EVOIX vs. AMFAX
Compare and contrast key facts about Altegris Futures Evolution Strategy Fund (EVOIX) and AlphaSimplex Managed Futures Strategy Fund Class A (AMFAX).
EVOIX is managed by Altegris. It was launched on Oct 30, 2011. AMFAX is managed by BlackRock. It was launched on Jul 30, 2010.
Performance
EVOIX vs. AMFAX - Performance Comparison
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EVOIX vs. AMFAX - Yearly Performance Comparison
| 2026 (YTD) | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | |
|---|---|---|---|---|---|---|---|---|---|---|
EVOIX Altegris Futures Evolution Strategy Fund | 5.30% | 4.69% | 3.86% | 5.03% | 12.84% | 12.20% | -12.94% | 4.22% | -7.58% | 9.09% |
AMFAX AlphaSimplex Managed Futures Strategy Fund Class A | 6.43% | -9.75% | -3.56% | -10.59% | 35.38% | 3.28% | 13.29% | 8.03% | -12.87% | 6.54% |
Returns By Period
In the year-to-date period, EVOIX achieves a 5.30% return, which is significantly lower than AMFAX's 6.43% return. Over the past 10 years, EVOIX has outperformed AMFAX with an annualized return of 2.86%, while AMFAX has yielded a comparatively lower 1.54% annualized return.
EVOIX
- 1D
- -0.30%
- 1M
- -0.76%
- YTD
- 5.30%
- 6M
- 11.30%
- 1Y
- 13.46%
- 3Y*
- 7.27%
- 5Y*
- 7.75%
- 10Y*
- 2.86%
AMFAX
- 1D
- 0.00%
- 1M
- -1.70%
- YTD
- 6.43%
- 6M
- 10.88%
- 1Y
- 3.13%
- 3Y*
- -3.17%
- 5Y*
- 2.03%
- 10Y*
- 1.54%
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EVOIX vs. AMFAX - Expense Ratio Comparison
EVOIX has a 1.34% expense ratio, which is lower than AMFAX's 1.72% expense ratio.
Return for Risk
EVOIX vs. AMFAX — Risk / Return Rank
EVOIX
AMFAX
EVOIX vs. AMFAX - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for Altegris Futures Evolution Strategy Fund (EVOIX) 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.
| EVOIX | AMFAX | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | 1.35 | 0.15 | +1.19 |
Sortino ratioReturn per unit of downside risk | 1.83 | 0.27 | +1.56 |
Omega ratioGain probability vs. loss probability | 1.25 | 1.04 | +0.21 |
Calmar ratioReturn relative to maximum drawdown | 1.71 | 0.08 | +1.63 |
Martin ratioReturn relative to average drawdown | 3.56 | 0.13 | +3.44 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
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Sharpe Ratios by Period
| EVOIX | AMFAX | Difference | |
|---|---|---|---|
Sharpe Ratio (1Y)Calculated over the trailing 1-year period | 1.35 | 0.15 | +1.19 |
Sharpe Ratio (5Y)Calculated over the trailing 5-year period | 0.80 | 0.15 | +0.66 |
Sharpe Ratio (10Y)Calculated over the trailing 10-year period | 0.27 | 0.12 | +0.15 |
Sharpe Ratio (All Time)Calculated using the full available price history | 0.40 | 0.28 | +0.11 |
Correlation
The correlation between EVOIX and AMFAX is 0.78, which is considered to be high. That indicates a strong positive relationship between their price movements. Having highly-correlated positions in a portfolio may signal a lack of diversification, potentially leading to increased risk during market downturns.
Dividends
EVOIX vs. AMFAX - Dividend Comparison
EVOIX's dividend yield for the trailing twelve months is around 10.06%, more than AMFAX's 1.73% yield.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
EVOIX Altegris Futures Evolution Strategy Fund | 10.06% | 11.11% | 10.09% | 1.71% | 34.87% | 9.73% | 2.23% | 1.63% | 5.52% | 1.57% | 7.27% | 9.05% |
AMFAX AlphaSimplex Managed Futures Strategy Fund Class A | 1.73% | 1.84% | 1.28% | 0.30% | 32.70% | 5.74% | 3.14% | 4.71% | 1.31% | 0.00% | 0.00% | 4.92% |
Drawdowns
EVOIX vs. AMFAX - Drawdown Comparison
The maximum EVOIX drawdown since its inception was -29.57%, smaller than the maximum AMFAX drawdown of -36.84%. Use the drawdown chart below to compare losses from any high point for EVOIX and AMFAX.
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Drawdown Indicators
| EVOIX | AMFAX | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -29.57% | -36.84% | +7.27% |
Max Drawdown (1Y)Largest decline over 1 year | -7.61% | -13.54% | +5.93% |
Max Drawdown (5Y)Largest decline over 5 years | -18.80% | -36.84% | +18.04% |
Max Drawdown (10Y)Largest decline over 10 years | -29.57% | -36.84% | +7.27% |
Current DrawdownCurrent decline from peak | -0.76% | -25.04% | +24.28% |
Average DrawdownAverage peak-to-trough decline | -8.25% | -13.54% | +5.29% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 3.73% | 8.79% | -5.06% |
Volatility
EVOIX vs. AMFAX - Volatility Comparison
The current volatility for Altegris Futures Evolution Strategy Fund (EVOIX) is 2.53%, while AlphaSimplex Managed Futures Strategy Fund Class A (AMFAX) has a volatility of 3.94%. This indicates that EVOIX 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.
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Volatility by Period
| EVOIX | AMFAX | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 2.53% | 3.94% | -1.41% |
Volatility (6M)Calculated over the trailing 6-month period | 7.95% | 10.02% | -2.07% |
Volatility (1Y)Calculated over the trailing 1-year period | 10.05% | 13.06% | -3.01% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 9.69% | 13.68% | -3.99% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 10.46% | 12.67% | -2.21% |