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2x ASFYX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

2x ASFYX

Last updated May 2, 2024

Asset Allocation

ASFYX 200%AlternativesAlternativesBondBond
PositionCategory/SectorWeight
ASFYX
AlphaSimplex Managed Futures Strategy Fund Class Y		Systematic Trend

200%

BIL
SPDR Barclays 1-3 Month T-Bill ETF		Government Bonds

-100%

S&P 500

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

150.00%200.00%250.00%300.00%350.00%December2024FebruaryMarchAprilMay
214.92%
355.55%
2x ASFYX
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jul 30, 2010, corresponding to the inception date of ASFYX

Returns By Period

As of May 2, 2024, the 2x ASFYX returned 17.00% Year-To-Date and 9.45% of annualized return in the last 10 years.

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		5.21%-4.30%18.42%21.82%11.27%10.33%
2x ASFYX17.00%0.12%0.18%5.28%16.31%9.45%
Portfolio components:
ASFYX
AlphaSimplex Managed Futures Strategy Fund Class Y		9.32%0.30%2.00%5.98%9.97%6.17%
BIL
SPDR Barclays 1-3 Month T-Bill ETF		1.75%0.42%2.63%5.32%1.93%1.27%

Monthly Returns Heatmap

JanFebMarAprMayJunJulAugSepOctNovDec
2024-0.43%8.85%6.57%4.83%
20230.58%-13.87%-1.83%

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.

ASFYX
AlphaSimplex Managed Futures Strategy Fund Class Y
Expense ratio chart for ASFYX: current value at 1.47% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.47%
BIL
SPDR Barclays 1-3 Month T-Bill ETF
Expense ratio chart for BIL: current value at 0.14% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.14%

Risk-Adjusted Performance

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.

2x ASFYX
Sharpe ratio
The chart of Sharpe ratio for 2x ASFYX, currently valued at 0.22, compared to the broader market-1.000.001.002.003.004.005.000.22
Sortino ratio
The chart of Sortino ratio for 2x ASFYX, currently valued at 0.43, compared to the broader market-2.000.002.004.006.000.43
Omega ratio
The chart of Omega ratio for 2x ASFYX, currently valued at 1.05, compared to the broader market0.801.001.201.401.601.801.05
Calmar ratio
The chart of Calmar ratio for 2x ASFYX, currently valued at 0.11, compared to the broader market0.002.004.006.008.000.11
Martin ratio
The chart of Martin ratio for 2x ASFYX, currently valued at 0.46, compared to the broader market0.0010.0020.0030.0040.000.46
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.74, compared to the broader market-1.000.001.002.003.004.005.001.74
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.53, compared to the broader market-2.000.002.004.006.002.53
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.30, compared to the broader market0.801.001.201.401.601.801.30
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.33, compared to the broader market0.002.004.006.008.001.33
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 6.79, compared to the broader market0.0010.0020.0030.0040.006.79
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
ASFYX
AlphaSimplex Managed Futures Strategy Fund Class Y		0.560.831.100.271.25
BIL
SPDR Barclays 1-3 Month T-Bill ETF		19.93192.94119.22242.165,457.16

Sharpe Ratio

The current 2x ASFYX Sharpe ratio is 0.22. This value is calculated based on the past 12 months of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 1.20 to 2.13, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests that it may not be performing as well in terms of risk-adjusted returns compared to many other portfolios. The lower performance could be due to either lower returns, higher volatility, or a combination of both. This might indicate that the portfolio requires some fine-tuning. You can use the Portfolio Optimization tool to find an allocation that maximizes the Sharpe ratio.

Use the chart below to compare the Sharpe ratio of 2x ASFYX with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.

Rolling 12-month Sharpe Ratio-1.000.001.002.003.00December2024FebruaryMarchAprilMay
0.22
1.74
2x ASFYX
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

2x ASFYX granted a -3.38% dividend yield in the last twelve months.

TTM2023202220212020201920182017201620152014
2x ASFYX-3.38%-2.96%63.62%12.14%6.51%8.98%0.94%-0.55%-0.05%10.13%27.04%
Portfolio components:
ASFYX
AlphaSimplex Managed Futures Strategy Fund Class Y		0.90%0.98%32.48%6.07%3.40%5.51%1.30%0.07%0.01%5.06%13.52%
BIL
SPDR Barclays 1-3 Month T-Bill ETF		5.18%4.92%1.35%0.00%0.30%2.05%1.66%0.68%0.07%0.00%0.00%

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.

-40.00%-30.00%-20.00%-10.00%0.00%December2024FebruaryMarchAprilMay
-29.18%
-4.49%
2x ASFYX
Benchmark (^GSPC)
Portfolio components

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 29.18%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-51.51%Apr 16, 2015900Nov 7, 2018834Mar 3, 20221734
-42.15%Oct 17, 2022314Jan 17, 2024———
-35.77%May 2, 2011394Nov 21, 2012437Aug 19, 2014831
-23.17%Jun 15, 202239Aug 10, 202231Sep 23, 202270
-13.52%Nov 5, 201017Nov 30, 201063Mar 2, 201180

Volatility

Volatility Chart

The current 2x ASFYX volatility is 6.88%, 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.

2.00%4.00%6.00%8.00%10.00%December2024FebruaryMarchAprilMay
6.88%
3.91%
2x ASFYX
Benchmark (^GSPC)
Portfolio components

Diversification

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.
ASFYXBIL
ASFYX1.000.01
BIL0.011.00