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AlphaSimplex Managed Futures Strategy Fund Class A...
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Fund Info

ISINUS63872T7458
CUSIP63872T745
IssuerBlackrock
Inception DateJul 30, 2010
CategorySystematic Trend
Min. Investment$2,500
Home Pagewww.im.natixis.com
Asset ClassAlternatives

Expense Ratio

AMFAX has a high expense ratio of 1.72%, indicating higher-than-average management fees.


Expense ratio chart for AMFAX: current value at 1.72% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.72%

Share Price Chart


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Compare to other instruments

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


AlphaSimplex Managed Futures Strategy Fund Class A

Popular comparisons: AMFAX vs. EBSIX, AMFAX vs. MBXIX, AMFAX vs. VOO, AMFAX vs. SPY, AMFAX vs. ASFYX

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.


50.00%100.00%150.00%200.00%250.00%300.00%350.00%400.00%December2024FebruaryMarchAprilMay
108.10%
381.67%
AMFAX (AlphaSimplex Managed Futures Strategy Fund Class A)
Benchmark (^GSPC)

S&P 500

Returns By Period

AlphaSimplex Managed Futures Strategy Fund Class A had a return of 12.18% year-to-date (YTD) and 5.62% in the last 12 months. Over the past 10 years, AlphaSimplex Managed Futures Strategy Fund Class A had an annualized return of 5.91%, while the S&P 500 had an annualized return of 10.70%, indicating that AlphaSimplex Managed Futures Strategy Fund Class A did not perform as well as the benchmark.


PeriodReturnBenchmark
Year-To-Date12.18%11.24%
1 month0.40%4.04%
6 months10.92%16.49%
1 year5.62%26.17%
5 years (annualized)10.42%13.76%
10 years (annualized)5.91%10.70%

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.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.00%4.54%3.50%2.66%12.18%
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%
20222.72%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%
20200.11%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%
20186.33%-9.57%-1.00%-0.93%-1.75%0.52%-0.31%4.39%-4.61%-6.20%-2.24%2.75%-12.87%
20170.00%2.25%-1.70%-0.81%0.10%-2.46%2.84%1.53%-0.50%4.25%0.68%0.38%6.55%
20165.88%1.82%-1.34%-2.72%-2.24%4.10%1.56%-3.97%-4.04%-4.40%-0.72%0.82%-5.69%
20157.56%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%
20130.55%-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 12, indicating that it is in the bottom 12% 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.


The Risk-Adjusted Performance Rank of AMFAX is 1212
AMFAX (AlphaSimplex Managed Futures Strategy Fund Class A)
The Sharpe Ratio Rank of AMFAX is 1212Sharpe Ratio Rank
The Sortino Ratio Rank of AMFAX is 1111Sortino Ratio Rank
The Omega Ratio Rank of AMFAX is 1212Omega Ratio Rank
The Calmar Ratio Rank of AMFAX is 1616Calmar Ratio Rank
The Martin Ratio Rank of AMFAX is 1111Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

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.


AMFAX
Sharpe ratio
The chart of Sharpe ratio for AMFAX, currently valued at 0.64, compared to the broader market-1.000.001.002.003.004.000.64
Sortino ratio
The chart of Sortino ratio for AMFAX, currently valued at 0.93, compared to the broader market-2.000.002.004.006.008.0010.0012.000.93
Omega ratio
The chart of Omega ratio for AMFAX, currently valued at 1.11, compared to the broader market1.002.003.004.001.11
Calmar ratio
The chart of Calmar ratio for AMFAX, currently valued at 0.31, compared to the broader market0.005.0010.0015.000.31
Martin ratio
The chart of Martin ratio for AMFAX, currently valued at 1.42, compared to the broader market0.0020.0040.0060.0080.001.42
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 2.43, compared to the broader market-1.000.001.002.003.004.002.43
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 3.44, compared to the broader market-2.000.002.004.006.008.0010.0012.003.44
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.43, compared to the broader market1.002.003.004.001.43
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.96, compared to the broader market0.005.0010.0015.001.96
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 9.23, compared to the broader market0.0020.0040.0060.0080.009.23

Sharpe Ratio

The current AlphaSimplex Managed Futures Strategy Fund Class A Sharpe ratio is 0.64. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Use the chart below to compare the Sharpe ratio of AlphaSimplex Managed Futures Strategy Fund Class A with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.


Rolling 12-month Sharpe Ratio-1.000.001.002.003.00December2024FebruaryMarchAprilMay
0.64
2.43
AMFAX (AlphaSimplex Managed Futures Strategy Fund Class A)
Benchmark (^GSPC)

Dividends

Dividend History

AlphaSimplex Managed Futures Strategy Fund Class A granted a 0.27% dividend yield in the last twelve months. The annual payout for that period amounted to $0.03 per share.


PeriodTTM2023202220212020201920182017201620152014
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

0.27%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.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024$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.


-20.00%-15.00%-10.00%-5.00%0.00%December2024FebruaryMarchAprilMay
-9.22%
-0.29%
AMFAX (AlphaSimplex Managed Futures Strategy Fund Class A)
Benchmark (^GSPC)

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 9.22%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-28.58%Apr 16, 2015900Nov 7, 2018626May 6, 20211526
-20.78%Oct 17, 2022314Jan 17, 2024
-20.11%May 2, 2011393Nov 21, 2012437Aug 19, 2014830
-12.46%Jun 15, 202239Aug 10, 202231Sep 23, 202270
-8.65%Jun 9, 2021122Nov 30, 202150Feb 10, 2022172

Volatility

Volatility Chart

The current AlphaSimplex Managed Futures Strategy Fund Class A volatility is 3.63%, 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.


2.00%2.50%3.00%3.50%4.00%December2024FebruaryMarchAprilMay
3.63%
3.00%
AMFAX (AlphaSimplex Managed Futures Strategy Fund Class A)
Benchmark (^GSPC)