ASMF vs. ISMF

Last updated Jun 3, 2026

ASMF (Virtus AlphaSimplex Managed Futures ETF) and ISMF (iShares Managed Futures Active ETF) are both Systematic Trend funds. Both are actively managed. Over the past year, ASMF returned 16.81% vs 21.28% for ISMF. At a 0.49 correlation, their price movements are largely independent. Both charge a 0.80% expense ratio.

Performance

ASMF vs. ISMF - Performance Comparison

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

Returns By Period

In the year-to-date period, ASMF achieves a 9.38% return, which is significantly higher than ISMF's 7.48% return.

ASMF

• 1D: 0.62%
• 1M: 1.58%
• YTD: 9.38%
• 6M: 11.65%
• 1Y: 16.81%
• 3Y*: —
• 5Y*: —
• 10Y*: —

ISMF

• 1D: 0.12%
• 1M: 0.89%
• YTD: 7.48%
• 6M: 10.36%
• 1Y: 21.28%
• 3Y*: —
• 5Y*: —
• 10Y*: —

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

ASMF vs. ISMF - Yearly Performance Comparison

	2026 (YTD)	2025
ASMF Virtus AlphaSimplex Managed Futures ETF	9.38%	4.27%
ISMF iShares Managed Futures Active ETF	7.48%	11.58%

Correlation

The correlation between ASMF and ISMF is 0.52, which is moderate. They share some common price drivers but move independently often enough to provide real diversification benefit when combined.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.52
Correlation (All Time) Calculated using the full available price history since Mar 14, 2025	0.49

The correlation between ASMF and ISMF has been stable across timeframes, ranging from 0.49 to 0.52 - a consistent structural relationship.

Return for Risk

ASMF vs. ISMF — Risk / Return Rank

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

ASMF

ASMF Risk / Return Rank: 50
ASMF Sharpe Ratio Rank: 43
ASMF Sortino Ratio Rank: 41
ASMF Omega Ratio Rank: 44
ASMF Calmar Ratio Rank: 68
ASMF Martin Ratio Rank: 53

ISMF

ISMF Risk / Return Rank: 86
ISMF Sharpe Ratio Rank: 82
ISMF Sortino Ratio Rank: 81
ISMF Omega Ratio Rank: 89
ISMF Calmar Ratio Rank: 89
ISMF Martin Ratio Rank: 87

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. ISMF - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Virtus AlphaSimplex Managed Futures ETF (ASMF) and iShares Managed Futures Active ETF (ISMF). 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.

	ASMF	ISMF	Difference
Sharpe ratio Return per unit of total volatility	1.51	2.71	-1.20
Sortino ratio Return per unit of downside risk	2.11	3.69	-1.58
Omega ratio Gain probability vs. loss probability	1.28	1.57	-0.29
Calmar ratio Return relative to maximum drawdown	3.44	5.46	-2.03
Martin ratio Return relative to average drawdown	9.10	18.89	-9.79
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

ASMF vs. ISMF - Sharpe Ratio Comparison

The current ASMF Sharpe Ratio is 1.51, which is lower than the ISMF Sharpe Ratio of 2.71. The chart below compares the historical Sharpe Ratios of ASMF and ISMF, 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

	ASMF	ISMF	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	1.51	2.71	-1.20
Sharpe Ratio (All Time) Calculated using the full available price history	0.30	2.08	-1.79

Drawdowns

ASMF vs. ISMF - Drawdown Comparison

The maximum ASMF drawdown since its inception was -15.31%, which is greater than ISMF's maximum drawdown of -4.23%. Use the drawdown chart below to compare losses from any high point for ASMF and ISMF.

Drawdown Indicators

	ASMF	ISMF	Difference
Max Drawdown Largest peak-to-trough decline	-15.31%	-4.23%	-11.08%
Max Drawdown (1Y) Largest decline over 1 year	-5.02%	-3.94%	-1.08%
Current Drawdown Current decline from peak	-1.35%	-0.81%	-0.54%
Average Drawdown Average peak-to-trough decline	-7.62%	-1.28%	-6.34%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.90%	1.14%	+0.76%

Volatility

ASMF vs. ISMF - Volatility Comparison

Virtus AlphaSimplex Managed Futures ETF (ASMF) has a higher volatility of 2.60% compared to iShares Managed Futures Active ETF (ISMF) at 1.72%. This indicates that ASMF's price experiences larger fluctuations and is considered to be riskier than ISMF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	ASMF	ISMF	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.60%	1.72%	+0.88%
Volatility (6M) Calculated over the trailing 6-month period	9.30%	6.29%	+3.01%
Volatility (1Y) Calculated over the trailing 1-year period	11.17%	7.88%	+3.29%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	10.98%	7.76%	+3.22%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	10.98%	7.76%	+3.22%

ASMF vs. ISMF - Expense Ratio Comparison

Both ASMF and ISMF have an expense ratio of 0.80%.

Dividends

ASMF vs. ISMF - Dividend Comparison

ASMF's dividend yield for the trailing twelve months is around 0.20%, less than ISMF's 5.80% yield.

Position	TTM	2025	2024
ASMF Virtus AlphaSimplex Managed Futures ETF	0.20%	0.22%	1.66%
ISMF iShares Managed Futures Active ETF	5.80%	6.23%	0.00%

Frequently Asked Questions

Can I hold both ASMF and ISMF in my portfolio?

ASMF and ISMF have a correlation of 0.52, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, ASMF or ISMF?

ASMF has higher volatility (2.60%) compared to ISMF (1.72%). In terms of maximum drawdown, ASMF dropped -15.31% vs ISMF's -4.23%.

Which ETF is better, ASMF or ISMF?

On 1-year performance, ISMF leads with 21.28% vs 16.81% for ASMF. Both ETFs have the same 0.80% expense ratio. On volatility, ISMF has been the lower-risk option at 1.72%. The better choice depends on whether you care most about return, fees, risk, or income.

Which ETF has performed better, ASMF or ISMF?

Over the 1-year period, ISMF has performed better with a 21.28% return vs 16.81%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.

Which ETF is cheaper, ASMF or ISMF?

ASMF and ISMF have the same expense ratio: 0.80% per year.

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

ISMF has the higher dividend yield at 5.80%, compared with 0.20% for ASMF.

What is the main difference between ASMF and ISMF?

They also come from different issuers: Virtus and iShares.

Which has better risk-adjusted returns?

ISMF currently has the higher Sharpe Ratio (2.71 vs 1.51), 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.