AMFAX vs. ASFYX
AMFAX (AlphaSimplex Managed Futures Strategy Fund Class A) and ASFYX (Virtus AlphaSimplex Managed Futures Strategy Fund Class I) are both Systematic Trend funds. Over the past 10 years, AMFAX returned 1.77%/yr vs 2.08%/yr for ASFYX. Their 0.99 correlation means they have historically moved very closely together. AMFAX charges 1.72%/yr vs 1.45%/yr for ASFYX.
Performance
AMFAX vs. ASFYX - Performance Comparison
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Returns By Period
The year-to-date returns for both investments are quite close, with AMFAX having a 9.45% return and ASFYX slightly higher at 9.56%. Over the past 10 years, AMFAX has underperformed ASFYX with an annualized return of 1.77%, while ASFYX has yielded a comparatively higher 2.08% annualized return.
AMFAX
- 1D
- -0.24%
- 1M
- 1.21%
- 6M
- 5.30%
- YTD
- 9.45%
- 1Y
- 21.01%
- 3Y*
- -3.53%
- 5Y*
- 2.02%
- 10Y*
- 1.77%
- ALL TIME*
- 3.55%
ASFYX
- 1D
- -0.35%
- 1M
- 1.07%
- 6M
- 5.34%
- YTD
- 9.56%
- 1Y
- 21.27%
- 3Y*
- -3.32%
- 5Y*
- 2.26%
- 10Y*
- 2.08%
- ALL TIME*
- 3.84%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $0.00 | $0.00 | $0.00 | |
| $0.00 | $0.00 | $0.00 |
AMFAX vs. ASFYX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
AMFAX AlphaSimplex Managed Futures Strategy Fund Class A | 9.45% | -9.75% | -3.56% | -10.59% | 35.38% | 3.28% | 13.29% | 8.03% | -12.87% | 6.54% |
ASFYX Virtus AlphaSimplex Managed Futures Strategy Fund Class I | 9.56% | -9.67% | -3.22% | -10.33% | 35.67% | 3.52% | 13.59% | 8.99% | -12.59% | 6.78% |
Correlation
The correlation between AMFAX and ASFYX is 0.99 - they have historically moved very closely together. At this level, their price movements offset little of one another.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | 0.99 |
Correlation (3Y) Balances recent behavior with more history. | 0.99 |
Correlation (5Y) Shows whether the relationship held over a longer period. | 1.00 |
Correlation (10Y) Provides a long-term view across more market conditions. | 0.99 |
Correlation (All Time) Calculated using the full available price history since Aug 3, 2010 | 0.99 |
The correlation between AMFAX and ASFYX has been stable across timeframes, ranging from 0.99 to 1.00 - a consistent structural relationship.
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Return for Risk
AMFAX vs. ASFYX — Risk / Return Rank
AMFAX
ASFYX
AMFAX vs. ASFYX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for AlphaSimplex Managed Futures Strategy Fund Class A (AMFAX) and Virtus AlphaSimplex Managed Futures Strategy Fund Class I (ASFYX). 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 | ASFYX | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -0.01 | ||
| Sortino ratioReturn per unit of downside risk | -0.02 | ||
| Omega ratioGain probability vs. loss probability | 1.27 | 1.26 | 0.00 |
| Calmar ratioReturn relative to maximum drawdown | 2.65 | 2.63 | +0.02 |
| Martin ratioReturn relative to average drawdown | 7.58 | 7.58 | 0.00 |
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Drawdowns
AMFAX vs. ASFYX - Drawdown Comparison
The maximum AMFAX drawdown since its inception was -36.84%, roughly equal to the maximum ASFYX drawdown of -36.43%. Use the drawdown chart below to compare losses from any high point for AMFAX and ASFYX.
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Drawdown Indicators
| AMFAX | ASFYX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -36.84% | -36.43% | -0.41% |
Max Drawdown (1Y)Largest decline over 1 year | -7.33% | -7.42% | +0.09% |
Max Drawdown (3Y)Largest decline over 3 years | -30.49% | -30.32% | -0.17% |
Max Drawdown (5Y)Largest decline over 5 years | -36.84% | -36.43% | -0.41% |
Max Drawdown (10Y)Largest decline over 10 years | -36.84% | -36.43% | -0.41% |
Current DrawdownCurrent decline from peak | -22.92% | -22.26% | -0.66% |
Average DrawdownAverage peak-to-trough decline | -13.71% | -13.26% | -0.45% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.56% | 2.57% | -0.01% |
Volatility
AMFAX vs. ASFYX - Volatility Comparison
AlphaSimplex Managed Futures Strategy Fund Class A (AMFAX) and Virtus AlphaSimplex Managed Futures Strategy Fund Class I (ASFYX) have volatilities of 2.91% and 2.89%, respectively, indicating that both stocks experience similar levels of price fluctuations. This suggests that the risk associated with both stocks, as measured by volatility, is nearly the same. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| AMFAX | ASFYX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.91% | 2.89% | +0.02% |
Volatility (6M)Calculated over the trailing 6-month period | 9.83% | 9.77% | +0.06% |
Volatility (1Y)Calculated over the trailing 1-year period | 12.61% | 12.62% | -0.01% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 13.80% | 13.79% | +0.01% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 12.73% | 12.74% | -0.01% |
AMFAX vs. ASFYX - Expense Ratio Comparison
AMFAX has a 1.72% expense ratio, which is higher than ASFYX's 1.45% expense ratio.
Dividends
AMFAX vs. ASFYX - Dividend Comparison
AMFAX's dividend yield for the trailing twelve months is around 1.68%, more than ASFYX's 1.39% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
AMFAX AlphaSimplex Managed Futures Strategy Fund Class A | 1.68% | 1.84% | 1.28% | 0.30% | 32.70% | 5.74% | 3.14% | 4.71% | 1.31% | 0.00% | 0.00% | 4.92% |
ASFYX Virtus AlphaSimplex Managed Futures Strategy Fund Class I | 1.39% | 1.52% | 1.46% | 0.99% | 32.48% | 6.07% | 3.40% | 5.51% | 1.30% | 0.07% | 0.01% | 5.06% |
Frequently Asked Questions
With a correlation of 0.99, AMFAX and ASFYX move almost identically. Holding both adds very little diversification - you're essentially doubling your position in the same market segment. Choosing one is usually more capital-efficient.
AMFAX has higher volatility (2.91%) compared to ASFYX (2.89%). In terms of maximum drawdown, AMFAX dropped -36.84% vs ASFYX's -36.43%.
ASFYX currently has the higher Sharpe Ratio (1.55 vs 1.54), 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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