C000190721 Performance — AlphaSimplex Managed Futures Strategy Fund, Class N
Data updated: 2023-05-30
C000190721 returned +4.93% over one year to Mar 2023. The annualised 3-year return is +10.88%. Against its Commodities category average the fund came out behind over three years but ahead over one: $100 invested three years ago grew to $136, against $151 for the category, and to $105 over one year, against $92. Volatility over the past three years was 15.78% a year. In the 12 months to Mar 2023 the fund took in a net $1.5B, and assets reached $2.70B.
C000190721 Growth of $100
What $100 invested in AlphaSimplex Managed Futures Strategy Fund grew to, compounded from monthly returns reported on SEC Form N-PORT, against the Commodities category average over the same months.
| Period | C000190721 | Category average |
|---|---|---|
| 1 year (Apr 2022 – Mar 2023) | $105 | $92 |
| 3 years (Apr 2020 – Mar 2023) | $136 | $151 |
| Since data start (Jul 2019 – Mar 2023) | $149 | $132 |
C000190721 Trailing Returns
Total returns to Mar 2023, from SEC N-PORT.
| Period | Total return |
|---|---|
| 1 year | +4.93% |
| 3 years (annualised) | +10.88% |
C000190721 Annual Returns
Calendar-year total returns of AlphaSimplex Managed Futures Strategy Fund, compounded from monthly SEC N-PORT returns. Partial years show the months covered.
| Year | Total return |
|---|---|
| 2023 (Jan–Mar) | −8.83% |
| 2022 | +35.91% |
| 2021 | +3.61% |
| 2020 | +13.76% |
| 2019 (Jul–Dec) | +1.72% |
C000190721 Monthly Returns
Monthly total returns as reported on SEC Form N-PORT.
| Year | Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2023 | −0.9% | +1.7% | −9.5% | — | — | — | — | — | — | — | — | — |
| 2022 | +2.8% | +3.2% | +11.3% | +10.1% | −1.1% | +6.6% | −5.7% | +5.2% | +8.6% | −0.6% | −6.8% | −0.7% |
| 2021 | −0.4% | +4.2% | +0.9% | +2.5% | +2.1% | −2.0% | +0.5% | −0.8% | −2.1% | +4.1% | −7.5% | +2.6% |
| 2020 | +0.2% | +0.6% | +6.2% | −0.1% | −2.8% | −1.2% | +5.0% | +0.8% | −2.9% | −0.2% | +3.3% | +4.5% |
| 2019 | — | — | — | — | — | — | +1.9% | +6.9% | −2.6% | −3.1% | −0.3% | −0.7% |
C000190721 Risk
Risk measures from monthly returns over Apr 2020 – Mar 2023.
- 3-year volatility (annualised): 15.78%
- 3-year Sharpe ratio: 0.40 (vs 4.5% risk-free rate)
- Best month: +11.34% (Mar 2022)
- Worst month: −9.53% (Mar 2023)
C000190721 Fund Flows
Monthly money in and out of AlphaSimplex Managed Futures Strategy Fund, from SEC Form N-PORT.
- 12-month net flow: $1.5B
- 12-month gross sales (incl. reinvestments): $3.8B
- Sales ÷ redemptions: 1.66×
| Month | Sales | Redemptions | Net flow |
|---|---|---|---|
| Mar 2023 | $261.1M | $181.3M | $79.8M |
| Feb 2023 | $145.1M | $169.1M | −$24.0M |
| Jan 2023 | $269.9M | $222.7M | $47.3M |
| Dec 2022 | $721.0M | $387.4M | $333.6M |
| Nov 2022 | $175.8M | $174.6M | $1.1M |
| Oct 2022 | $293.3M | $194.1M | $99.2M |
| Sep 2022 | $378.6M | $90.8M | $287.8M |
| Aug 2022 | $255.9M | $136.9M | $119.0M |
| Jul 2022 | $233.6M | $166.3M | $67.4M |
| Jun 2022 | $384.7M | $211.2M | $173.5M |
| May 2022 | $381.7M | $168.3M | $213.4M |
| Apr 2022 | $280.8M | $176.8M | $104.0M |
C000190721 Assets Under Management
Net assets of AlphaSimplex Managed Futures Strategy Fund by report date, from SEC N-PORT filings.
| Report date | Net assets |
|---|---|
| 2023-03-31 | $2.70B |
| 2022-12-31 | $2.86B |
| 2022-09-30 | $3.49B |
| 2022-06-30 | $2.77B |
| 2022-03-31 | $1.95B |
| 2021-12-31 | $1.50B |
| 2021-09-30 | $1.48B |
| 2021-06-30 | $1.51B |
| 2021-03-31 | $1.44B |
| 2020-12-31 | $1.48B |
| 2020-09-30 | $1.44B |
| 2020-06-30 | $1.63B |
For information only. Not investment advice: figures are as reported in SEC filings and may contain errors or be out of date. Past performance does not guarantee future results.