Alternatives
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y | Systematic Trend | 20% |
BTC-USD Bitcoin | 5% | |
FFGCX Fidelity Global Commodity Stock Fund | Commodities | 20% |
MFTNX Arrow Managed Futures Strategy Fund Institutional Class | Systematic Trend | 40% |
VMNIX Vanguard Market Neutral Fund Institutional Shares | Long-Short | 15% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Alternatives, 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
The earliest data available for this chart is Mar 21, 2012, corresponding to the inception date of MFTNX
Returns By Period
As of Jul 25, 2024, the Alternatives returned 9.88% Year-To-Date and 10.43% of annualized return in the last 10 years.
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 13.78% | -0.38% | 11.47% | 18.82% | 12.44% | 10.64% |
| Alternatives | 9.88% | -1.95% | 6.62% | 5.49% | 13.26% | 10.44% |
| Portfolio components: | ||||||
VMNIX Vanguard Market Neutral Fund Institutional Shares | 6.59% | 1.81% | 2.69% | 18.83% | 8.28% | 3.31% |
FFGCX Fidelity Global Commodity Stock Fund | 6.27% | -0.78% | 11.44% | 3.56% | 11.67% | 4.48% |
BTC-USD Bitcoin | 54.67% | 5.77% | 63.70% | 122.70% | 47.24% | 60.26% |
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y | 2.96% | -2.29% | 3.64% | -2.35% | 8.04% | 4.83% |
MFTNX Arrow Managed Futures Strategy Fund Institutional Class | 8.61% | -4.76% | -0.85% | -9.27% | 6.74% | 5.15% |
Monthly Returns
The table below presents the monthly returns of Alternatives, 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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 3.09% | 10.65% | 4.76% | -0.40% | -1.56% | -3.76% | 9.88% | ||||||
| 2023 | -0.85% | 3.21% | -6.87% | 4.01% | -0.28% | 5.64% | 0.75% | -1.87% | 2.44% | -1.84% | -4.61% | 1.15% | 0.16% |
| 2022 | 5.11% | 6.13% | 10.56% | 3.97% | -0.23% | -2.86% | -1.03% | 5.13% | 2.68% | 3.46% | -4.10% | 0.42% | 32.31% |
| 2021 | 0.44% | 6.33% | 3.97% | 4.32% | 1.05% | -3.24% | -0.24% | 0.22% | -0.66% | 7.53% | -8.24% | 3.54% | 14.92% |
| 2020 | 0.28% | -5.20% | -0.59% | 4.88% | -0.29% | -1.49% | 2.61% | 1.56% | -4.18% | 0.52% | 5.89% | 9.41% | 13.23% |
| 2019 | -0.66% | 1.27% | 5.51% | 2.61% | 2.34% | 6.93% | 1.79% | 4.81% | -5.38% | -2.34% | 0.34% | 0.49% | 18.47% |
| 2018 | 5.22% | -11.29% | -1.81% | 4.46% | -3.46% | -0.49% | 0.82% | 1.23% | 0.35% | -7.81% | -5.86% | 0.77% | -17.63% |
| 2017 | 0.55% | 3.39% | -1.38% | 0.70% | 3.45% | -0.57% | 1.82% | 3.60% | -0.18% | 9.40% | 5.48% | 6.59% | 37.53% |
| 2016 | 0.68% | 3.34% | -0.36% | 0.33% | -0.60% | 7.47% | 0.76% | -2.80% | 0.78% | -5.13% | 0.66% | 3.22% | 8.12% |
| 2015 | 1.37% | -0.01% | 0.58% | -1.69% | 0.05% | -2.56% | 2.08% | -2.39% | -0.33% | 1.24% | 3.02% | -3.02% | -1.85% |
| 2014 | -0.84% | -1.15% | -0.33% | 0.81% | 2.26% | 1.50% | -1.73% | 0.07% | -1.75% | -1.10% | 3.28% | 0.96% | 1.87% |
| 2013 | 3.44% | 2.77% | 22.00% | 3.48% | -2.17% | -3.71% | 1.94% | 0.60% | 1.11% | 4.46% | 32.70% | -8.64% | 66.00% |
Expense Ratio
Alternatives has a high expense ratio of 1.29%, 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.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of Alternatives is 19, indicating that it is in the bottom 19% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.
