ASFYX vs. VTI

Last updated Jun 9, 2026

ASFYX (AlphaSimplex Managed Futures Strategy Fund Class Y) and VTI (Vanguard Total Stock Market ETF) are both funds - ASFYX is a Systematic Trend fund managed by BlackRock, while VTI is a Large Cap Blend Equities fund tracking the CRSP US Total Market Index. Over the past 10 years, ASFYX returned 2.62%/yr vs 14.84%/yr for VTI. At a 0.21 correlation, their price movements are largely independent. ASFYX charges 1.47%/yr vs 0.03%/yr for VTI.

Performance

ASFYX vs. VTI - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in AlphaSimplex Managed Futures Strategy Fund Class Y (ASFYX) and Vanguard Total Stock Market ETF (VTI). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, ASFYX achieves a 11.89% return, which is significantly higher than VTI's 9.05% return. Over the past 10 years, ASFYX has underperformed VTI with an annualized return of 2.62%, while VTI has yielded a comparatively higher 14.84% annualized return.

ASFYX

• 1D: -2.15%
• 1M: -1.25%
• YTD: 11.89%
• 6M: 14.79%
• 1Y: 22.46%
• 3Y*: -2.50%
• 5Y*: 2.23%
• 10Y*: 2.62%

VTI

• 1D: 0.30%
• 1M: 0.44%
• YTD: 9.05%
• 6M: 8.94%
• 1Y: 24.96%
• 3Y*: 21.05%
• 5Y*: 12.25%
• 10Y*: 14.84%

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

ASFYX vs. VTI - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y	11.89%	-9.67%	-3.22%	-10.33%	35.67%	3.52%	13.59%	8.99%	-12.59%	6.78%
VTI Vanguard Total Stock Market ETF	9.05%	17.10%	23.81%	26.05%	-19.52%	25.68%	21.08%	30.67%	-5.23%	21.21%

Correlation

The correlation between ASFYX and VTI is 0.45, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.45
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	0.21
Correlation (All Time) Calculated using the full available price history since Aug 3, 2010	0.21

Over the past year, ASFYX and VTI have become more correlated (0.45) than their long-term average of 0.21, meaning their price movements have been converging.

Return for Risk

ASFYX vs. VTI — Risk / Return Rank

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

ASFYX

ASFYX Risk / Return Rank: 60
ASFYX Sharpe Ratio Rank: 44
ASFYX Sortino Ratio Rank: 39
ASFYX Omega Ratio Rank: 42
ASFYX Calmar Ratio Rank: 89
ASFYX Martin Ratio Rank: 85

VTI

VTI Risk / Return Rank: 68
VTI Sharpe Ratio Rank: 68
VTI Sortino Ratio Rank: 66
VTI Omega Ratio Rank: 68
VTI Calmar Ratio Rank: 62
VTI Martin Ratio Rank: 75

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.

ASFYX vs. VTI - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for AlphaSimplex Managed Futures Strategy Fund Class Y (ASFYX) and Vanguard Total Stock Market ETF (VTI). 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.

	ASFYX	VTI	Difference
Sharpe ratio: Return per unit of total volatility	1.88	2.02	-0.14
Sortino ratio: Return per unit of downside risk	2.51	2.73	-0.22
Omega ratio: Gain probability vs. loss probability	1.34	1.36	-0.03
Calmar ratio: Return relative to maximum drawdown	4.31	2.81	+1.50
Martin ratio: Return relative to average drawdown	15.26	12.85	+2.41
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

ASFYX vs. VTI - Sharpe Ratio Comparison

The current ASFYX Sharpe Ratio is 1.88, which is comparable to the VTI Sharpe Ratio of 2.02. The chart below compares the historical Sharpe Ratios of ASFYX and VTI, 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

	ASFYX	VTI	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.88	2.02	-0.14
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.16	0.71	-0.54
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.21	0.81	-0.61
Sharpe Ratio (All Time) Calculated using the full available price history	0.33	0.50	-0.17

Drawdowns

ASFYX vs. VTI - Drawdown Comparison

The maximum ASFYX drawdown since its inception was -36.43%, smaller than the maximum VTI drawdown of -55.45%. Use the drawdown chart below to compare losses from any high point for ASFYX and VTI.

Drawdown Indicators

	ASFYX	VTI	Difference
Max Drawdown Largest peak-to-trough decline	-36.43%	-55.45%	+19.02%
Max Drawdown (1Y) Largest decline over 1 year	-5.24%	-8.92%	+3.68%
Max Drawdown (3Y) Largest decline over 3 years	-30.32%	-19.30%	-11.02%
Max Drawdown (5Y) Largest decline over 5 years	-36.43%	-25.36%	-11.07%
Max Drawdown (10Y) Largest decline over 10 years	-36.43%	-35.00%	-1.43%
Current Drawdown Current decline from peak	-20.61%	-2.64%	-17.97%
Average Drawdown Average peak-to-trough decline	-13.18%	-8.02%	-5.16%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.48%	1.95%	-0.47%

Volatility

ASFYX vs. VTI - Volatility Comparison

AlphaSimplex Managed Futures Strategy Fund Class Y (ASFYX) has a higher volatility of 4.28% compared to Vanguard Total Stock Market ETF (VTI) at 3.88%. This indicates that ASFYX's price experiences larger fluctuations and is considered to be riskier than VTI based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	ASFYX	VTI	Difference
Volatility (1M) Calculated over the trailing 1-month period	4.28%	3.88%	+0.40%
Volatility (6M) Calculated over the trailing 6-month period	9.83%	9.55%	+0.28%
Volatility (1Y) Calculated over the trailing 1-year period	11.99%	12.44%	-0.45%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	13.79%	17.44%	-3.65%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	12.73%	18.33%	-5.60%

ASFYX vs. VTI - Expense Ratio Comparison

ASFYX has a 1.47% expense ratio, which is higher than VTI's 0.03% expense ratio.

Dividends

ASFYX vs. VTI - Dividend Comparison

ASFYX's dividend yield for the trailing twelve months is around 1.36%, more than VTI's 1.03% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y	1.36%	1.52%	1.46%	0.99%	32.48%	6.07%	3.40%	5.51%	1.30%	0.07%	0.01%	5.06%
VTI Vanguard Total Stock Market ETF	1.03%	1.12%	1.27%	1.44%	1.66%	1.21%	1.42%	1.78%	2.04%	1.71%	1.92%	1.98%

Frequently Asked Questions

Can I hold both ASFYX and VTI in my portfolio?

ASFYX and VTI have a correlation of 0.45, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ASFYX or VTI?

ASFYX has higher volatility (4.28%) compared to VTI (3.88%). In terms of maximum drawdown, ASFYX dropped -36.43% vs VTI's -55.45%.

Which has better risk-adjusted returns?

VTI currently has the higher Sharpe Ratio (2.02 vs 1.88), 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.