ASMF vs. SPTS
ASMF (Virtus AlphaSimplex Managed Futures ETF) and SPTS (SPDR Portfolio Short Term Treasury ETF) are both exchange-traded funds - ASMF is a Systematic Trend fund actively managed by Virtus, while SPTS is a Government Bonds fund tracking the Bloomberg 1-3 Year U.S. Treasury Index. ASMF is actively managed, while SPTS is passively managed. Over the past year, ASMF returned 14.60% vs 2.87% for SPTS. Their -0.13 correlation means they have often moved in opposite directions in the past. ASMF charges 0.80%/yr vs 0.03%/yr for SPTS.
Performance
ASMF vs. SPTS - Performance Comparison
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Returns By Period
In the year-to-date period, ASMF achieves a 6.61% return, which is significantly higher than SPTS's 1.00% return.
ASMF
- 1D
- -0.61%
- 1M
- -0.44%
- 6M
- 0.85%
- YTD
- 6.61%
- 1Y
- 14.60%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
- ALL TIME*
- 1.74%
SPTS
- 1D
- 0.10%
- 1M
- 0.25%
- 6M
- 0.83%
- YTD
- 1.00%
- 1Y
- 2.87%
- 3Y*
- 4.33%
- 5Y*
- 1.94%
- 10Y*
- 1.69%
- ALL TIME*
- 1.46%
Liquidity Comparison
| Position | Avg. Volume Value (2W) | Avg. Volume Value (1M) | Avg. Volume Value (3M) |
|---|---|---|---|
| $133.10K | $80.19K | $68.25K | |
| $28.58M | $30.04M | $40.35M |
ASMF vs. SPTS - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | |
|---|---|---|---|
ASMF Virtus AlphaSimplex Managed Futures ETF | 6.61% | 1.16% | -3.65% |
SPTS SPDR Portfolio Short Term Treasury ETF | 1.00% | 5.05% | 3.56% |
Correlation
The correlation between ASMF and SPTS is -0.13, meaning they have often moved in opposite directions in the past. This relationship can weaken or reverse as market conditions change.
| Correlation | |
|---|---|
Correlation (1Y) Focuses on recent behavior, but can change the most. | -0.13 |
Correlation (All Time) Calculated using the full available price history since May 16, 2024 | -0.13 |
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Return for Risk
ASMF vs. SPTS — Risk / Return Rank
ASMF
SPTS
ASMF vs. SPTS - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Virtus AlphaSimplex Managed Futures ETF (ASMF) and SPDR Portfolio Short Term Treasury ETF (SPTS). 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 | SPTS | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | -1.04 | ||
| Sortino ratioReturn per unit of downside risk | -1.71 | ||
| Omega ratioGain probability vs. loss probability | 1.24 | 1.44 | -0.21 |
| Calmar ratioReturn relative to maximum drawdown | 2.92 | 3.44 | -0.52 |
| Martin ratioReturn relative to average drawdown | 6.63 | 13.41 | -6.77 |
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Drawdowns
ASMF vs. SPTS - Drawdown Comparison
The maximum ASMF drawdown since its inception was -15.31%, which is greater than SPTS's maximum drawdown of -5.83%. Use the drawdown chart below to compare losses from any high point for ASMF and SPTS.
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Drawdown Indicators
| ASMF | SPTS | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -15.31% | -5.83% | -9.48% |
Max Drawdown (1Y)Largest decline over 1 year | -5.02% | -0.84% | -4.18% |
Max Drawdown (3Y)Largest decline over 3 years | — | -0.96% | — |
Max Drawdown (5Y)Largest decline over 5 years | — | -5.65% | — |
Max Drawdown (10Y)Largest decline over 10 years | — | -5.71% | — |
Current DrawdownCurrent decline from peak | -3.85% | 0.00% | -3.85% |
Average DrawdownAverage peak-to-trough decline | -7.25% | -1.70% | -5.55% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 2.21% | 0.21% | +2.00% |
Volatility
ASMF vs. SPTS - Volatility Comparison
Virtus AlphaSimplex Managed Futures ETF (ASMF) has a higher volatility of 2.49% compared to SPDR Portfolio Short Term Treasury ETF (SPTS) at 0.37%. This indicates that ASMF's price experiences larger fluctuations and is considered to be riskier than SPTS based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ASMF | SPTS | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.49% | 0.37% | +2.12% |
Volatility (6M)Calculated over the trailing 6-month period | 8.82% | 1.01% | +7.81% |
Volatility (1Y)Calculated over the trailing 1-year period | 11.54% | 1.25% | +10.29% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 10.91% | 2.00% | +8.91% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 10.91% | 1.70% | +9.21% |
ASMF vs. SPTS - Expense Ratio Comparison
ASMF has a 0.80% expense ratio, which is higher than SPTS's 0.03% expense ratio.
Dividends
ASMF vs. SPTS - Dividend Comparison
ASMF's dividend yield for the trailing twelve months is around 0.20%, less than SPTS's 3.86% yield.
| Position | TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
ASMF Virtus AlphaSimplex Managed Futures ETF | 0.20% | 0.22% | 1.66% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
SPTS SPDR Portfolio Short Term Treasury ETF | 3.86% | 3.99% | 4.25% | 3.61% | 1.27% | 0.19% | 0.70% | 2.21% | 2.04% | 1.20% | 0.95% | 0.83% |
Frequently Asked Questions
ASMF and SPTS have a correlation of -0.13, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
ASMF has higher volatility (2.49%) compared to SPTS (0.37%). In terms of maximum drawdown, ASMF dropped -15.31% vs SPTS's -5.83%.
On 1-year performance, ASMF leads with 14.60% vs 2.87% for SPTS. On fees, SPTS is cheaper at 0.03% per year. On volatility, SPTS has been the lower-risk option at 0.37%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 1-year period, ASMF has performed better with a 14.60% return vs 2.87%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
SPTS is cheaper with a 0.03% expense ratio, compared with 0.80% for ASMF.
SPTS has the higher dividend yield at 3.86%, compared with 0.20% for ASMF.
ASMF is categorized as Systematic Trend, while SPTS is Government Bonds. They also come from different issuers: Virtus and State Street. Their fees differ too: 0.80% for ASMF and 0.03% for SPTS.
SPTS currently has the higher Sharpe Ratio (2.31 vs 1.27), 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.
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