VTSMX vs. AMFAX

Last updated Jun 3, 2026

VTSMX (Vanguard Total Stock Market Index Fund Investor Shares) and AMFAX (AlphaSimplex Managed Futures Strategy Fund Class A) are both mutual funds - VTSMX is a Large Cap Blend Equities fund managed by Vanguard, while AMFAX is a Systematic Trend fund managed by BlackRock. Over the past 10 years, VTSMX returned 14.91%/yr vs 2.58%/yr for AMFAX. At a 0.21 correlation, their price movements are largely independent. VTSMX charges 0.14%/yr vs 1.72%/yr for AMFAX.

Performance

VTSMX vs. AMFAX - Performance Comparison

The chart below illustrates the hypothetical performance of a $10,000 investment in Vanguard Total Stock Market Index Fund Investor Shares (VTSMX) 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, VTSMX achieves a 11.70% return, which is significantly lower than AMFAX's 14.44% return. Over the past 10 years, VTSMX has outperformed AMFAX with an annualized return of 14.91%, while AMFAX has yielded a comparatively lower 2.58% annualized return.

VTSMX

• 1D: 0.25%
• 1M: 5.10%
• YTD: 11.70%
• 6M: 12.05%
• 1Y: 29.56%
• 3Y*: 21.89%
• 5Y*: 12.64%
• 10Y*: 14.91%

AMFAX

• 1D: 1.63%
• 1M: 1.40%
• YTD: 14.44%
• 6M: 17.64%
• 1Y: 24.74%
• 3Y*: -1.85%
• 5Y*: 2.47%
• 10Y*: 2.58%

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

VTSMX vs. AMFAX - Yearly Performance Comparison

	2026 (YTD)	2025	2024	2023	2022	2021	2020	2019	2018	2017
VTSMX Vanguard Total Stock Market Index Fund Investor Shares	11.70%	16.63%	22.76%	26.38%	-19.60%	25.59%	20.87%	30.63%	-5.27%	21.05%
AMFAX AlphaSimplex Managed Futures Strategy Fund Class A	14.44%	-9.75%	-3.56%	-10.59%	35.38%	3.28%	13.29%	8.03%	-12.87%	6.54%

Correlation

The correlation between VTSMX and AMFAX is 0.44, which is low. Their price movements are largely independent, making them effective diversification partners.

	Correlation
Correlation (1Y) Calculated over the trailing 1-year period	0.44
Correlation (3Y) Calculated over the trailing 3-year period	0.32
Correlation (5Y) Calculated over the trailing 5-year period	0.16
Correlation (10Y) Calculated over the trailing 10-year period	0.21
Correlation (All Time) Calculated using the full available price history since Aug 3, 2010	0.21

Over the past year, VTSMX and AMFAX have become more correlated (0.44) than their long-term average of 0.21, meaning their price movements have been converging.

Return for Risk

VTSMX vs. AMFAX — Risk / Return Rank

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

VTSMX

VTSMX Risk / Return Rank: 71
VTSMX Sharpe Ratio Rank: 73
VTSMX Sortino Ratio Rank: 64
VTSMX Omega Ratio Rank: 64
VTSMX Calmar Ratio Rank: 74
VTSMX Martin Ratio Rank: 82

AMFAX

AMFAX Risk / Return Rank: 66
AMFAX Sharpe Ratio Rank: 54
AMFAX Sortino Ratio Rank: 47
AMFAX Omega Ratio Rank: 50
AMFAX Calmar Ratio Rank: 92
AMFAX Martin Ratio Rank: 89

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.

VTSMX vs. AMFAX - Risk-Adjusted Trends Comparison

This table presents a comparison of risk-adjusted performance metrics for Vanguard Total Stock Market Index Fund Investor Shares (VTSMX) 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.

	VTSMX	AMFAX	Difference
Sharpe ratio Return per unit of total volatility	2.48	2.18	+0.30
Sortino ratio Return per unit of downside risk	3.37	2.88	+0.49
Omega ratio Gain probability vs. loss probability	1.44	1.39	+0.05
Calmar ratio Return relative to maximum drawdown	3.37	4.88	-1.52
Martin ratio Return relative to average drawdown	15.56	17.48	-1.92
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month.

