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2x ASFYX

Last updated Mar 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

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%OctoberNovemberDecember2024FebruaryMarch
196.42%
366.33%
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

As of Mar 2, 2024, the 2x ASFYX returned 10.13% Year-To-Date and 9.07% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
7.70%6.01%13.76%29.03%12.89%10.63%
2x ASFYX10.13%8.99%-2.16%-21.43%18.89%9.19%
ASFYX
AlphaSimplex Managed Futures Strategy Fund Class Y
5.26%4.46%0.46%-8.37%11.07%5.97%
BIL
SPDR Barclays 1-3 Month T-Bill ETF
0.51%0.01%2.24%4.76%1.75%1.14%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
2024-0.43%9.26%
2023-4.41%6.24%0.58%-13.87%-1.83%

Sharpe Ratio

The current 2x ASFYX Sharpe ratio is -0.69. A negative Sharpe ratio means that the risk-free rate is higher than the portfolio's return. This value does not convey any meaningful information.

0.002.004.00-0.69

The Sharpe ratio of 2x ASFYX is in the bottom 25%, suggesting that this portfolio isn't performing as well in terms of risk-adjusted returns compared to many others. This could be due to lower returns, higher volatility, or both. It might be an indication that the portfolio needs fine-tuning.


Rolling 12-month Sharpe Ratio-1.000.001.002.00OctoberNovemberDecember2024FebruaryMarch
-0.69
2.44
2x ASFYX
Benchmark (^GSPC)
Portfolio components

Dividend yield

2x ASFYX granted a -3.24% dividend yield in the last twelve months.


TTM2023202220212020201920182017201620152014
2x ASFYX-3.24%-2.96%63.61%12.14%6.51%8.98%0.94%-0.55%-0.05%10.12%27.04%
ASFYX
AlphaSimplex Managed Futures Strategy Fund Class Y
0.93%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
5.11%4.92%1.35%0.00%0.30%2.05%1.66%0.68%0.07%0.00%0.00%

Expense Ratio

The 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.


0.50%1.00%1.50%2.00%1.47%
0.50%1.00%1.50%2.00%0.14%

Risk-Adjusted Performance

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 ratioSortino ratioOmega ratioCalmar ratioUlcer Index
^GSPC
S&P 500
2.44
2x ASFYX
-0.69
ASFYX
AlphaSimplex Managed Futures Strategy Fund Class Y
-0.54
BIL
SPDR Barclays 1-3 Month T-Bill ETF
9.79

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

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%OctoberNovemberDecember2024FebruaryMarch
-33.34%
0
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 33.34%.


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 Chart

The current 2x ASFYX volatility is 5.17%, 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%OctoberNovemberDecember2024FebruaryMarch
5.17%
3.47%
2x ASFYX
Benchmark (^GSPC)
Portfolio components
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