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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

The AlphaSimplex Managed Futures Strategy Fund Class A has a high expense ratio of 1.72%, indicating higher-than-average management fees.


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 to compare with AMFAX

AlphaSimplex Managed Futures Strategy Fund Class A

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

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.


100.00%150.00%200.00%250.00%300.00%350.00%OctoberNovemberDecember2024FebruaryMarch
100.09%
376.44%
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 7.86% year-to-date (YTD) and 6.65% in the last 12 months. Over the past 10 years, AlphaSimplex Managed Futures Strategy Fund Class A had an annualized return of 6.14%, while the S&P 500 had an annualized return of 10.96%, indicating that AlphaSimplex Managed Futures Strategy Fund Class A did not perform as well as the benchmark.


PeriodReturnBenchmark
Year-To-Date7.86%10.04%
1 month2.74%3.53%
6 months-0.41%22.79%
1 year6.65%32.16%
5 years (annualized)10.22%13.15%
10 years (annualized)6.14%10.96%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20240.00%4.54%
2023-1.98%3.29%0.41%-6.65%-0.69%

Risk-Adjusted Performance

Risk-Adjusted Performance Indicators

This table presents risk-adjusted performance metrics for AlphaSimplex Managed Futures Strategy Fund Class A (AMFAX) and compares them with a selected benchmark (^GSPC). These performance indicators assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.


Sharpe ratioSortino ratioOmega ratioCalmar ratioUlcer Index
AMFAX
AlphaSimplex Managed Futures Strategy Fund Class A
0.71
^GSPC
S&P 500
2.76

Sharpe Ratio

The current AlphaSimplex Managed Futures Strategy Fund Class A Sharpe ratio is 0.71. A Sharpe ratio between 0 and 1.0 is considered sub-optimal.


Rolling 12-month Sharpe Ratio-1.000.001.002.003.00OctoberNovemberDecember2024FebruaryMarch
0.71
2.76
AMFAX (AlphaSimplex Managed Futures Strategy Fund Class A)
Benchmark (^GSPC)

Dividends

Dividend History

AlphaSimplex Managed Futures Strategy Fund Class A granted a 0.28% 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

0.28%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.


JanFebMarAprMayJunJulAugSepOctNovDec
2024$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
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
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$0.09$0.00$0.00$0.00$0.00$0.00$0.00$0.00$1.37

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%OctoberNovemberDecember2024FebruaryMarch
-12.72%
0
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 12.72%.


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 2.47%, 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.


1.50%2.00%2.50%3.00%3.50%4.00%4.50%5.00%OctoberNovemberDecember2024FebruaryMarch
2.47%
2.82%
AMFAX (AlphaSimplex Managed Futures Strategy Fund Class A)
Benchmark (^GSPC)