Alternatives
Asset Allocation
| Position | Category/Sector | Target 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
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The earliest data available for this chart is Mar 21, 2012, corresponding to the inception date of MFTNX
Returns By Period
As of May 11, 2025, the Alternatives returned -6.51% Year-To-Date and 9.64% of annualized return in the last 10 years.
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | -0.64% | 8.97% | -2.62% | 11.90% | 15.76% | 10.69% |
| Alternatives | -7.69% | 2.79% | -7.32% | -13.75% | 12.01% | 9.50% |
| Portfolio components: | ||||||
VMNIX Vanguard Market Neutral Fund Institutional Shares | 2.02% | 2.44% | 0.31% | 2.03% | 9.91% | 3.52% |
FFGCX Fidelity Global Commodity Stock Fund | 3.18% | 6.99% | -2.03% | -4.16% | 17.01% | 5.68% |
BTC-USD Bitcoin | 11.43% | 22.07% | 17.37% | 69.42% | 62.21% | 83.72% |
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y | -18.74% | -2.21% | -18.68% | -28.70% | 0.96% | 0.12% |
MFTNX Arrow Managed Futures Strategy Fund Institutional Class | -13.64% | 0.41% | -10.67% | -24.46% | 3.69% | 2.95% |
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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 4.14% | -4.08% | -3.31% | -3.17% | -1.30% | -7.69% | |||||||
| 2024 | 3.09% | 10.65% | 4.76% | -0.40% | -1.64% | -3.68% | -0.48% | -3.03% | 1.23% | -4.30% | 5.17% | -1.22% | 9.52% |
| 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 | 5.12% | 6.13% | 10.56% | 3.97% | -0.23% | -2.85% | -1.03% | 5.13% | 2.68% | 3.46% | -4.10% | 0.42% | 32.32% |
| 2021 | 0.44% | 6.33% | 3.98% | 4.30% | 1.06% | -3.25% | -0.25% | 0.22% | -0.65% | 7.53% | -8.23% | 3.53% | 14.92% |
| 2020 | 0.29% | -5.19% | -0.59% | 4.89% | -0.28% | -1.52% | 2.64% | 1.57% | -4.18% | 0.51% | 5.87% | 9.46% | 13.26% |
| 2019 | -0.66% | 1.27% | 5.46% | 2.64% | 2.35% | 6.92% | 1.79% | 4.80% | -5.38% | -2.35% | 0.34% | 0.48% | 18.45% |
| 2018 | 5.22% | -11.29% | -1.81% | 4.46% | -3.46% | -0.50% | 0.83% | 1.24% | 0.34% | -7.89% | -5.78% | 0.75% | -17.66% |
| 2017 | 0.55% | 3.39% | -1.38% | 0.70% | 3.45% | -0.57% | 1.82% | 3.60% | -0.18% | 9.40% | 5.48% | 6.52% | 37.44% |
| 2016 | 0.68% | 3.34% | -0.36% | 0.33% | -0.60% | 7.47% | 0.76% | -2.80% | 0.78% | -5.13% | 0.66% | 3.10% | 7.98% |
| 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% | 0.99% | 1.90% |
Expense Ratio
Alternatives has a high expense ratio of 1.29%, 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
With an overall rank of 90, Alternatives is among the top 10% of 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 | |
|---|---|---|---|---|---|
VMNIX Vanguard Market Neutral Fund Institutional Shares | 0.31 | -0.37 | 0.96 | 0.50 | -0.74 |
FFGCX Fidelity Global Commodity Stock Fund | -0.21 | 0.01 | 1.00 | -0.14 | -0.40 |
BTC-USD Bitcoin | 1.36 | 3.05 | 1.32 | 2.39 | 11.34 |
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y | -2.12 | -2.67 | 0.65 | -0.77 | -3.24 |
MFTNX Arrow Managed Futures Strategy Fund Institutional Class | -1.10 | -1.19 | 0.86 | -0.76 | -2.07 |
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Dividends
Dividend yield
Alternatives provided a 1.71% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 1.71% | 1.67% | 6.05% | 23.19% | 2.93% | 1.13% | 10.22% | 4.23% | 1.37% | 4.12% | 2.18% | 3.34% |
| Portfolio components: | ||||||||||||
VMNIX Vanguard Market Neutral Fund Institutional Shares | 5.63% | 5.67% | 5.15% | 0.78% | 0.20% | 0.85% | 3.22% | 1.00% | 1.16% | 0.45% | 0.10% | 0.00% |
FFGCX Fidelity Global Commodity Stock Fund | 2.54% | 2.62% | 2.01% | 1.84% | 3.39% | 1.61% | 2.98% | 2.22% | 1.35% | 1.53% | 2.86% | 3.07% |
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 | 1.80% | 1.46% | 0.98% | 32.48% | 6.07% | 3.40% | 5.51% | 1.30% | 0.07% | 0.01% | 5.06% | 13.64% |
MFTNX Arrow Managed Futures Strategy Fund Institutional Class | 0.00% | 0.00% | 11.69% | 40.52% | 2.53% | 0.00% | 20.10% | 8.43% | 2.28% | 9.35% | 1.46% | 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 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 26.30%, occurring on Dec 13, 2018. Recovery took 748 trading sessions.
The current Alternatives drawdown is 15.83%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -26.3% | Jan 29, 2018 | 319 | Dec 13, 2018 | 748 | Dec 30, 2020 | 1067 |
| -19.78% | Apr 12, 2024 | 362 | Apr 8, 2025 | — | — | — |
| -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 |
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 5 assets, with an effective number of assets of 3.77, 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 | VMNIX | BTC-USD | FFGCX | MFTNX | ASFYX | Portfolio | |
|---|---|---|---|---|---|---|---|
| ^GSPC | 1.00 | 0.07 | 0.14 | 0.65 | 0.10 | 0.20 | 0.38 |
| VMNIX | 0.07 | 1.00 | -0.04 | 0.04 | 0.12 | 0.12 | 0.16 |
| BTC-USD | 0.14 | -0.04 | 1.00 | 0.10 | 0.03 | 0.02 | 0.46 |
| FFGCX | 0.65 | 0.04 | 0.10 | 1.00 | 0.08 | 0.17 | 0.42 |
| MFTNX | 0.10 | 0.12 | 0.03 | 0.08 | 1.00 | 0.65 | 0.69 |
| ASFYX | 0.20 | 0.12 | 0.02 | 0.17 | 0.65 | 1.00 | 0.62 |
| Portfolio | 0.38 | 0.16 | 0.46 | 0.42 | 0.69 | 0.62 | 1.00 |