ISMF vs. ASMF
ISMF (iShares Managed Futures Active ETF) and ASMF (Virtus AlphaSimplex Managed Futures ETF) are both Systematic Trend funds. Both are actively managed. Over the past year, ISMF returned 22.62% vs 18.20% for ASMF. At a 0.49 correlation, their price movements are largely independent. Both charge a 0.80% expense ratio.
Performance
ISMF vs. ASMF - Performance Comparison
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Returns By Period
In the year-to-date period, ISMF achieves a 6.76% return, which is significantly lower than ASMF's 8.93% return.
ISMF
- 1D
- -0.14%
- 1M
- -1.11%
- YTD
- 6.76%
- 6M
- 6.76%
- 1Y
- 22.62%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
ASMF
- 1D
- 0.33%
- 1M
- -0.27%
- YTD
- 8.93%
- 6M
- 9.19%
- 1Y
- 18.20%
- 3Y*
- —
- 5Y*
- —
- 10Y*
- —
ISMF vs. ASMF - Yearly Performance Comparison
| 2026 (YTD) | 2025 | |
|---|---|---|
ISMF iShares Managed Futures Active ETF | 6.76% | 11.53% |
ASMF Virtus AlphaSimplex Managed Futures ETF | 8.93% | 4.75% |
Correlation
The correlation between ISMF and ASMF is 0.51, 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 | 0.51 |
Correlation (All Time) Calculated using the full available price history since Mar 13, 2025 | 0.49 |
The correlation between ISMF and ASMF has been stable across timeframes, ranging from 0.49 to 0.51 - a consistent structural relationship.
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Return for Risk
ISMF vs. ASMF — Risk / Return Rank
ISMF
ASMF
ISMF vs. ASMF - Risk-Adjusted Trends Comparison
This table presents a comparison of risk-adjusted performance metrics for iShares Managed Futures Active ETF (ISMF) and Virtus AlphaSimplex Managed Futures ETF (ASMF). 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.
| ISMF | ASMF | Difference | |
|---|---|---|---|
| Sharpe ratioReturn per unit of total volatility | +1.25 | ||
| Sortino ratioReturn per unit of downside risk | +1.66 | ||
| Omega ratioGain probability vs. loss probability | 1.60 | 1.30 | +0.31 |
| Calmar ratioReturn relative to maximum drawdown | 5.76 | 3.64 | +2.12 |
| Martin ratioReturn relative to average drawdown | 19.42 | 9.20 | +10.23 |
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Drawdowns
ISMF vs. ASMF - Drawdown Comparison
The maximum ISMF drawdown since its inception was -4.23%, smaller than the maximum ASMF drawdown of -15.31%. Use the drawdown chart below to compare losses from any high point for ISMF and ASMF.
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Drawdown Indicators
| ISMF | ASMF | Difference | |
|---|---|---|---|
Max DrawdownLargest peak-to-trough decline | -4.23% | -15.31% | +11.08% |
Max Drawdown (1Y)Largest decline over 1 year | -3.94% | -5.02% | +1.08% |
Current DrawdownCurrent decline from peak | -1.49% | -1.75% | +0.26% |
Average DrawdownAverage peak-to-trough decline | -1.28% | -7.48% | +6.20% |
Ulcer IndexDepth and duration of drawdowns from previous peaks | 1.17% | 1.98% | -0.81% |
Volatility
ISMF vs. ASMF - Volatility Comparison
The current volatility for iShares Managed Futures Active ETF (ISMF) is 1.82%, while Virtus AlphaSimplex Managed Futures ETF (ASMF) has a volatility of 3.06%. This indicates that ISMF experiences smaller price fluctuations and is considered to be less risky than ASMF based on this measure. The chart below showcases a comparison of their rolling one-month volatility.
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Volatility by Period
| ISMF | ASMF | Difference | |
|---|---|---|---|
Volatility (1M)Calculated over the trailing 1-month period | 1.82% | 3.06% | -1.24% |
Volatility (6M)Calculated over the trailing 6-month period | 6.38% | 9.60% | -3.22% |
Volatility (1Y)Calculated over the trailing 1-year period | 7.98% | 11.43% | -3.45% |
Volatility (5Y)Calculated over the trailing 5-year period, annualized | 7.73% | 10.99% | -3.26% |
Volatility (10Y)Calculated over the trailing 10-year period, annualized | 7.73% | 10.99% | -3.26% |
ISMF vs. ASMF - Expense Ratio Comparison
Both ISMF and ASMF have an expense ratio of 0.80%.
Dividends
ISMF vs. ASMF - Dividend Comparison
ISMF's dividend yield for the trailing twelve months is around 5.84%, more than ASMF's 0.20% yield.
| Position | TTM | 2025 | 2024 |
|---|---|---|---|
ASMF Virtus AlphaSimplex Managed Futures ETF | 0.20% | 0.22% | 1.66% |
ISMF iShares Managed Futures Active ETF | 5.84% | 6.23% | 0.00% |
Frequently Asked Questions
ISMF and ASMF have a correlation of 0.51, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.
ASMF has higher volatility (3.06%) compared to ISMF (1.82%). In terms of maximum drawdown, ISMF dropped -4.23% vs ASMF's -15.31%.
On 1-year performance, ISMF leads with 22.62% vs 18.20% for ASMF. Both ETFs have the same 0.80% expense ratio. On volatility, ISMF has been the lower-risk option at 1.82%. The better choice depends on whether you care most about return, fees, risk, or income.
Over the 1-year period, ISMF has performed better with a 22.62% return vs 18.20%. Past performance does not guarantee future results, so compare this with risk, fees, and fund exposure.
ISMF and ASMF have the same expense ratio: 0.80% per year.
ISMF has the higher dividend yield at 5.84%, compared with 0.20% for ASMF.
They also come from different issuers: iShares and Virtus.
ISMF currently has the higher Sharpe Ratio (2.85 vs 1.60), 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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