VTSMX vs. AMFAX - Sharpe Ratio Comparison

The current VTSMX Sharpe Ratio is 2.48, which is comparable to the AMFAX Sharpe Ratio of 2.18. The chart below compares the historical Sharpe Ratios of VTSMX 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.

Sharpe Ratios by Period

	VTSMX	AMFAX	Difference
Sharpe Ratio (1Y) Calculated over the trailing 1-year period	2.48	2.18	+0.30
Sharpe Ratio (5Y) Calculated over the trailing 5-year period	0.73	0.18	+0.55
Sharpe Ratio (10Y) Calculated over the trailing 10-year period	0.81	0.20	+0.61
Sharpe Ratio (All Time) Calculated using the full available price history	0.59	0.32	+0.27

Drawdowns

VTSMX vs. AMFAX - Drawdown Comparison

The maximum VTSMX drawdown since its inception was -55.38%, which is greater than AMFAX's maximum drawdown of -36.84%. Use the drawdown chart below to compare losses from any high point for VTSMX and AMFAX.

Drawdown Indicators

	VTSMX	AMFAX	Difference
Max Drawdown Largest peak-to-trough decline	-55.38%	-36.84%	-18.54%
Max Drawdown (1Y) Largest decline over 1 year	-8.93%	-5.17%	-3.76%
Max Drawdown (3Y) Largest decline over 3 years	-19.63%	-30.49%	+10.86%
Max Drawdown (5Y) Largest decline over 5 years	-25.43%	-36.84%	+11.41%
Max Drawdown (10Y) Largest decline over 10 years	-34.98%	-36.84%	+1.86%
Current Drawdown Current decline from peak	0.00%	-19.40%	+19.40%
Average Drawdown Average peak-to-trough decline	-8.90%	-13.63%	+4.73%
Ulcer Index Depth and duration of drawdowns from previous peaks	1.93%	1.45%	+0.48%

Volatility

VTSMX vs. AMFAX - Volatility Comparison

The current volatility for Vanguard Total Stock Market Index Fund Investor Shares (VTSMX) is 2.95%, while AlphaSimplex Managed Futures Strategy Fund Class A (AMFAX) has a volatility of 3.64%. This indicates that VTSMX 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

	VTSMX	AMFAX	Difference
Volatility (1M) Calculated over the trailing 1-month period	2.95%	3.64%	-0.69%
Volatility (6M) Calculated over the trailing 6-month period	9.20%	9.60%	-0.40%
Volatility (1Y) Calculated over the trailing 1-year period	12.22%	11.78%	+0.44%
Volatility (5Y) Calculated over the trailing 5-year period, annualized	17.36%	13.77%	+3.59%
Volatility (10Y) Calculated over the trailing 10-year period, annualized	18.41%	12.70%	+5.71%

VTSMX vs. AMFAX - Expense Ratio Comparison

VTSMX has a 0.14% expense ratio, which is lower than AMFAX's 1.72% expense ratio.

Dividends

VTSMX vs. AMFAX - Dividend Comparison

VTSMX's dividend yield for the trailing twelve months is around 0.93%, less than AMFAX's 1.61% yield.

Position	TTM	2025	2024	2023	2022	2021	2020	2019	2018	2017	2016	2015
AMFAX AlphaSimplex Managed Futures Strategy Fund Class A	1.61%	1.84%	1.28%	0.30%	32.70%	5.74%	3.14%	4.71%	1.31%	0.00%	0.00%	4.92%
VTSMX Vanguard Total Stock Market Index Fund Investor Shares	0.93%	0.75%	0.89%	1.33%	1.54%	1.11%	1.33%	1.67%	1.92%	1.61%	1.83%	1.86%

Frequently Asked Questions

Can I hold both VTSMX and AMFAX in my portfolio?

VTSMX and AMFAX have a correlation of 0.44, meaning they provide meaningful diversification benefit when combined. Depending on your allocation goals, holding both could reduce overall portfolio risk.

Which is riskier, VTSMX or AMFAX?

AMFAX has higher volatility (3.64%) compared to VTSMX (2.95%). In terms of maximum drawdown, VTSMX dropped -55.38% vs AMFAX's -36.84%.

Which has better risk-adjusted returns?

VTSMX currently has the higher Sharpe Ratio (2.48 vs 2.18), 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.