2x ASFYX
Asset Allocation
Position | Category/Sector | Weight |
---|---|---|
AlphaSimplex Managed Futures Strategy Fund Class Y | Systematic Trend | 200% |
SPDR Barclays 1-3 Month T-Bill ETF | Government Bonds | -100% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in 2x ASFYX, comparing it to the performance of the S&P 500 index or another benchmark. All prices have been adjusted for splits and dividends. The portfolio is rebalanced Quarterly
The earliest data available for this chart is Jul 30, 2010, corresponding to the inception date of ASFYX
Returns By Period
As of Dec 19, 2024, the 2x ASFYX returned -13.01% Year-To-Date and 2.71% of annualized return in the last 10 years.
YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
---|---|---|---|---|---|---|
S&P 500 | 23.11% | -0.36% | 7.02% | 23.15% | 12.80% | 11.01% |
2x ASFYX | -13.01% | 0.29% | -18.84% | -13.95% | 8.68% | 2.71% |
Portfolio components: | ||||||
AlphaSimplex Managed Futures Strategy Fund Class Y | -3.84% | 0.34% | -8.46% | -4.26% | 6.54% | 2.99% |
SPDR Barclays 1-3 Month T-Bill ETF | 5.02% | 0.39% | 2.50% | 5.22% | 2.32% | 1.60% |
Monthly Returns
The table below presents the monthly returns of 2x ASFYX, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.
Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
---|---|---|---|---|---|---|---|---|---|---|---|---|---|
2024 | -0.43% | 8.85% | 6.57% | 4.82% | -2.36% | -7.90% | -3.96% | -12.95% | 2.81% | -9.98% | 3.54% | -13.01% | |
2023 | -2.03% | 3.22% | -19.37% | 3.06% | 1.71% | 3.67% | -1.79% | -4.41% | 6.24% | 0.58% | -13.87% | -1.83% | -24.85% |
2022 | 5.63% | 6.12% | 21.47% | 20.37% | -2.02% | 11.88% | -11.56% | 10.80% | 17.45% | -1.37% | -14.01% | -2.00% | 71.85% |
2021 | -0.78% | 8.45% | 1.86% | 4.81% | 4.07% | -3.87% | 1.10% | -1.60% | -4.17% | 8.26% | -14.52% | 5.57% | 7.01% |
2020 | 0.10% | 1.16% | 12.22% | -0.18% | -5.60% | -2.74% | 10.01% | 1.71% | -5.77% | -0.42% | 6.75% | 8.83% | 27.01% |
2019 | -5.92% | -1.40% | 12.28% | 7.55% | -1.00% | 2.29% | 3.55% | 13.42% | -5.08% | -6.23% | -0.74% | -1.75% | 15.63% |
2018 | 12.64% | -18.01% | -2.47% | -1.94% | -3.44% | 0.92% | -0.55% | 8.60% | -8.97% | -12.44% | -4.96% | 5.79% | -25.51% |
2017 | 0.16% | 4.43% | -3.50% | -1.50% | 0.19% | -5.00% | 5.87% | 2.88% | -1.03% | 8.55% | 1.24% | 0.61% | 12.80% |
2016 | 11.75% | 3.45% | -2.49% | -5.28% | -4.57% | 8.81% | 3.05% | -7.78% | -8.24% | -8.80% | -1.45% | 1.76% | -11.56% |
2015 | 15.01% | 2.67% | 4.39% | -6.98% | -3.96% | -11.82% | 5.23% | -3.73% | 2.79% | -2.56% | 4.91% | -8.29% | -5.21% |
2014 | -6.04% | 2.46% | -0.81% | 3.90% | 7.52% | 2.57% | 1.33% | 10.32% | 1.56% | -1.20% | 13.98% | 5.21% | 47.19% |
2013 | 1.10% | -0.22% | 5.19% | 13.72% | -6.98% | -3.82% | 2.75% | -4.74% | 3.88% | 8.70% | 2.36% | 3.64% | 26.57% |
Expense Ratio
2x ASFYX has a high expense ratio of 2.80%, indicating higher-than-average management fees. Below you can find the expense ratios of portfolio funds side-by-side and effortlessly compare their relative costs.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of 2x ASFYX is 1, meaning it’s performing worse than 99% of other portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.
Risk-Adjusted Performance Indicators
This table presents a comparison of risk-adjusted performance metrics for positions. 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.
Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
---|---|---|---|---|---|
AlphaSimplex Managed Futures Strategy Fund Class Y | -0.38 | -0.41 | 0.95 | -0.18 | -0.48 |
SPDR Barclays 1-3 Month T-Bill ETF | 20.30 | 268.90 | 156.25 | 477.00 | 4,378.26 |
Dividends
Dividend yield
2x ASFYX provided a -2.97% dividend yield over the last twelve months.
TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|
Portfolio | -2.97% | -2.96% | 63.61% | 12.14% | 6.51% | 8.98% | 0.94% | -0.55% | -0.05% | 10.12% | 27.27% | 0.00% |
Portfolio components: | ||||||||||||
AlphaSimplex Managed Futures Strategy Fund Class Y | 1.02% | 0.98% | 32.48% | 6.07% | 3.40% | 5.51% | 1.30% | 0.07% | 0.01% | 5.06% | 13.64% | 0.00% |
SPDR Barclays 1-3 Month T-Bill ETF | 5.01% | 4.92% | 1.35% | 0.00% | 0.30% | 2.05% | 1.66% | 0.68% | 0.07% | 0.00% | 0.00% | 0.00% |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way. Drawdowns are calculated considering price movements and all distributions paid, if any.
Worst Drawdowns
The table below displays the maximum drawdowns of the 2x ASFYX. A maximum drawdown is a measure of risk, indicating the largest reduction in portfolio value due to a series of losing trades.
The maximum drawdown for the 2x ASFYX was 51.51%, occurring on Nov 7, 2018. Recovery took 834 trading sessions.
The current 2x ASFYX drawdown is 47.26%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
---|---|---|---|---|---|---|
-51.51% | Apr 16, 2015 | 900 | Nov 7, 2018 | 834 | Mar 3, 2022 | 1734 |
-48.94% | Oct 17, 2022 | 514 | Oct 31, 2024 | — | — | — |
-35.76% | May 2, 2011 | 394 | Nov 21, 2012 | 437 | Aug 19, 2014 | 831 |
-23.17% | Jun 15, 2022 | 39 | Aug 10, 2022 | 31 | Sep 23, 2022 | 70 |
-13.52% | Nov 5, 2010 | 17 | Nov 30, 2010 | 63 | Mar 2, 2011 | 80 |
Volatility
Volatility Chart
The current 2x ASFYX volatility is 5.55%, representing the average percentage change in the investments's value, either up or down over the past month. The chart below shows the rolling one-month volatility.
Diversification
Asset Correlations Table
ASFYX | BIL | |
---|---|---|
ASFYX | 1.00 | -0.00 |
BIL | -0.00 | 1.00 |