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
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 Every 3 months.
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The earliest data available for this chart is Aug 3, 2010, corresponding to the inception date of ASFYX
Returns By Period
As of Apr 2, 2026, the 2x ASFYX returned 12.65% Year-To-Date and 0.00% of annualized return in the last 10 years.
| 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.11% | -3.43% | -3.84% | -1.98% | 16.08% | 16.86% | 10.37% | 12.29% |
Portfolio 2x ASFYX | -0.02% | 2.08% | 12.65% | 19.74% | -0.87% | -10.99% | -1.17% | 0.00% |
| Portfolio components: | ||||||||
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y | 0.00% | 1.23% | 6.72% | 10.64% | 3.03% | -2.85% | 2.28% | 1.88% |
BIL SPDR Barclays 1-3 Month T-Bill ETF | 0.02% | 0.31% | 0.90% | 1.85% | 4.01% | 4.71% | 3.28% | 2.13% |
Monthly Returns
Based on dividend-adjusted daily data since Aug 4, 2010, 2x ASFYX's average daily return is +0.03%, while the average monthly return is +0.63%. At this rate, your investment would double in approximately 9.2 years.
Historically, 53% of months were positive and 47% were negative. The best month was Mar 2022 with a return of +21.5%, while the worst month was Apr 2025 at -20.3%. The longest winning streak lasted 7 consecutive months, and the longest losing streak was 4 months.
On a daily basis, 2x ASFYX closed higher 51% of trading days. The best single day was Mar 14, 2023 with a return of +7.4%, while the worst single day was Mar 13, 2023 at -14.8%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | 7.78% | 7.73% | -2.94% | -0.05% | 12.65% | ||||||||
| 2025 | 1.49% | -6.87% | -9.66% | -20.32% | -4.85% | 0.71% | -1.74% | 3.57% | 6.76% | 1.50% | 1.54% | 3.92% | -24.14% |
| 2024 | -0.43% | 8.85% | 6.57% | 4.82% | -2.36% | -7.90% | -3.96% | -12.95% | 2.81% | -9.98% | 3.54% | 0.89% | -12.01% |
| 2023 | -2.03% | 3.22% | -19.37% | 3.06% | 1.71% | 3.67% | -1.80% | -4.41% | 6.24% | 0.58% | -13.87% | -1.82% | -24.84% |
| 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% |
Benchmark Metrics
2x ASFYX has an annualized alpha of 5.41%, beta of 0.17, and R² of 0.02 versus S&P 500 Index. Calculated based on daily prices since August 04, 2010.
- This portfolio participates in less of S&P 500 Index's moves in both directions, but captures a larger share of gains (26.32%) than losses (25.99%) — typical of diversified or defensive assets.
- Beta of 0.17 may look defensive, but with R² of 0.02 this portfolio is largely uncorrelated with S&P 500 Index — low beta reflects independence, not downside protection. See the Volatility section for a true picture of this portfolio's risk.
- R² of 0.02 means this portfolio moves largely independently of S&P 500 Index — capture ratios reflect limited market correlation rather than active downside protection. Consider using a more representative benchmark.
- Alpha
- 5.41%
- Beta
- 0.17
- R²
- 0.02
- Upside Capture
- 26.32%
- Downside Capture
- 25.99%
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.
Return for Risk
Risk / Return Rank
2x ASFYX ranks 5 for risk / return — in the bottom 5% of portfolios on our site. This means you're taking on significantly more risk than the returns justify. Consider whether the potential upside is worth the volatility, or explore alternatives with better risk / return profiles.
Return / Risk — by metrics
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | -0.03 | 0.88 | -0.91 |
Sortino ratioReturn per unit of downside risk | 0.12 | 1.37 | -1.24 |
Omega ratioGain probability vs. loss probability | 1.02 | 1.21 | -0.19 |
Calmar ratioReturn relative to maximum drawdown | -0.01 | 1.39 | -1.40 |
Martin ratioReturn relative to average drawdown | -0.02 | 6.43 | -6.46 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.
| Risk / Return Rank | Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|---|
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y | 7 | 0.25 | 0.40 | 1.06 | 0.26 | 0.43 |
BIL SPDR Barclays 1-3 Month T-Bill ETF | 100 | 19.57 | 254.91 | 180.89 | 367.86 | 4,130.10 |
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Dividends
Dividend yield
2x ASFYX provided a -1.11% dividend yield over the last twelve months.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | -1.11% | -1.09% | -2.10% | -2.95% | 63.61% | 12.14% | 6.51% | 8.98% | 0.94% | -0.55% | -0.05% | 10.12% |
| Portfolio components: | ||||||||||||
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y | 1.42% | 1.52% | 1.46% | 0.99% | 32.48% | 6.07% | 3.40% | 5.51% | 1.30% | 0.07% | 0.01% | 5.06% |
BIL SPDR Barclays 1-3 Month T-Bill ETF | 3.96% | 4.13% | 5.03% | 4.92% | 1.35% | 0.00% | 0.30% | 2.05% | 1.66% | 0.68% | 0.07% | 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 54.47%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -66.79% | Oct 17, 2022 | 646 | May 14, 2025 | — | — | — |
| -51.52% | Apr 16, 2015 | 900 | Nov 7, 2018 | 834 | Mar 3, 2022 | 1734 |
| -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
| Benchmark | BIL | ASFYX | Portfolio | |
|---|---|---|---|---|
| Benchmark | 1.00 | -0.00 | 0.21 | 0.21 |
| BIL | -0.00 | 1.00 | -0.00 | -0.02 |
| ASFYX | 0.21 | -0.00 | 1.00 | 1.00 |
| Portfolio | 0.21 | -0.02 | 1.00 | 1.00 |