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Virtus AlphaSimplex Managed Futures Strategy Fund Class A AMFAX
Historical return decomposition and an investable replication portfolio, using data through 2026-10-09.
Fund and replication metrics
| Measure | AMFAX | Replication |
|---|---|---|
| Annualized growth | 4.0% | 7.3% |
| Annualized volatility | 13.5% | 6.8% |
| Sharpe ratio | 0.36 | 1.08 |
| Maximum drawdown | 36.5% | 10.3% |
| Replication fit (R²) | 0.21 · Tracking error 12.0% | |
Replication portfolio
The published portfolio below is the investable basket used to model AMFAX’s historical return behavior.
| Ticker | Building block | Weight |
|---|---|---|
| WTMF | Alternatives · Mgt Futures | 86.4% |
| BCI | Alternatives · Commodities | 13.6% |