- Issuer
- Virtus
- Inception Date
- May 15, 2024
- Category
- Systematic Trend
- Leveraged
- 1x (No leverage)
- Index Tracked
- No Index (Active)
- Distribution Policy
- Distributing
- Asset Class
- Alternatives
- Asset Class Size
- Large-Cap
- Asset Class Style
- Blend
- Assets Under Management
- $31M
Share Price Chart
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Performance
ASMF Performance Chart
Virtus AlphaSimplex Managed Futures ETF (ASMF) is up 9.4% since the beginning of the year. ASMF is currently trading at $26 per share.
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Returns By Period
Virtus AlphaSimplex Managed Futures ETF (ASMF) has returned 9.39% so far this year and 17.16% over the past 12 months.
Virtus AlphaSimplex Managed Futures ETF
- 1D
- 0.01%
- 1M
- 1.73%
- YTD
- 9.39%
- 6M
- 11.45%
- 1Y
- 17.16%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
Benchmark (S&P 500 Index)
- 1D
- -0.74%
- 1M
- 4.90%
- YTD
- 10.35%
- 6M
- 10.28%
- 1Y
- 26.52%
- 3Y*
- 20.83%
- 5Y*
- 12.30%
- 10Y*
- 13.66%
ASMF Monthly Returns History
Based on dividend-adjusted daily data since May 16, 2024, ASMF's average daily return is +0.02%, while the average monthly return is +0.28%. At this rate, an investment would double in approximately 20.7 years.
Historically, 65% of months were positive and 35% were negative. The best month was Feb 2026 with a return of +5.6%, while the worst month was Oct 2024 at -4.8%. The longest winning streak lasted 7 consecutive months, and the longest losing streak was 3 months.
On a daily basis, ASMF closed higher 56% of trading days. The best single day was Feb 6, 2026 with a return of +3.0%, while the worst single day was Aug 5, 2024 at -2.8%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 4.28% | 5.63% | -4.12% | 2.02% | 0.02% | 1.51% | 9.39% | ||||||
| 2025 | 1.73% | -3.04% | -0.90% | -4.04% | 0.61% | 0.68% | -1.38% | 1.84% | 2.53% | 0.73% | 1.00% | 1.64% | 1.16% |
| 2024 | 0.89% | 1.08% | -1.34% | -2.74% | 1.91% | -4.76% | -0.22% | 1.76% | -3.56% |
Benchmark Metrics
Virtus AlphaSimplex Managed Futures ETF has an annualized alpha of -2.13%, beta of 0.32, and R2 of 0.22 versus S&P 500 Index. Calculated based on daily prices since May 17, 2024.
- This ETF participated in 34.70% of S&P 500 Index downside but only 19.63% of its upside - more exposed to losses than it benefited from rallies.
- Beta of 0.32 may look defensive, but with R2 of 0.22 this ETF 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 ETF's risk.
- R2 of 0.22 means this ETF 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
- -2.13%
- Beta
- 0.32
- R²
- 0.22
- Upside Capture
- 19.63%
- Downside Capture
- 34.70%
Expense Ratio
ASMF has an expense ratio of 0.80%, placing it in the medium range.
Return for Risk
Risk / Return Rank
ASMF ranks 52 for risk / return — on par with similar ETFs. You're getting a typical balance of risk and reward. Not a standout, but not a red flag either — a reasonable choice if other factors align with your goals.
Return / Risk — by metrics
The table below present risk-adjusted performance metrics for Virtus AlphaSimplex Managed Futures ETF (ASMF) and compare them to S&P 500 Index.
| ASMF | Benchmark | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.70 | ||
| Sortino ratioReturn per unit of downside risk | -0.93 | ||
| Omega ratioGain probability vs. loss probability | 1.29 | 1.41 | -0.12 |
| Calmar ratioReturn relative to maximum drawdown | 3.43 | 2.93 | +0.50 |
| Martin ratioReturn relative to average drawdown | 9.07 | 13.52 | -4.45 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
Dividends
Dividend History
Virtus AlphaSimplex Managed Futures ETF provided a 0.20% dividend yield over the last twelve months, with an annual payout of $0.05 per share.
| Period | TTM | 2025 | 2024 |
|---|---|---|---|
| Dividend | $0.05 | $0.05 | $0.39 |
Dividend yield | 0.20% | 0.22% | 1.66% |
Monthly Dividends
The table displays the monthly dividend distributions for Virtus AlphaSimplex Managed Futures ETF. 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 | $0.05 | $0.05 |
| 2024 | $0.39 | $0.39 |
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 Virtus AlphaSimplex Managed Futures ETF. 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 Virtus AlphaSimplex Managed Futures ETF was 15.31%, occurring on Apr 8, 2025. Recovery took 210 trading sessions.
The current Virtus AlphaSimplex Managed Futures ETF drawdown is 1.34%.
Related event | Drawdown | Fall | Recovery | Underwater |
|---|---|---|---|---|
2025 selloff2025 | -15.31%Apr 2025 | 9mo 1d | 10mo 7d | 1y 7moJul 2024 - Feb 2026 |
2026 pullback2026 | -5.02%Mar 2026 | 28d | 1mo 13d | 2mo 11dMar 2026 - May 2026 |
2024 pullback2024 | -4.22%Jun 2024 | 24d | 17d | 1mo 11dMay 2024 - Jul 2024 |
2026 pullback2026 | -2.80%May 2026 | 9d | — | 15d 23hMay 2026 - now |
2026 pullback2026 | -2.19%Feb 2026 | 5d | 7d | 12dFeb 2026 - Feb 2026 |
Drawdown Indicators
| ASMF | Benchmark | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -15.31% | -56.78% | +41.47% |
Max Drawdown (1Y)Largest decline over 1 year | -5.02% | -9.10% | +4.08% |
Max Drawdown (3Y)Largest decline over 3 years | — | -18.90% | — |
Max Drawdown (5Y)Largest decline over 5 years | — | -25.43% | — |
Max Drawdown (10Y)Largest decline over 10 years | — | -33.92% | — |
Current DrawdownCurrent decline from peak | -1.34% | -0.74% | -0.60% |
Average DrawdownAverage peak-to-trough decline | -7.61% | -10.72% | +3.11% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.90% | 1.97% | -0.07% |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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