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AlphaSimplex Managed Futures Strategy Fund Class Y (ASFYX) Sharpe Ratio: 0.18

ASFYX's Sharpe Ratio of 0.18 indicates that for each unit of volatility, it generates 0.18 units of excess return above the risk-free rate. The ratio is calculated using historical daily returns over the past 12 months (as of Apr 1, 2026).

Sharpe uses total volatility (standard deviation) which includes both upside and downside price movements, making it useful for comparing risk-adjusted returns across different assets.

ASFYX Sharpe Ratio Rank

ASFYX Sharpe Ratio Rank: 9.39
Concerning

ASFYX ranks above 9.3% of all investments in our database based on Sharpe Ratio over the past 12 months, indicating weak returns relative to total risk taken. Securities are ranked from 0 (worst) to 100 (best).

What moves the rank

  • Strong returns with low total volatility → Higher rank
  • High volatility (both upside and downside) → Lower rank
  • Consistent returns → Higher rank than volatile returns of same magnitude
  • Sharp drawdowns increase volatility → Lower rank

What you can do with this information

  • Weak risk-adjusted returns relative to category peers
  • Evaluate whether this holding aligns with your risk-return objectives
  • Consider reducing exposure or re-evaluating position size
  • Review higher-ranked alternatives in the same category

ASFYX Sharpe Ratio Market Positioning

The chart shows ASFYX's Sharpe Ratio relative to all mutual funds on our platform, with color zones indicating percentile rankings. Higher ratios indicate better risk-adjusted returns.

  • Red zone (bottom 25%): 0.65 or lower
  • Yellow zone (middle 50%): 0.65 to 1.37
  • Green zone (top 25%): 1.37 or higher
  • Top 1%: 3.60+
  • Median: 0.99 — half of all investments score higher

How it compares to other similar mutual funds

The table compares AlphaSimplex Managed Futures Strategy Fund Class Y's Sharpe Ratio with other mutual funds in the Systematic Trend category across multiple time periods, showing how ASFYX's risk-adjusted performance compares to similar funds.

Data shows 1-, 5-, and 10-year periods, plus each fund's all-time average, as of Apr 1, 2026.

SymbolName1Y Sharpe Ratio5Y Sharpe Ratio10Y Sharpe RatioAll Time Sharpe Ratio
AQMNXAQR Managed Futures Strategy Fund Class N2.27
AQMIXAQR Managed Futures Strategy Fund2.26
QMHIXAQR Managed Futures Strategy HV Fund2.01
QNZNXAQR Trend Total Return Fund2.01
QMHNXAQR Managed Futures Strategy HV Fund Class N1.98
LFMAXLoCorr Macro Strategies Fund1.98
LOTIXLoCorr Market Trend Fund1.70
AHLIXAmerican Beacon AHL Managed Futures Strategy Fund Class R51.49
RYMTXGuggenheim Managed Futures Strategy Fund1.47
AHLPXAmerican Beacon AHL Managed Futures Strategy Fund1.45
ASFYXAlphaSimplex Managed Futures Strategy Fund Class Y0.18

S&P 500 Index

How to choose period

Historical Sharpe Ratio

The chart shows ASFYX's rolling Sharpe ratio over time compared to your chosen benchmark. Rising trends indicate improving returns relative to total volatility, while declining trends may signal deteriorating risk-adjusted performance or increased volatility. Use multiple timeframes to distinguish short-term fluctuations from long-term patterns.

Identify market cycles by observing when ASFYX consistently outperforms (line above benchmark), underperforms (below benchmark), or aligns with the benchmark.

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Explore ASFYX risk-adjusted metrics in detail

Dive deeper into individual metrics with historical trends, benchmark comparisons, and performance across different time periods.

ASFYX Sortino Ratio