AMFAX vs. EVOIX

Last updated Jun 4, 2026

AMFAX (AlphaSimplex Managed Futures Strategy Fund Class A) and EVOIX (Altegris Futures Evolution Strategy Fund) are both Systematic Trend funds. Over the past 10 years, AMFAX returned 2.64%/yr vs 3.58%/yr for EVOIX. A 0.78 correlation means they provide meaningful diversification when combined. AMFAX charges 1.72%/yr vs 1.34%/yr for EVOIX.

Performance

AMFAX vs. EVOIX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AlphaSimplex Managed Futures Strategy Fund Class A (AMFAX) and Altegris Futures Evolution Strategy Fund (EVOIX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, AMFAX achieves a 15.09% return, which is significantly higher than EVOIX's 8.67% return. Over the past 10 years, AMFAX has underperformed EVOIX with an annualized return of 2.64%, while EVOIX has yielded a comparatively higher 3.58% annualized return.

AMFAX

• 1D: 0.57%
• 1M: 1.62%
• YTD: 15.09%
• 6M: 17.69%
• 1Y: 26.17%
• 3Y*: -1.66%
• 5Y*: 2.77%
• 10Y*: 2.64%

EVOIX

• 1D: -0.15%
• 1M: 0.74%
• YTD: 8.67%
• 6M: 11.53%
• 1Y: 25.40%
• 3Y*: 6.11%
• 5Y*: 7.17%
• 10Y*: 3.58%

*Multi-year figures are annualized to reflect compound growth (CAGR)

AMFAX vs. EVOIX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
AMFAX AlphaSimplex Managed Futures Strategy Fund Class A	15.09%	-9.75%	-3.56%	-10.59%	35.38%	3.28%	13.29%	8.03%	-12.87%	6.54%
EVOIX Altegris Futures Evolution Strategy Fund	8.67%	4.69%	3.86%	5.03%	12.84%	12.20%	-12.94%	4.22%	-7.58%	9.09%

Correlation

The correlation between AMFAX and EVOIX is 0.80, indicating a strong positive relationship between their price movements. Combining them offers limited diversification - they tend to fall together during downturns.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.80
Correlation (3Y) Calculated over the trailing 3-year period	0.77
Correlation (5Y) Calculated over the trailing 5-year period	0.79
Correlation (10Y) Calculated over the trailing 10-year period	0.77
Correlation (All Time) Calculated using the full available price history since Nov 1, 2011	0.78

The correlation between AMFAX and EVOIX has been stable across timeframes, ranging from 0.77 to 0.80 - a consistent structural relationship.

Return for Risk

AMFAX vs. EVOIX — Risk / Return Rank

Compare risk-adjusted metric ranks to identify better-performing investments over the past 12 months.

AMFAX

AMFAX Risk / Return Rank: 66
AMFAX Sharpe Ratio Rank: 55
AMFAX Sortino Ratio Rank: 47
AMFAX Omega Ratio Rank: 50
AMFAX Calmar Ratio Rank: 92
AMFAX Martin Ratio Rank: 89

EVOIX

EVOIX Risk / Return Rank: 75
EVOIX Sharpe Ratio Rank: 75
EVOIX Sortino Ratio Rank: 61
EVOIX Omega Ratio Rank: 65
EVOIX Calmar Ratio Rank: 91
EVOIX Martin Ratio Rank: 82

The rank (0–100) shows how this investment's returns compare to the risk taken. Higher = better. Based on the past 12 months of data, combining Sharpe, Sortino, and other metrics used by quantitative funds and institutional investors.

AMFAX vs. EVOIX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for AlphaSimplex Managed Futures Strategy Fund Class A (AMFAX) and Altegris Futures Evolution Strategy Fund (EVOIX). 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.

