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.
Share Price Chart
Loading data...
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.
Compare to other instruments
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.
| Period | Return | Benchmark |
|---|---|---|
| 1 month | -10.10% | -3.20% |
| Year-To-Date | -9.48% | 2.84% |
| 6 months | -13.34% | 4.19% |
| 1 year | 4.20% | -12.48% |
| 5 years (annualized) | 7.64% | 8.83% |
| 10 years (annualized) | 6.20% | 9.76% |
Monthly Returns Heatmap
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2023 | -0.89% | 1.69% | ||||||||||
| 2022 | 8.62% | -0.68% | -6.75% | -0.80% |
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.
| Period | TTM | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | 2012 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 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.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 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.
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, 2015 | 900 | Nov 7, 2018 | 626 | May 6, 2021 | 1526 |
| -20.11% | May 2, 2011 | 393 | Nov 21, 2012 | 437 | Aug 19, 2014 | 830 |
| -18.61% | Oct 17, 2022 | 105 | Mar 17, 2023 | — | — | — |
| -12.46% | Jun 15, 2022 | 39 | Aug 10, 2022 | 31 | Sep 23, 2022 | 70 |
| -8.65% | Jun 3, 2021 | 126 | Nov 30, 2021 | 50 | Feb 10, 2022 | 176 |
| -7.18% | Nov 5, 2010 | 17 | Nov 30, 2010 | 64 | Mar 3, 2011 | 81 |
| -5.71% | May 9, 2022 | 15 | May 27, 2022 | 8 | Jun 9, 2022 | 23 |
| -5.21% | Mar 7, 2011 | 8 | Mar 16, 2011 | 25 | Apr 20, 2011 | 33 |
| -4.66% | Sep 28, 2022 | 5 | Oct 4, 2022 | 8 | Oct 14, 2022 | 13 |
| -3.61% | Oct 15, 2010 | 9 | Oct 27, 2010 | 6 | Nov 4, 2010 | 15 |
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.