- ISIN
- US63872T7292
- CUSIP
- 63872T729
- Issuer
- BlackRock
- Inception Date
- Jul 30, 2010
- Category
- Systematic Trend
- Min. Investment
- $100,000
- Distribution Policy
- Distributing
- Asset Class
- Alternatives
Share Price Chart
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Performance
ASFYX Performance Chart
AlphaSimplex Managed Futures Strategy Fund Class Y (ASFYX) is up 11.2% since the beginning of the year. ASFYX is currently trading at $9 per share. Investors who bought $1,000 worth of ASFYX shares 5 years ago would now be looking at an investment worth $1,165.
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Returns By Period
AlphaSimplex Managed Futures Strategy Fund Class Y (ASFYX) has returned 11.24% so far this year and 23.30% over the past 12 months. Over the last ten years, ASFYX has returned 2.59% per year, falling short of the S&P 500 Index benchmark, which averaged 13.88% annually.
AlphaSimplex Managed Futures Strategy Fund Class Y
- 1D
- 0.47%
- 1M
- -3.04%
- YTD
- 11.24%
- 6M
- 10.85%
- 1Y
- 23.30%
- 3Y*
- -2.79%
- 5Y*
- 3.10%
- 10Y*
- 2.59%
Benchmark (S&P 500 Index)
- 1D
- -0.37%
- 1M
- -0.01%
- YTD
- 9.16%
- 6M
- 8.64%
- 1Y
- 25.22%
- 3Y*
- 19.78%
- 5Y*
- 11.99%
- 10Y*
- 13.88%
ASFYX Monthly Returns History
Based on dividend-adjusted daily data since Aug 3, 2010, ASFYX's average daily return is +0.02%, while the average monthly return is +0.39%. At this rate, an investment would double in approximately 14.8 years.
Historically, 53% of months were positive and 47% were negative. The best month was Mar 2022 with a return of +11.5%, while the worst month was Apr 2025 at -9.9%. The longest winning streak lasted 7 consecutive months, and the longest losing streak was 4 months.
On a daily basis, ASFYX closed higher 50% of trading days. The best single day was Mar 7, 2022 with a return of +3.5%, while the worst single day was Mar 13, 2023 at -7.2%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 4.01% | 4.10% | -1.43% | 6.05% | -0.34% | -1.37% | 11.24% | ||||||
| 2025 | 0.92% | -3.30% | -4.59% | -9.88% | -1.92% | 0.56% | -0.69% | 1.96% | 3.57% | 0.93% | 0.92% | 2.19% | -9.67% |
| 2024 | -0.00% | 4.61% | 3.56% | 2.63% | -0.99% | -3.78% | -1.76% | -6.11% | 1.46% | -4.76% | 1.86% | 0.64% | -3.22% |
| 2023 | -0.88% | 1.77% | -9.56% | 1.71% | 1.05% | 2.08% | -0.71% | -1.95% | 3.24% | 0.51% | -6.65% | -0.65% | -10.33% |
| 2022 | 2.79% | 3.10% | 11.47% | 10.06% | -1.08% | 6.60% | -5.68% | 5.10% | 8.60% | -0.61% | -6.81% | -0.76% | 35.67% |
| 2021 | -0.39% | 4.20% | 0.94% | 2.41% | 2.09% | -2.04% | 0.54% | -0.81% | -2.09% | 4.09% | -7.49% | 2.62% | 3.52% |
Benchmark Metrics
AlphaSimplex Managed Futures Strategy Fund Class Y has an annualized alpha of 3.54%, beta of 0.09, and R2 of 0.01 versus S&P 500 Index. Calculated based on daily prices since August 03, 2010.
- This fund participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (16.34%) than losses (9.55%) - typical of diversified or defensive assets.
- Beta of 0.09 may look defensive, but with R2 of 0.01 this fund is largely uncorrelated with S&P 500 Index - low beta reflects independence, not downside protection. See the Volatility section for a true picture of this fund's risk.
- R2 of 0.01 means this fund moves largely independently of S&P 500 Index - capture ratios reflect limited market correlation rather than active downside protection. Consider using a more representative benchmark.
