2x ASFYX
Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y | Systematic Trend | 200% |
BIL SPDR Barclays 1-3 Month T-Bill ETF | Government Bonds | -100% |
Performance
Performance Chart
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The earliest data available for this chart is Jul 30, 2010, corresponding to the inception date of ASFYX
Returns By Period
As of May 25, 2025, the 2x ASFYX returned -35.65% Year-To-Date and -3.09% of annualized return in the last 10 years.
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | -1.34% | 5.80% | -2.79% | 9.39% | 14.45% | 10.68% |
| 2x ASFYX | -35.65% | -4.29% | -37.23% | -53.23% | -2.05% | -3.09% |
| Portfolio components: | ||||||
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y | -17.93% | -1.65% | -18.70% | -28.70% | 1.53% | 0.19% |
BIL SPDR Barclays 1-3 Month T-Bill ETF | 1.66% | 0.37% | 2.14% | 4.71% | 2.60% | 1.78% |
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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 1.49% | -6.87% | -9.66% | -20.32% | -5.41% | -35.65% | |||||||
| 2024 | -0.43% | 8.85% | 6.57% | 4.82% | -2.36% | -7.90% | -3.96% | -12.95% | 2.81% | -9.98% | 3.54% | 0.88% | -12.01% |
| 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% | 11.87% | -11.56% | 10.80% | 17.45% | -1.37% | -14.01% | -2.14% | 71.59% |
| 2021 | -0.78% | 8.45% | 1.86% | 4.81% | 4.07% | -3.87% | 1.10% | -1.60% | -4.17% | 8.26% | -14.52% | 5.54% | 6.98% |
| 2020 | 0.09% | 1.16% | 12.22% | -0.18% | -5.60% | -2.74% | 10.01% | 1.71% | -5.77% | -0.42% | 6.74% | 8.81% | 26.99% |
| 2019 | -5.92% | -1.40% | 12.28% | 7.55% | -1.00% | 2.29% | 3.54% | 13.42% | -5.08% | -6.23% | -0.74% | -1.77% | 15.61% |
| 2018 | 12.64% | -18.01% | -2.47% | -1.94% | -3.44% | 0.92% | -0.55% | 8.60% | -8.97% | -12.44% | -4.96% | 5.80% | -25.51% |
| 2017 | 0.16% | 4.44% | -3.50% | -1.50% | 0.19% | -5.00% | 5.87% | 2.88% | -1.03% | 8.55% | 1.24% | 0.61% | 12.79% |
| 2016 | 11.75% | 3.45% | -2.49% | -5.28% | -4.57% | 8.81% | 3.05% | -7.78% | -8.24% | -8.81% | -1.45% | 1.76% | -11.56% |
| 2015 | 15.01% | 2.67% | 4.39% | -6.99% | -3.96% | -11.82% | 5.23% | -3.73% | 2.79% | -2.56% | 4.90% | -8.29% | -5.23% |
| 2014 | -6.03% | 2.46% | -0.81% | 3.92% | 7.52% | 2.57% | 1.33% | 10.31% | 1.57% | -1.20% | 13.98% | 5.37% | 47.43% |
Expense Ratio
2x ASFYX has a high expense ratio of 2.80%, indicating above-average management fees. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of 2x ASFYX is 0, meaning it’s performing worse than 100% 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 | |
|---|---|---|---|---|---|
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y | -2.14 | -2.83 | 0.63 | -0.80 | -1.84 |
BIL SPDR Barclays 1-3 Month T-Bill ETF | 20.77 | 248.33 | 142.08 | 438.30 | 4,035.65 |
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Dividends
Dividend yield
2x ASFYX provided a -1.12% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | -1.12% | -2.10% | -2.96% | 63.61% | 12.14% | 6.51% | 8.98% | 0.94% | -0.55% | -0.05% | 10.12% | 27.27% |
| Portfolio components: | ||||||||||||
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y | 1.78% | 1.46% | 0.98% | 32.48% | 6.07% | 3.40% | 5.51% | 1.30% | 0.07% | 0.01% | 5.06% | 13.64% |
BIL SPDR Barclays 1-3 Month T-Bill ETF | 4.68% | 5.03% | 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. Drawdowns are calculated considering price movements and all distributions paid, if any.
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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 66.79%, occurring on May 14, 2025. The portfolio has not yet recovered.
The current 2x ASFYX drawdown is 65.73%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -66.79% | Oct 17, 2022 | 646 | May 14, 2025 | — | — | — |
| -51.52% | Apr 14, 2015 | 902 | Nov 7, 2018 | 834 | Mar 3, 2022 | 1736 |
| -35.7% | 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 | 61 | Feb 28, 2011 | 78 |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Diversification
Diversification Metrics
Number of Effective Assets
The portfolio contains 2 assets, with an effective number of assets of 0.20, reflecting the diversification based on asset allocation. This number of effective assets suggests a highly concentrated portfolio, where a few assets dominate the allocation, potentially increasing the portfolio's risk due to lack of diversification.
Asset Correlations Table
| ^GSPC | BIL | ASFYX | Portfolio | |
|---|---|---|---|---|
| ^GSPC | 1.00 | -0.01 | 0.19 | 0.19 |
| BIL | -0.01 | 1.00 | -0.01 | -0.02 |
| ASFYX | 0.19 | -0.01 | 1.00 | 1.00 |
| Portfolio | 0.19 | -0.02 | 1.00 | 1.00 |