AMFAX vs. ^GSPC
AMFAX (AlphaSimplex Managed Futures Strategy Fund Class A) is Systematic Trend fund managed by BlackRock, while ^GSPC (S&P 500 Index) is an index. Over the past 10 years, AMFAX returned 2.26%/yr vs 13.71%/yr for ^GSPC. At a 0.21 correlation, their price movements are largely independent.
Performance
AMFAX vs. ^GSPC - Performance Comparison
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Returns By Period
In the year-to-date period, AMFAX achieves a 11.68% return, which is significantly higher than ^GSPC's 7.60% return. Over the past 10 years, AMFAX has underperformed ^GSPC with an annualized return of 2.26%, while ^GSPC has yielded a comparatively higher 13.71% annualized return.
AMFAX
- 1D
- 0.59%
- 1M
- -2.52%
- YTD
- 11.68%
- 6M
- 10.99%
- 1Y
- 23.30%
- 3Y*
- -2.47%
- 5Y*
- 2.64%
- 10Y*
- 2.26%
^GSPC
- 1D
- -1.44%
- 1M
- -1.45%
- YTD
- 7.60%
- 6M
- 6.59%
- 1Y
- 22.24%
- 3Y*
- 19.20%
- 5Y*
- 11.54%
- 10Y*
- 13.71%
AMFAX vs. ^GSPC - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
AMFAX AlphaSimplex Managed Futures Strategy Fund Class A | 11.68% | -9.75% | -3.56% | -10.59% | 35.38% | 3.28% | 13.29% | 8.03% | -12.87% | 6.54% |
^GSPC S&P 500 Index | 7.60% | 16.39% | 23.31% | 24.23% | -19.44% | 26.89% | 16.26% | 28.88% | -6.24% | 19.42% |
Correlation
The correlation between AMFAX and ^GSPC is 0.44, which is low. Their price movements are largely independent, making them effective diversification partners.
| Correlation | |
|---|---|
Correlation (1Y) Calculated over the trailing 1-year period | 0.44 |
Correlation (3Y) Calculated over the trailing 3-year period | 0.32 |
Correlation (5Y) Calculated over the trailing 5-year period | 0.16 |
Correlation (10Y) Calculated over the trailing 10-year period | 0.22 |
Correlation (All Time) Calculated using the full available price history since Aug 2, 2010 | 0.21 |
Over the past year, AMFAX and ^GSPC have become more correlated (0.44) than their long-term average of 0.21, meaning their price movements have been converging.
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Return for Risk
AMFAX vs. ^GSPC — Risk / Return Rank
AMFAX
^GSPC
AMFAX vs. ^GSPC - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AlphaSimplex Managed Futures Strategy Fund Class A (AMFAX) and S&P 500 Index (^GSPC). Risk-adjusted metrics are performance indicators that assess an investment's returns in relation to its risk, enabling a more accurate comparison of different investment options.
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.
| AMFAX | ^GSPC | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +0.19 | ||
| Sortino ratioReturn per unit of downside risk | +0.17 | ||
| Omega ratioGain probability vs. loss probability | 1.35 | 1.32 | +0.03 |
| Calmar ratioReturn relative to maximum drawdown | 4.39 | 2.46 | +1.93 |
| Martin ratioReturn relative to average drawdown | 13.71 | 10.92 | +2.80 |
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Drawdowns
AMFAX vs. ^GSPC - Drawdown Comparison
The maximum AMFAX drawdown since its inception was -36.84%, smaller than the maximum ^GSPC drawdown of -56.78%. Use the drawdown chart below to compare losses from any high point for AMFAX and ^GSPC.
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Drawdown Indicators
| AMFAX | ^GSPC | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -36.84% | -56.78% | +19.94% |
Max Drawdown (1Y)Largest decline over 1 year | -5.41% | -9.10% | +3.69% |
Max Drawdown (3Y)Largest decline over 3 years | -30.49% | -18.90% | -11.59% |
Max Drawdown (5Y)Largest decline over 5 years | -36.84% | -25.43% | -11.41% |
Max Drawdown (10Y)Largest decline over 10 years | -36.84% | -33.92% | -2.92% |
Current DrawdownCurrent decline from peak | -21.34% | -3.21% | -18.13% |
Average DrawdownAverage peak-to-trough decline | -13.65% | -10.71% | -2.94% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.73% | 2.04% | -0.31% |
Volatility
AMFAX vs. ^GSPC - Volatility Comparison
The current volatility for AlphaSimplex Managed Futures Strategy Fund Class A (AMFAX) is 3.72%, while S&P 500 Index (^GSPC) has a volatility of 4.89%. This indicates that AMFAX experiences smaller price fluctuations and is considered to be less risky than ^GSPC based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| AMFAX | ^GSPC | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 3.72% | 4.89% | -1.17% |
Volatility (6M)Calculated over the trailing 6-month period | 9.91% | 9.93% | -0.02% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.05% | 12.57% | -0.52% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 13.77% | 17.00% | -3.23% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 12.72% | 18.08% | -5.36% |
Frequently Asked Questions
AMFAX and ^GSPC have a correlation of 0.44, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
^GSPC has higher volatility (4.89%) compared to AMFAX (3.72%). In terms of maximum drawdown, AMFAX dropped -36.84% vs ^GSPC's -56.78%.
AMFAX currently has the higher Sharpe Ratio (1.98 vs 1.78), meaning it's delivered slightly more return per unit of risk over the trailing 12 months. However, this ranking shifts over time - use the Risk/Return Score above for a more comprehensive view that combines Sharpe, Sortino, and other measures used by quantitative funds.
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