EBSIX vs. AMFAX

Last updated Jun 23, 2026

EBSIX (Campbell Systematic Macro Fund Class I Shares) and AMFAX (AlphaSimplex Managed Futures Strategy Fund Class A) are both mutual funds - EBSIX is a Macro Trading fund managed by Campbell & Company, while AMFAX is a Systematic Trend fund managed by BlackRock. Over the past 5 years, EBSIX returned 9.26%/yr vs 2.84%/yr for AMFAX. A 0.63 correlation means they provide meaningful diversification when combined. EBSIX charges 1.75%/yr vs 1.72%/yr for AMFAX.

Performance

EBSIX vs. AMFAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Campbell Systematic Macro Fund Class I Shares (EBSIX) and AlphaSimplex Managed Futures Strategy Fund Class A (AMFAX). The values are adjusted to include any dividend payments, if applicable.

Returns By Period

In the year-to-date period, EBSIX achieves a 8.76% return, which is significantly lower than AMFAX's 11.02% return.

EBSIX

• 1D: -0.10%
• 1M: -0.49%
• YTD: 8.76%
• 6M: 9.23%
• 1Y: 6.65%
• 3Y*: 4.23%
• 5Y*: 9.26%
• 10Y*: —

AMFAX

• 1D: 0.48%
• 1M: -3.09%
• YTD: 11.02%
• 6M: 10.63%
• 1Y: 22.92%
• 3Y*: -3.04%
• 5Y*: 2.84%
• 10Y*: 2.27%

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

EBSIX vs. AMFAX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020
EBSIX Campbell Systematic Macro Fund Class I Shares	8.76%	-1.14%	11.63%	-1.83%	30.91%	9.05%	4.94%
AMFAX AlphaSimplex Managed Futures Strategy Fund Class A	11.02%	-9.75%	-3.56%	-10.59%	35.38%	3.28%	5.65%

Correlation

The correlation between EBSIX and AMFAX is 0.58, 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	0.58
Correlation (3Y) Calculated over the trailing 3-year period	0.58
Correlation (5Y) Calculated over the trailing 5-year period	0.62
Correlation (All Time) Calculated using the full available price history since Oct 28, 2020	0.63

The correlation between EBSIX and AMFAX has been stable across timeframes, ranging from 0.58 to 0.63 - a consistent structural relationship.

Return for Risk

EBSIX vs. AMFAX — Risk / Return Rank

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

EBSIX

EBSIX Risk / Return Rank: 9
EBSIX Sharpe Ratio Rank: 9
EBSIX Sortino Ratio Rank: 9
EBSIX Omega Ratio Rank: 9
EBSIX Calmar Ratio Rank: 11
EBSIX Martin Ratio Rank: 9

AMFAX

AMFAX Risk / Return Rank: 59
AMFAX Sharpe Ratio Rank: 48
AMFAX Sortino Ratio Rank: 41
AMFAX Omega Ratio Rank: 44
AMFAX Calmar Ratio Rank: 89
AMFAX Martin Ratio Rank: 74

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.

EBSIX vs. AMFAX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Campbell Systematic Macro Fund Class I Shares (EBSIX) and AlphaSimplex Managed Futures Strategy Fund Class A (AMFAX). 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.

	EBSIX	AMFAX	Difference
Sharpe ratio: Return per unit of total volatility	0.73	1.87	-1.14
Sortino ratio: Return per unit of downside risk	1.10	2.48	-1.37
Omega ratio: Gain probability vs. loss probability	1.13	1.33	-0.21
Calmar ratio: Return relative to maximum drawdown	1.01	4.16	-3.15
Martin ratio: Return relative to average drawdown	2.34	13.13	-10.79

EBSIX vs. AMFAX - Sharpe Ratio Comparison

The current EBSIX Sharpe Ratio is 0.73, which is lower than the AMFAX Sharpe Ratio of 1.87. The chart below compares the historical Sharpe Ratios of EBSIX and AMFAX, calculated using daily returns over the previous 12 months. A higher Sharpe Ratio indicates better risk-adjusted performance relative to the risk-free rate.

Drawdowns

EBSIX vs. AMFAX - Drawdown Comparison

The maximum EBSIX drawdown since its inception was -10.96%, smaller than the maximum AMFAX drawdown of -36.84%. Use the drawdown chart below to compare losses from any high point for EBSIX and AMFAX.

Drawdown Indicators

	EBSIX	AMFAX	Difference
Max Drawdown Largest peak-to-trough decline	-10.96%	-36.84%	+25.88%
Max Drawdown (1Y) Largest decline over 1 year	-5.88%	-5.41%	-0.47%
Max Drawdown (3Y) Largest decline over 3 years	-10.26%	-30.49%	+20.23%
Max Drawdown (5Y) Largest decline over 5 years	-10.96%	-36.84%	+25.88%
Max Drawdown (10Y) Largest decline over 10 years	—	-36.84%	—
Current Drawdown Current decline from peak	-1.74%	-21.81%	+20.07%
Average Drawdown Average peak-to-trough decline	-3.04%	-13.65%	+10.61%
Ulcer Index Depth and duration of drawdowns from previous peaks	2.53%	1.71%	+0.82%

Volatility

EBSIX vs. AMFAX - Volatility Comparison

The current volatility for Campbell Systematic Macro Fund Class I Shares (EBSIX) is 2.10%, while AlphaSimplex Managed Futures Strategy Fund Class A (AMFAX) has a volatility of 3.67%. This indicates that EBSIX experiences smaller price fluctuations and is considered to be less risky than AMFAX based on this measure. The chart below showcases a comparison of their rolling one-month volatility.

Volatility by Period

	EBSIX	AMFAX	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.10%	3.67%	-1.57%
Volatility (6M) Calculated over the trailing 6-month period	5.95%	9.90%	-3.95%
Volatility (1Y) Calculated over the trailing 1-year period	8.09%	12.02%	-3.93%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	9.52%	13.78%	-4.26%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	9.44%	12.72%	-3.28%

EBSIX vs. AMFAX - Expense Ratio Comparison

EBSIX has a 1.75% expense ratio, which is higher than AMFAX's 1.72% expense ratio.

Dividends

EBSIX vs. AMFAX - Dividend Comparison

EBSIX's dividend yield for the trailing twelve months is around 2.90%, more than AMFAX's 1.66% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
AMFAX AlphaSimplex Managed Futures Strategy Fund Class A	1.66%	1.84%	1.28%	0.30%	32.70%	5.74%	3.14%	4.71%	1.31%	0.00%	0.00%	4.92%
EBSIX Campbell Systematic Macro Fund Class I Shares	2.90%	3.16%	2.90%	1.82%	15.10%	7.73%	0.00%	0.00%	0.00%	0.00%	0.00%	0.00%

Frequently Asked Questions

Can I hold both EBSIX and AMFAX in my portfolio?

EBSIX and AMFAX have a correlation of 0.58, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, EBSIX or AMFAX?

AMFAX has higher volatility (3.67%) compared to EBSIX (2.10%). In terms of maximum drawdown, EBSIX dropped -10.96% vs AMFAX's -36.84%.

Which has better risk-adjusted returns?

AMFAX currently has the higher Sharpe Ratio (1.87 vs 0.73), 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.