	AMFAX	EVOIX	Difference
Sharpe ratio: Return per unit of total volatility	2.18	2.50	-0.32
Sortino ratio: Return per unit of downside risk	2.88	3.29	-0.41
Omega ratio: Gain probability vs. loss probability	1.39	1.45	-0.06
Calmar ratio: Return relative to maximum drawdown	4.94	4.76	+0.18
Martin ratio: Return relative to average drawdown	17.65	15.43	+2.22
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

AMFAX vs. EVOIX - Sharpe Ratio Comparison

The current AMFAX Sharpe Ratio is 2.18, which is comparable to the EVOIX Sharpe Ratio of 2.50. The chart below compares the historical Sharpe Ratios of AMFAX and EVOIX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Sharpe Ratios by Period

	AMFAX	EVOIX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.18	2.50	-0.32
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.20	0.74	-0.54
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.21	0.34	-0.13
Sharpe Ratio (All Time) Calculated using the full available price history	0.32	0.41	-0.09

Drawdowns

AMFAX vs. EVOIX - Drawdown Comparison

The maximum AMFAX drawdown since its inception was -36.84%, which is greater than EVOIX's maximum drawdown of -29.57%. Use the drawdown chart below to compare losses from any high point for AMFAX and EVOIX.

Drawdown Indicators

	AMFAX	EVOIX	Difference
Max Drawdown Largest peak-to-trough decline	-36.84%	-29.57%	-7.27%
Max Drawdown (1Y) Largest decline over 1 year	-5.17%	-5.32%	+0.15%
Max Drawdown (3Y) Largest decline over 3 years	-30.49%	-18.80%	-11.69%
Max Drawdown (5Y) Largest decline over 5 years	-36.84%	-18.80%	-18.04%
Max Drawdown (10Y) Largest decline over 10 years	-36.84%	-29.57%	-7.27%
Current Drawdown Current decline from peak	-18.94%	-1.60%	-17.34%
Average Drawdown Average peak-to-trough decline	-13.63%	-8.16%	-5.47%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.45%	1.64%	-0.19%

Volatility

AMFAX vs. EVOIX - Volatility Comparison

AlphaSimplex Managed Futures Strategy Fund Class A (AMFAX) has a higher volatility of 3.67% compared to Altegris Futures Evolution Strategy Fund (EVOIX) at 2.95%. This indicates that AMFAX's price experiences larger fluctuations and is considered to be riskier than EVOIX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	AMFAX	EVOIX	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.67%	2.95%	+0.72%
Volatility (6M) Calculated over the trailing 6-month period	9.59%	7.79%	+1.80%
Volatility (1Y) Calculated over the trailing 1-year period	11.76%	10.13%	+1.63%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	13.77%	9.73%	+4.04%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	12.70%	10.49%	+2.21%

AMFAX vs. EVOIX - Expense Ratio Comparison

AMFAX has a 1.72% expense ratio, which is higher than EVOIX's 1.34% expense ratio.

Dividends

AMFAX vs. EVOIX - Dividend Comparison

AMFAX's dividend yield for the trailing twelve months is around 1.60%, less than EVOIX's 9.37% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
AMFAX AlphaSimplex Managed Futures Strategy Fund Class A	1.60%	1.84%	1.28%	0.30%	32.70%	5.74%	3.14%	4.71%	1.31%	0.00%	0.00%	4.92%
EVOIX Altegris Futures Evolution Strategy Fund	9.37%	11.11%	10.09%	1.71%	34.87%	9.73%	2.23%	1.63%	5.52%	1.57%	7.27%	9.05%

Frequently Asked Questions

Can I hold both AMFAX and EVOIX in my portfolio?

AMFAX and EVOIX have a correlation of 0.80, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, AMFAX or EVOIX?

AMFAX has higher volatility (3.67%) compared to EVOIX (2.95%). In terms of maximum drawdown, AMFAX dropped -36.84% vs EVOIX's -29.57%.

Which has better risk-adjusted returns?

EVOIX currently has the higher Sharpe Ratio (2.50 vs 2.18), 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.