ASMF vs. FCLO

Last updated Jun 24, 2026

ASMF (Virtus AlphaSimplex Managed Futures ETF) and FCLO (Fidelity CLO ETF) are both exchange-traded funds - ASMF is a Systematic Trend fund actively managed by Virtus, while FCLO is a CLO fund actively managed by Fidelity. Both are actively managed. At a correlation of -0.12, they often move in opposite directions. ASMF charges 0.80%/yr vs 0.45%/yr for FCLO.

Performance

ASMF vs. FCLO - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Virtus AlphaSimplex Managed Futures ETF (ASMF) and Fidelity CLO ETF (FCLO). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

ASMF

• 1D: -1.67%
• 1M: -1.93%
• YTD: 7.12%
• 6M: 6.84%
• 1Y: 15.63%
• 3Y*: —
• 5Y*: —
• 10Y*: —

FCLO

• 1D: -0.06%
• 1M: 0.34%
• YTD: —
• 6M: —
• 1Y: —
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

ASMF vs. FCLO - Yearly Performance Comparison

	2026 (YTD)
ASMF Virtus AlphaSimplex Managed Futures ETF	-1.39%
FCLO Fidelity CLO ETF	1.85%

Correlation

The correlation between ASMF and FCLO is -0.12, meaning they tend to move in opposite directions. This is especially valuable for risk management - when one declines, the other has historically tended to hold steady or rise.

	Correlation
Correlation (All Time) Calculated using the full available price history since Feb 12, 2026	-0.12

Return for Risk

ASMF vs. FCLO — Risk / Return Rank

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

ASMF

ASMF Risk / Return Rank: 48
ASMF Sharpe Ratio Rank: 41
ASMF Sortino Ratio Rank: 39
ASMF Omega Ratio Rank: 41
ASMF Calmar Ratio Rank: 67
ASMF Martin Ratio Rank: 50

FCLO

Risk / return metrics aren't available yet — we need at least 12 months of trading data to calculate them.

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.

ASMF vs. FCLO - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Virtus AlphaSimplex Managed Futures ETF (ASMF) and Fidelity CLO ETF (FCLO). 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.

	ASMF	FCLO	Difference
Sharpe ratio: Return per unit of total volatility	1.36	—	—
Sortino ratio: Return per unit of downside risk	1.88	—	—
Omega ratio: Gain probability vs. loss probability	1.25	—	—
Calmar ratio: Return relative to maximum drawdown	3.13	—	—
Martin ratio: Return relative to average drawdown	7.86	—	—

Drawdowns

ASMF vs. FCLO - Drawdown Comparison

The maximum ASMF drawdown since its inception was -15.31%, which is greater than FCLO's maximum drawdown of -0.58%. Use the drawdown chart below to compare losses from any high point for ASMF and FCLO.

Drawdown Indicators

	ASMF	FCLO	Difference
Max Drawdown Largest peak-to-trough decline	-15.31%	-0.58%	-14.73%
Max Drawdown (1Y) Largest decline over 1 year	-5.02%	—	—
Current Drawdown Current decline from peak	-3.39%	-0.08%	-3.31%
Average Drawdown Average peak-to-trough decline	-7.48%	-0.08%	-7.40%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.99%	—	—

Volatility

Volatility by Period

	ASMF	FCLO	Difference
Volatility (1M) Calculated over the trailing 1-month period	3.45%	—	—
Volatility (6M) Calculated over the trailing 6-month period	9.75%	—	—
Volatility (1Y) Calculated over the trailing 1-year period	11.53%	1.36%	+10.17%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	11.04%	1.36%	+9.68%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	11.04%	1.36%	+9.68%

ASMF vs. FCLO - Expense Ratio Comparison

ASMF has a 0.80% expense ratio, which is higher than FCLO's 0.45% expense ratio.

Dividends

ASMF vs. FCLO - Dividend Comparison

ASMF's dividend yield for the trailing twelve months is around 0.20%, less than FCLO's 1.56% yield.

Position	TTM	2025	2024
ASMF Virtus AlphaSimplex Managed Futures ETF	0.20%	0.22%	1.66%
FCLO Fidelity CLO ETF	1.56%	0.00%	0.00%

Frequently Asked Questions

Can I hold both ASMF and FCLO in my portfolio?

ASMF and FCLO have a correlation of -0.12, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which ETF is better, ASMF or FCLO?

On fees, FCLO is cheaper at 0.45% per year. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF is cheaper, ASMF or FCLO?

FCLO is cheaper with a 0.45% expense ratio, compared with 0.80% for ASMF.

Which ETF pays a higher dividend yield, ASMF or FCLO?

FCLO has the higher dividend yield at 1.56%, compared with 0.20% for ASMF.

What is the main difference between ASMF and FCLO?

ASMF is categorized as Systematic Trend, while FCLO is CLO. They also come from different issuers: Virtus and Fidelity. Their fees differ too: 0.80% for ASMF and 0.45% for FCLO.