TQQQ/TMF/UGL/ASFYX/BTC
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y | Systematic Trend | 20% |
BTC-USD Bitcoin | 20% | |
TMF Direxion Daily 20-Year Treasury Bull 3X | Leveraged Bonds, Leveraged | 20% |
TQQQ ProShares UltraPro QQQ | Leveraged Equities, Leveraged | 20% |
UGL ProShares Ultra Gold | Leveraged Commodities, Leveraged, Gold | 20% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in TQQQ/TMF/UGL/ASFYX/BTC, 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 Jul 30, 2010, corresponding to the inception date of ASFYX
Returns By Period
As of May 1, 2024, the TQQQ/TMF/UGL/ASFYX/BTC returned 9.45% Year-To-Date and 31.73% 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 | 5.57% | -4.16% | 20.07% | 20.82% | 11.56% | 10.37% |
| TQQQ/TMF/UGL/ASFYX/BTC | 9.45% | -8.18% | 37.13% | 33.51% | 30.52% | 31.73% |
| Portfolio components: | ||||||
TQQQ ProShares UltraPro QQQ | 4.39% | -14.34% | 62.17% | 89.96% | 27.39% | 35.93% |
TMF Direxion Daily 20-Year Treasury Bull 3X | -31.54% | -19.38% | 11.92% | -44.19% | -25.44% | -10.85% |
UGL ProShares Ultra Gold | 19.18% | 5.34% | 26.36% | 20.75% | 16.29% | 4.87% |
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y | 11.18% | 2.63% | 3.11% | 7.33% | 10.48% | 6.34% |
BTC-USD Bitcoin | 43.47% | -15.00% | 74.91% | 115.85% | 61.50% | 63.74% |
Monthly Returns Heatmap
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | -1.45% | 11.44% | 8.54% | |||||||||
| 2023 | 3.65% | 12.52% | 11.35% |
Expense Ratio
TQQQ/TMF/UGL/ASFYX/BTC has a high expense ratio of 0.89%, 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 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 | |
|---|---|---|---|---|---|
TQQQ ProShares UltraPro QQQ | 1.31 | 1.84 | 1.22 | 4.33 | 7.21 |
TMF Direxion Daily 20-Year Treasury Bull 3X | -0.57 | -0.58 | 0.94 | 0.29 | -1.39 |
UGL ProShares Ultra Gold | 2.14 | 2.95 | 1.36 | 0.01 | 11.68 |
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y | 0.83 | 1.19 | 1.15 | 0.21 | 1.65 |
BTC-USD Bitcoin | 4.76 | 4.38 | 1.50 | 0.00 | 39.99 |
Dividends
Dividend yield
TQQQ/TMF/UGL/ASFYX/BTC granted a 1.26% dividend yield in the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| TQQQ/TMF/UGL/ASFYX/BTC | 1.26% | 1.01% | 6.93% | 1.24% | 0.78% | 1.30% | 0.58% | 0.09% | 0.00% | 1.01% | 2.71% | 0.11% |
| Portfolio components: | ||||||||||||
TQQQ ProShares UltraPro QQQ | 1.34% | 1.26% | 0.57% | 0.00% | 0.00% | 0.06% | 0.11% | 0.00% | 0.00% | 0.01% | 0.03% | 0.00% |
TMF Direxion Daily 20-Year Treasury Bull 3X | 4.08% | 2.82% | 1.62% | 0.13% | 0.48% | 0.94% | 1.49% | 0.41% | 0.00% | 0.00% | 0.00% | 0.57% |
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% |
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% |
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% |
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 TQQQ/TMF/UGL/ASFYX/BTC. 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 TQQQ/TMF/UGL/ASFYX/BTC was 53.13%, occurring on Nov 9, 2022. The portfolio has not yet recovered.
The current TQQQ/TMF/UGL/ASFYX/BTC drawdown is 15.57%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -53.13% | Nov 10, 2021 | 365 | Nov 9, 2022 | — | — | — |
| -45.44% | Jun 10, 2011 | 3 | Jun 12, 2011 | 598 | Jan 30, 2013 | 601 |
| -39.41% | Dec 17, 2017 | 343 | Nov 24, 2018 | 209 | Jun 21, 2019 | 552 |
| -36.92% | Dec 5, 2013 | 14 | Dec 18, 2013 | 728 | Dec 16, 2015 | 742 |
| -35.58% | Apr 11, 2013 | 86 | Jul 5, 2013 | 125 | Nov 7, 2013 | 211 |
Volatility
Volatility Chart
The current TQQQ/TMF/UGL/ASFYX/BTC volatility is 5.79%, 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 | ASFYX | UGL | TMF | TQQQ | |
|---|---|---|---|---|---|
| BTC-USD | 1.00 | 0.02 | 0.05 | -0.02 | 0.09 |
| ASFYX | 0.02 | 1.00 | 0.05 | 0.03 | 0.18 |
| UGL | 0.05 | 0.05 | 1.00 | 0.23 | 0.01 |
| TMF | -0.02 | 0.03 | 0.23 | 1.00 | -0.19 |
| TQQQ | 0.09 | 0.18 | 0.01 | -0.19 | 1.00 |