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Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


ASFYX 19.5%TMF 23%TIP 9%UGL 3.5%BTC-USD 19.5%TQQQ 19.5%VT 5.9%AlternativesAlternativesBondBondCommodityCommodityCryptocurrencyCryptocurrencyEquityEquity

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 11, 2025, the x returned -4.13% Year-To-Date and 30.14% of annualized return in the last 10 years.


YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500
-0.64%8.97%-2.62%11.90%15.76%10.69%
x-2.57%10.91%-5.02%11.16%17.48%30.00%
TQQQ
ProShares UltraPro QQQ
-16.21%36.08%-19.46%13.22%31.71%30.67%
TMF
Direxion Daily 20-Year Treasury Bull 3X
-5.72%-2.30%-19.66%-17.57%-37.12%-13.91%
VT
Vanguard Total World Stock ETF
3.96%9.56%1.23%12.23%14.75%8.93%
UGL
ProShares Ultra Gold
43.71%-1.13%42.60%66.32%17.27%12.67%
TIP
iShares TIPS Bond ETF
2.73%0.73%1.48%5.08%1.29%2.23%
ASFYX
AlphaSimplex Managed Futures Strategy Fund Class Y
-18.74%-2.21%-18.68%-28.70%0.96%0.12%
BTC-USD
Bitcoin
11.43%22.07%17.37%69.42%62.21%83.72%
QQQ
Invesco QQQ
-0.51%11.76%-0.86%15.58%19.03%17.49%
*Annualized

Monthly Returns

The table below presents the monthly returns of x, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20253.67%-2.21%-6.18%-0.88%3.34%-2.57%
2024-1.10%11.00%6.16%-9.87%7.36%2.60%1.58%-1.33%4.67%-3.57%12.25%-4.80%25.09%
202320.08%-4.64%13.32%0.90%0.66%6.81%-0.48%-6.58%-7.73%0.38%13.45%12.40%54.58%
2022-11.01%-0.42%1.71%-15.53%-6.56%-10.62%11.93%-9.89%-12.44%-1.32%3.06%-8.98%-48.01%
2021-0.13%4.79%7.08%5.77%-6.34%5.81%8.31%4.87%-8.17%15.78%-0.49%-4.60%34.69%
202013.22%-1.00%-7.45%17.68%5.28%3.74%14.26%5.51%-7.62%0.75%18.57%17.91%109.15%
20194.25%2.98%8.69%8.57%13.07%15.58%0.48%7.86%-5.00%3.42%-1.66%-0.07%73.24%
2018-1.03%-5.73%-7.15%4.54%-0.82%-2.23%4.61%2.78%-4.38%-9.87%-7.17%-0.27%-24.66%
20174.19%8.80%-1.38%7.88%19.84%1.54%5.89%17.27%-4.49%13.35%17.09%12.90%160.83%
2016-1.38%6.04%1.81%-1.03%5.69%10.86%5.12%-2.49%0.60%-2.20%-3.87%7.97%29.25%
20151.69%0.95%-1.38%-2.55%-1.28%-3.05%7.42%-9.52%0.51%14.02%4.30%0.98%10.76%
20144.66%-2.75%-4.01%1.14%12.90%2.80%-0.98%4.25%-5.54%0.38%8.62%-1.55%20.04%

Expense Ratio

x has an expense ratio of 0.78%, placing it in the medium range. 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 x is 12, meaning it’s performing worse than 88% 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.


The Risk-Adjusted Performance Rank of x is 1212
Overall Rank
The Sharpe Ratio Rank of x is 2222
Sharpe Ratio Rank
The Sortino Ratio Rank of x is 1212
Sortino Ratio Rank
The Omega Ratio Rank of x is 1010
Omega Ratio Rank
The Calmar Ratio Rank of x is 77
Calmar Ratio Rank
The Martin Ratio Rank of x is 1111
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

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.



Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
TQQQ
ProShares UltraPro QQQ
0.180.511.070.25-0.17
TMF
Direxion Daily 20-Year Treasury Bull 3X
-0.41-1.380.84-0.19-1.39
VT
Vanguard Total World Stock ETF
0.690.681.100.081.74
UGL
ProShares Ultra Gold
1.842.841.361.4212.76
TIP
iShares TIPS Bond ETF
1.080.461.060.020.82
ASFYX
AlphaSimplex Managed Futures Strategy Fund Class Y
-2.12-2.670.65-0.77-3.24
BTC-USD
Bitcoin
1.363.051.322.3911.34
QQQ
Invesco QQQ
0.610.741.100.101.42

The Sharpe ratio helps investors understand how much return they're getting for the level of risk taken. A higher Sharpe ratio indicates better risk-adjusted performance, meaning more reward for each unit of risk.

x Sharpe ratios as of May 11, 2025 (values are recalculated daily):

  • 1-Year: 0.47
  • 5-Year: 0.69
  • 10-Year: 1.21
  • All Time: 1.76

These values reflect how efficiently the investment has delivered returns relative to its volatility over different time periods. All figures are annualized and based on daily total returns (including price changes and dividends).

Compared to the broad market, where average Sharpe ratios range from 0.41 to 0.94, this portfolio's current Sharpe ratio falls between the 25th and 75th percentiles. This indicates that its risk-adjusted performance is in line with the majority of portfolios, suggesting a balanced approach to risk and return—likely suitable for a wide range of investors.

The chart below shows the rolling Sharpe ratio of x compared to the selected benchmark. This view highlights how the investment's risk-adjusted performance has changed over time. For deeper analysis or to customize the calculation, use the Sharpe ratio tool.


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Dividends

Dividend yield

x provided a 2.05% dividend yield over the last twelve months.


TTM20242023202220212020201920182017201620152014
Portfolio2.05%1.86%1.46%7.57%1.71%1.38%1.60%1.01%0.42%0.28%1.17%2.96%
TQQQ
ProShares UltraPro QQQ
1.49%1.27%1.26%0.57%0.00%0.00%0.06%0.11%0.00%0.00%0.01%0.03%
TMF
Direxion Daily 20-Year Treasury Bull 3X
4.49%4.29%2.82%1.62%0.13%2.23%0.94%1.49%0.41%0.00%0.00%0.00%
VT
Vanguard Total World Stock ETF
1.85%1.95%2.08%2.20%1.82%1.66%2.32%2.53%2.11%2.39%2.45%2.44%
UGL
ProShares Ultra Gold
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
TIP
iShares TIPS Bond ETF
2.93%2.52%2.73%6.96%4.28%1.17%1.75%2.71%2.07%1.48%0.34%1.67%
ASFYX
AlphaSimplex Managed Futures Strategy Fund Class Y
1.80%1.46%0.98%32.48%6.07%3.40%5.51%1.30%0.07%0.01%5.06%13.64%
BTC-USD
Bitcoin
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
QQQ
Invesco QQQ
0.59%0.56%0.62%0.80%0.43%0.55%0.74%0.91%0.84%1.06%0.99%1.41%

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 x. 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 x was 54.47%, occurring on Nov 9, 2022. The portfolio has not yet recovered.

The current x drawdown is 13.17%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-54.47%Nov 10, 2021365Nov 9, 2022
-44.04%Jun 10, 2011171Nov 27, 2011423Jan 23, 2013594
-38.8%Dec 17, 2017343Nov 24, 2018209Jun 21, 2019552
-36%Dec 5, 201314Dec 18, 2013684Nov 2, 2015698
-34.03%Nov 9, 201022Nov 30, 201064Feb 2, 201186

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 8 assets, with an effective number of assets of 5.56, reflecting the diversification based on asset allocation. This number of effective assets indicates a moderate level of diversification, where some assets may have a more significant influence on overall performance.

Asset Correlations Table

The table below displays the correlation coefficients between the individual components of the portfolio, the entire portfolio, and the chosen benchmark.

^GSPCUGLASFYXBTC-USDTIPTMFVTTQQQQQQPortfolio
^GSPC1.000.030.190.13-0.08-0.260.950.900.900.43
UGL0.031.000.070.050.330.230.110.020.020.19
ASFYX0.190.071.000.020.040.010.220.190.190.21
BTC-USD0.130.050.021.000.03-0.010.110.110.120.73
TIP-0.080.330.040.031.000.71-0.05-0.05-0.050.32
TMF-0.260.230.01-0.010.711.00-0.21-0.17-0.170.30
VT0.950.110.220.11-0.05-0.211.000.790.790.37
TQQQ0.900.020.190.11-0.05-0.170.791.000.990.45
QQQ0.900.020.190.12-0.05-0.170.790.991.000.45
Portfolio0.430.190.210.730.320.300.370.450.451.00
The correlation results are calculated based on daily price changes starting from Jul 31, 2010