratio
AMFAX has a high expense ratio of 1.72%, indicating higher-than-average management fees.
Share Price Chart
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Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in AlphaSimplex Managed Futures Strategy Fund Class A, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends.
Returns By Period
AlphaSimplex Managed Futures Strategy Fund Class A had a return of 1.55% year-to-date (YTD) and -3.79% in the last 12 months. Over the past 10 years, AlphaSimplex Managed Futures Strategy Fund Class A had an annualized return of 4.53%, while the S&P 500 had an annualized return of 10.58%, indicating that AlphaSimplex Managed Futures Strategy Fund Class A did not perform as well as the benchmark.
| Period | Return | Benchmark |
|---|---|---|
| Year-To-Date | 1.55% | 13.20% |
| 1 month | -3.58% | -1.28% |
| 6 months | 2.23% | 10.32% |
| 1 year | -3.79% | 18.23% |
| 5 years (annualized) | 7.51% | 12.31% |
| 10 years (annualized) | 4.53% | 10.58% |
Monthly Returns
The table below presents the monthly returns of AMFAX, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 0.00% | 4.54% | 3.50% | 2.66% | -0.60% | -4.21% | 1.55% | ||||||
| 2023 | -0.89% | 1.69% | -9.50% | 1.62% | 1.06% | 2.00% | -0.72% | -1.98% | 3.29% | 0.41% | -6.65% | -0.69% | -10.59% |
| 2022 | 2.72% | 3.13% | 11.40% | 10.00% | -1.09% | 6.60% | -5.67% | 5.08% | 8.62% | -0.68% | -6.75% | -0.80% | 35.38% |
| 2021 | -0.39% | 4.15% | 0.95% | 2.44% | 2.02% | -2.07% | 0.55% | -0.91% | -2.03% | 4.04% | -7.50% | 2.58% | 3.28% |
| 2020 | 0.11% | 0.65% | 6.22% | -0.10% | -2.93% | -1.25% | 4.95% | 0.90% | -3.08% | -0.21% | 3.29% | 4.49% | 13.29% |
| 2019 | -2.53% | -0.46% | 6.21% | 3.96% | -0.42% | 1.17% | 1.89% | 6.89% | -2.60% | -3.16% | -0.31% | -0.82% | 9.62% |
| 2018 | 6.33% | -9.57% | -1.00% | -0.93% | -1.75% | 0.52% | -0.31% | 4.39% | -4.61% | -6.20% | -2.24% | 2.75% | -12.87% |
| 2017 | 0.00% | 2.25% | -1.70% | -0.81% | 0.10% | -2.46% | 2.84% | 1.53% | -0.50% | 4.25% | 0.68% | 0.38% | 6.55% |
| 2016 | 5.88% | 1.82% | -1.34% | -2.72% | -2.24% | 4.10% | 1.56% | -3.97% | -4.04% | -4.40% | -0.72% | 0.82% | -5.69% |
| 2015 | 7.56% | 1.44% | 2.42% | -3.51% | -2.01% | -5.52% | 2.64% | -1.93% | 1.40% | -1.29% | 2.34% | -4.18% | -1.37% |
| 2014 | -3.02% | 1.11% | -0.40% | 1.96% | 3.76% | 1.33% | 0.66% | 5.14% | 0.80% | -0.62% | 7.01% | 2.54% | 21.80% |
| 2013 | 0.55% | -0.11% | 2.62% | 6.71% | -3.69% | -1.97% | 1.27% | -2.40% | 1.92% | 4.30% | 1.11% | 1.99% | 12.51% |
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of AMFAX is 1, indicating that it is in the bottom 1% of mutual funds on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.
Risk-Adjusted Performance Indicators
The charts below present risk-adjusted performance metrics for AlphaSimplex Managed Futures Strategy Fund Class A (AMFAX) and compare them to a chosen benchmark (^GSPC). These indicators evaluate an investment's returns against its associated risks.
Dividends
Dividend History
AlphaSimplex Managed Futures Strategy Fund Class A granted a 0.30% dividend yield in the last twelve months. The annual payout for that period amounted to $0.03 per share.
| Period | TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 |
|---|---|---|---|---|---|---|---|---|---|---|---|
| Dividend | $0.03 | $0.03 | $3.32 | $0.57 | $0.32 | $0.57 | $0.12 | $0.00 | $0.00 | $0.51 | $1.46 |
Dividend yield | 0.30% | 0.30% | 32.70% | 5.74% | 3.14% | 6.12% | 1.31% | 0.00% | 0.00% | 4.92% | 13.32% |
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.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | |||||
| 2023 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.03 | $0.03 |
| 2022 | $0.00 | $0.00 | $0.00 | $0.03 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $3.29 | $3.32 |
| 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 | $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 | $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 | $0.57 |
| 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 | $0.12 |
| 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 | $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 | $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 | $0.51 |
| 2014 | $0.09 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $1.37 | $1.46 |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way.
Worst Drawdowns
The table below displays the maximum drawdowns of the AlphaSimplex Managed Futures Strategy Fund Class A. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.
The maximum drawdown for the AlphaSimplex Managed Futures Strategy Fund Class A was 28.58%, occurring on Nov 7, 2018. Recovery took 626 trading sessions.
The current AlphaSimplex Managed Futures Strategy Fund Class A drawdown is 17.82%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -28.58% | Apr 16, 2015 | 900 | Nov 7, 2018 | 626 | May 6, 2021 | 1526 |
| -20.78% | Oct 17, 2022 | 314 | Jan 17, 2024 | — | — | — |
| -20.11% | May 2, 2011 | 393 | Nov 21, 2012 | 437 | Aug 19, 2014 | 830 |
| -12.46% | Jun 15, 2022 | 39 | Aug 10, 2022 | 31 | Sep 23, 2022 | 70 |
| -8.65% | Jun 9, 2021 | 122 | Nov 30, 2021 | 50 | Feb 10, 2022 | 172 |
Volatility
Volatility Chart
The current AlphaSimplex Managed Futures Strategy Fund Class A volatility is 3.30%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.