- Alpha
- 3.54%
- Beta
- 0.09
- R²
- 0.01
- Upside Capture
- 16.34%
- Downside Capture
- 9.55%
Expense Ratio
ASFYX has a high expense ratio of 1.47%, indicating above-average management fees.
Return for Risk
Risk / Return Rank
ASFYX ranks 60 for risk / return — better than 60% of mutual funds on our site. You're getting solid returns for the risk taken. A good sign, especially for investors who want growth without excessive volatility.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for AlphaSimplex Managed Futures Strategy Fund Class Y (ASFYX) and compare them to S&P 500 Index.
Values are calculated on a 1-year rolling basis and updated daily. Risk-adjusted metrics are more stable over longer periods — use the period switch above to explore them.
| ASFYX | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.13 | ||
| Sortino ratioReturn per unit of downside risk | -0.23 | ||
| Omega ratioGain probability vs. loss probability | 1.34 | 1.37 | -0.03 |
| Calmar ratioReturn relative to maximum drawdown | 4.22 | 2.78 | +1.43 |
| Martin ratioReturn relative to average drawdown | 13.32 | 12.44 | +0.89 |
Dividends
Dividend History
AlphaSimplex Managed Futures Strategy Fund Class Y provided a 1.37% dividend yield over the last twelve months, with an annual payout of $0.12 per share.
| Period | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Dividend | $0.12 | $0.12 | $0.13 | $0.09 | $3.34 | $0.61 | $0.35 | $0.52 | $0.12 | $0.01 | $0.00 | $0.53 |
Dividend yield | 1.37% | 1.52% | 1.46% | 0.99% | 32.48% | 6.07% | 3.40% | 5.51% | 1.30% | 0.07% | 0.01% | 5.06% |
Monthly Dividends
The table displays the monthly dividend distributions for AlphaSimplex Managed Futures Strategy Fund Class Y. 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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | ||||||
| 2025 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.12 | $0.12 |
| 2024 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.13 | $0.13 |
| 2023 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.09 | $0.09 |
| 2022 | $0.00 | $0.00 | $0.00 | $0.03 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $3.31 | $3.34 |
| 2021 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.00 | $0.61 | $0.61 |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
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Worst Drawdowns
The table below displays the maximum drawdowns of the AlphaSimplex Managed Futures Strategy Fund Class Y. 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 Y was 36.43%, occurring on May 14, 2025. The portfolio has not yet recovered.
The current AlphaSimplex Managed Futures Strategy Fund Class Y drawdown is 21.07%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
2025 selloff2025 | -36.43%May 2025 | 2y 7mo | — | 3y 8moOct 2022 - now |
Rate-hike selloffLate 2018 | -28.00%Nov 2018 | 3y 6mo | 2y 5mo | 6y 13dApr 2015 - Apr 2021 |
2012 correction2012 | -19.71%Nov 2012 | 1y 6mo | 1y 8mo | 3y 3moMay 2011 - Aug 2014 |
Bear market2022 | -12.52%Aug 2022 | 1mo 26d | 1mo 14d | 3mo 10dJun 2022 - Sep 2022 |
2021 pullback2021 | -8.63%Nov 2021 | 6mo | 2mo 12d | 8mo 12dJun 2021 - Feb 2022 |
Drawdown Indicators
| ASFYX | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -36.43% | -56.78% | +20.35% |
Max Drawdown (1Y)Largest decline over 1 year | -5.43% | -9.10% | +3.67% |
Max Drawdown (3Y)Largest decline over 3 years | -30.32% | -18.90% | -11.42% |
Max Drawdown (5Y)Largest decline over 5 years | -36.43% | -25.43% | -11.00% |
Max Drawdown (10Y)Largest decline over 10 years | -36.43% | -33.92% | -2.51% |
Current DrawdownCurrent decline from peak | -21.07% | -1.80% | -19.27% |
Average DrawdownAverage peak-to-trough decline | -13.20% | -10.71% | -2.49% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.71% | 2.03% | -0.32% |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Build a portfolio with ASFYX
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