PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Discussions
Alternatives
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


MFTNX 40%ASFYX 20%FFGCX 20%BTC-USD 5%VMNIX 15%AlternativesAlternativesCommodityCommodityCryptocurrencyCryptocurrencyEquityEquity
PositionCategory/SectorWeight
MFTNX
Arrow Managed Futures Strategy Fund Institutional Class
Systematic Trend

40%

ASFYX
AlphaSimplex Managed Futures Strategy Fund Class Y
Systematic Trend

20%

FFGCX
Fidelity Global Commodity Stock Fund
Commodities

20%

BTC-USD
Bitcoin

5%

VMNIX
Vanguard Market Neutral Fund Institutional Shares
Long-Short

15%

S&P 500

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


-5.00%0.00%5.00%10.00%15.00%20.00%NovemberDecember2024FebruaryMarchApril
13.71%
15.51%
Alternatives
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Mar 21, 2012, corresponding to the inception date of MFTNX

Returns By Period

As of Apr 17, 2024, the Alternatives returned 19.09% Year-To-Date and 11.69% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
5.90%-1.28%15.51%21.68%11.74%10.50%
Alternatives19.09%2.94%13.71%22.32%17.83%11.69%
VMNIX
Vanguard Market Neutral Fund Institutional Shares
5.60%1.00%8.56%20.64%7.44%3.40%
FFGCX
Fidelity Global Commodity Stock Fund
4.70%3.89%3.03%0.16%10.78%4.95%
BTC-USD
Bitcoin
50.98%-6.70%124.57%116.72%64.50%62.35%
ASFYX
AlphaSimplex Managed Futures Strategy Fund Class Y
9.98%4.15%2.10%7.06%10.49%6.37%
MFTNX
Arrow Managed Futures Strategy Fund Institutional Class
31.27%3.70%11.88%26.94%13.83%6.93%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20243.09%10.65%4.76%
20232.44%-1.84%-4.61%1.15%

Expense Ratio

The 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.


0.50%1.00%1.50%2.00%1.25%
0.50%1.00%1.50%2.00%0.94%

Risk-Adjusted Performance

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.


Alternatives
Sharpe ratio
The chart of Sharpe ratio for Alternatives, currently valued at 1.87, compared to the broader market-1.000.001.002.003.004.005.001.87
Sortino ratio
The chart of Sortino ratio for Alternatives, currently valued at 2.66, compared to the broader market-2.000.002.004.006.002.66
Omega ratio
The chart of Omega ratio for Alternatives, currently valued at 1.35, compared to the broader market0.801.001.201.401.601.801.35
Calmar ratio
The chart of Calmar ratio for Alternatives, currently valued at 0.80, compared to the broader market0.002.004.006.008.0010.000.80
Martin ratio
The chart of Martin ratio for Alternatives, currently valued at 5.52, compared to the broader market0.0010.0020.0030.0040.0050.005.52
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.89, compared to the broader market-1.000.001.002.003.004.005.001.89
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.74, compared to the broader market-2.000.002.004.006.002.74
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.33, compared to the broader market0.801.001.201.401.601.801.33
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.43, compared to the broader market0.002.004.006.008.0010.001.43
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 7.62, compared to the broader market0.0010.0020.0030.0040.0050.007.62

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
VMNIX
Vanguard Market Neutral Fund Institutional Shares
3.665.631.692.1723.93
FFGCX
Fidelity Global Commodity Stock Fund
0.290.531.060.030.85
BTC-USD
Bitcoin
4.013.971.461.9428.94
ASFYX
AlphaSimplex Managed Futures Strategy Fund Class Y
0.851.221.150.081.66
MFTNX
Arrow Managed Futures Strategy Fund Institutional Class
0.781.261.180.281.93

Sharpe Ratio

The current Alternatives Sharpe ratio is 1.87. A Sharpe ratio greater than 1.0 is considered acceptable.

-1.000.001.002.003.004.005.001.87

The Sharpe ratio of Alternatives lies between the 25th and 75th percentiles. It indicates that the portfolio's risk-adjusted performance is in line with the majority of portfolios. This suggests a balanced approach to risk and return, which might be suitable for a broad range of investors.


Rolling 12-month Sharpe Ratio-0.500.000.501.001.502.002.503.00NovemberDecember2024FebruaryMarchApril
1.87
1.89
Alternatives
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

Alternatives granted a 4.86% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Alternatives4.86%6.05%23.19%2.93%1.13%10.22%4.23%1.37%4.12%2.18%3.32%0.56%
VMNIX
Vanguard Market Neutral Fund Institutional Shares
4.91%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
1.92%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
0.89%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
8.91%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.


-15.00%-10.00%-5.00%0.00%NovemberDecember2024FebruaryMarchApril
-2.05%
-3.86%
Alternatives
Benchmark (^GSPC)
Portfolio components

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 2.05%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-26.28%Jan 29, 2018319Dec 13, 2018748Dec 30, 20201067
-16.13%Dec 5, 201314Dec 18, 2013911Jun 16, 2016925
-12.39%Mar 7, 20239Mar 15, 2023110Jul 3, 2023119
-11.48%May 9, 202172Jul 19, 202192Oct 19, 2021164
-10.06%Apr 11, 201384Jul 3, 2013126Nov 6, 2013210

Volatility

Volatility Chart

The current Alternatives volatility is 2.64%, 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.


2.00%3.00%4.00%5.00%6.00%7.00%8.00%NovemberDecember2024FebruaryMarchApril
2.64%
3.39%
Alternatives
Benchmark (^GSPC)
Portfolio components

Diversification

Asset Correlations Table

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

BTC-USDVMNIXFFGCXMFTNXASFYX
BTC-USD1.00-0.030.100.020.02
VMNIX-0.031.000.050.130.13
FFGCX0.100.051.000.070.16
MFTNX0.020.130.071.000.64
ASFYX0.020.130.160.641.00