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 | |
|---|---|---|---|---|---|
VMNIX Vanguard Market Neutral Fund Institutional Shares | 1.76 | 2.60 | 1.31 | 0.68 | 7.65 |
FFGCX Fidelity Global Commodity Stock Fund | 0.83 | 1.22 | 1.15 | 0.13 | 3.08 |
BTC-USD Bitcoin | 2.29 | 2.77 | 1.29 | 1.34 | 12.79 |
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y | 0.05 | 0.13 | 1.02 | 0.00 | 0.16 |
MFTNX Arrow Managed Futures Strategy Fund Institutional Class | 0.18 | 0.39 | 1.05 | 0.02 | 0.51 |
Dividends
Dividend yield
Alternatives granted a 5.61% dividend yield in the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Alternatives | 5.61% | 6.05% | 23.19% | 2.93% | 1.13% | 10.22% | 4.23% | 1.37% | 4.12% | 2.18% | 3.32% | 0.56% |
| Portfolio components: | ||||||||||||
VMNIX Vanguard Market Neutral Fund Institutional Shares | 4.87% | 5.15% | 0.78% | 0.20% | 0.86% | 3.23% | 1.00% | 1.16% | 0.45% | 0.10% | 0.00% | 0.04% |
FFGCX Fidelity Global Commodity Stock Fund | 1.90% | 2.01% | 1.84% | 3.39% | 1.61% | 2.98% | 2.22% | 1.35% | 1.53% | 2.86% | 3.07% | 2.75% |
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% |
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y | 0.96% | 0.98% | 32.48% | 6.07% | 3.40% | 5.51% | 1.30% | 0.07% | 0.01% | 5.06% | 13.52% | 0.00% |
MFTNX Arrow Managed Futures Strategy Fund Institutional Class | 10.77% | 11.69% | 40.52% | 2.53% | 0.00% | 20.10% | 8.43% | 2.28% | 9.35% | 1.46% | 0.00% | 0.00% |
Drawdowns
Drawdowns Chart
The Drawdowns chart displays portfolio losses from any high point along the way.
Worst Drawdowns
The table below displays the maximum drawdowns of the Alternatives. 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 Alternatives was 26.28%, occurring on Dec 13, 2018. Recovery took 748 trading sessions.
The current Alternatives drawdown is 9.63%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -26.28% | Jan 29, 2018 | 319 | Dec 13, 2018 | 748 | Dec 30, 2020 | 1067 |
| -16.13% | Dec 5, 2013 | 14 | Dec 18, 2013 | 911 | Jun 16, 2016 | 925 |
| -12.39% | Mar 7, 2023 | 9 | Mar 15, 2023 | 110 | Jul 3, 2023 | 119 |
| -11.48% | May 9, 2021 | 72 | Jul 19, 2021 | 92 | Oct 19, 2021 | 164 |
| -10.06% | Apr 11, 2013 | 84 | Jul 3, 2013 | 126 | Nov 6, 2013 | 210 |
Volatility
Volatility Chart
The current Alternatives volatility is 3.47%, 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.
Diversification
Asset Correlations Table
| BTC-USD | VMNIX | FFGCX | MFTNX | ASFYX | |
|---|---|---|---|---|---|
| BTC-USD | 1.00 | -0.03 | 0.10 | 0.02 | 0.02 |
| VMNIX | -0.03 | 1.00 | 0.04 | 0.13 | 0.13 |
| FFGCX | 0.10 | 0.04 | 1.00 | 0.08 | 0.16 |
| MFTNX | 0.02 | 0.13 | 0.08 | 1.00 | 0.64 |
| ASFYX | 0.02 | 0.13 | 0.16 | 0.64 | 1.00 |