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AMFAX vs. VOO
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility

Key characteristics


AMFAXVOO
YTD Return5.32%15.25%
1Y Return-0.53%26.52%
3Y Return (Ann)7.35%10.45%
5Y Return (Ann)8.56%14.99%
10Y Return (Ann)5.17%12.92%
Sharpe Ratio0.012.39
Daily Std Dev10.81%11.27%
Max Drawdown-28.58%-33.99%
Current Drawdown-14.78%-0.50%

Correlation

-0.50.00.51.00.2

The correlation between AMFAX and VOO is 0.19, which is considered to be low. This implies their price changes are not closely related. A low correlation is generally favorable for portfolio diversification, as it helps to reduce overall risk by spreading it across multiple assets with different performance patterns.

Performance

AMFAX vs. VOO - Performance Comparison

In the year-to-date period, AMFAX achieves a 5.32% return, which is significantly lower than VOO's 15.25% return. Over the past 10 years, AMFAX has underperformed VOO with an annualized return of 5.17%, while VOO has yielded a comparatively higher 12.92% annualized return. The chart below displays the growth of a $10,000 investment in both assets, with all prices adjusted for splits and dividends.


100.00%200.00%300.00%400.00%500.00%2024FebruaryMarchAprilMayJune
87.31%
542.84%
AMFAX
VOO

Compare stocks, funds, or ETFs

Search for stocks, ETFs, and funds for a quick comparison or use the comparison tool for more options.


AlphaSimplex Managed Futures Strategy Fund Class A

Vanguard S&P 500 ETF

AMFAX vs. VOO - Expense Ratio Comparison

AMFAX has a 1.72% expense ratio, which is higher than VOO's 0.03% expense ratio.


AMFAX
AlphaSimplex Managed Futures Strategy Fund Class A
Expense ratio chart for AMFAX: current value at 1.72% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.72%
Expense ratio chart for VOO: current value at 0.03% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.03%

Risk-Adjusted Performance

AMFAX vs. VOO - Risk-Adjusted Performance Comparison

This table presents a comparison of risk-adjusted performance metrics for AlphaSimplex Managed Futures Strategy Fund Class A (AMFAX) and Vanguard S&P 500 ETF (VOO). 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
Sharpe ratio
The chart of Sharpe ratio for AMFAX, currently valued at 0.01, compared to the broader market-1.000.001.002.003.004.000.01
Sortino ratio
The chart of Sortino ratio for AMFAX, currently valued at 0.08, compared to the broader market-2.000.002.004.006.008.0010.0012.000.08
Omega ratio
The chart of Omega ratio for AMFAX, currently valued at 1.01, compared to the broader market1.002.003.004.001.01
Calmar ratio
The chart of Calmar ratio for AMFAX, currently valued at 0.00, compared to the broader market0.005.0010.0015.000.00
Martin ratio
The chart of Martin ratio for AMFAX, currently valued at 0.02, compared to the broader market0.0020.0040.0060.0080.000.02
VOO
Sharpe ratio
The chart of Sharpe ratio for VOO, currently valued at 2.39, compared to the broader market-1.000.001.002.003.004.002.39
Sortino ratio
The chart of Sortino ratio for VOO, currently valued at 3.36, compared to the broader market-2.000.002.004.006.008.0010.0012.003.36
Omega ratio
The chart of Omega ratio for VOO, currently valued at 1.42, compared to the broader market1.002.003.004.001.42
Calmar ratio
The chart of Calmar ratio for VOO, currently valued at 2.32, compared to the broader market0.005.0010.0015.002.32
Martin ratio
The chart of Martin ratio for VOO, currently valued at 9.31, compared to the broader market0.0020.0040.0060.0080.009.31

AMFAX vs. VOO - Sharpe Ratio Comparison

The current AMFAX Sharpe Ratio is 0.01, which is lower than the VOO Sharpe Ratio of 2.39. The chart below compares the 12-month rolling Sharpe Ratio of AMFAX and VOO.


Rolling 12-month Sharpe Ratio-1.000.001.002.003.002024FebruaryMarchAprilMayJune
0.01
2.39
AMFAX
VOO

Dividends

AMFAX vs. VOO - Dividend Comparison

AMFAX's dividend yield for the trailing twelve months is around 0.29%, less than VOO's 1.28% yield.


TTM20232022202120202019201820172016201520142013
AMFAX
AlphaSimplex Managed Futures Strategy Fund Class A
0.29%0.30%32.70%5.74%3.14%6.12%1.31%0.00%0.00%4.92%13.32%0.00%
VOO
Vanguard S&P 500 ETF
1.28%1.46%1.69%1.25%1.54%1.88%2.06%1.78%2.02%2.10%1.85%1.84%

Drawdowns

AMFAX vs. VOO - Drawdown Comparison

The maximum AMFAX drawdown since its inception was -28.58%, smaller than the maximum VOO drawdown of -33.99%. Use the drawdown chart below to compare losses from any high point for AMFAX and VOO. For additional features, visit the drawdowns tool.


-20.00%-15.00%-10.00%-5.00%0.00%2024FebruaryMarchAprilMayJune
-14.78%
-0.50%
AMFAX
VOO

Volatility

AMFAX vs. VOO - Volatility Comparison

AlphaSimplex Managed Futures Strategy Fund Class A (AMFAX) has a higher volatility of 4.44% compared to Vanguard S&P 500 ETF (VOO) at 2.43%. This indicates that AMFAX's price experiences larger fluctuations and is considered to be riskier than VOO based on this measure. The chart below showcases a comparison of their rolling one-month volatility.


2.00%2.50%3.00%3.50%4.00%4.50%2024FebruaryMarchAprilMayJune
4.44%
2.43%
AMFAX
VOO