TMF/ASFYX
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y | Systematic Trend | 50% |
TMF Direxion Daily 20-Year Treasury Bull 3X | Leveraged Bonds, Leveraged | 50% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in TMF/ASFYX, 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 Nov 21, 2024, the TMF/ASFYX returned -15.64% Year-To-Date and -2.08% of annualized return in the last 10 years.
| YTD | 1M | 6M | 1Y | 5Y (annualized) | 10Y (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 24.05% | 1.08% | 11.50% | 30.38% | 13.77% | 11.13% |
| TMF/ASFYX | -15.64% | -3.07% | -9.81% | -2.96% | -9.50% | -2.08% |
| Portfolio components: | ||||||
TMF Direxion Daily 20-Year Treasury Bull 3X | -29.04% | -6.43% | -7.62% | -8.03% | -30.05% | -12.42% |
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y | -3.62% | -0.23% | -13.57% | -5.17% | 6.61% | 3.37% |
Monthly Returns
The table below presents the monthly returns of TMF/ASFYX, 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 | -4.08% | -1.55% | 2.40% | -8.34% | 2.61% | -0.36% | 3.65% | -0.56% | 3.24% | -10.78% | -15.64% | ||
| 2023 | 10.50% | -7.47% | 1.41% | 0.66% | -4.80% | 0.73% | -4.76% | -6.31% | -8.90% | -8.50% | 9.68% | 14.00% | -6.90% |
| 2022 | -4.55% | -0.89% | -0.66% | -8.47% | -3.86% | 2.60% | 0.53% | -5.50% | -7.86% | -9.51% | 5.59% | -5.10% | -32.65% |
| 2021 | -5.63% | -5.74% | -6.07% | 4.37% | 0.86% | 5.62% | 5.76% | -1.10% | -5.85% | 5.59% | 0.08% | -2.58% | -5.83% |
| 2020 | 11.78% | 10.06% | 9.76% | 1.28% | -4.64% | -0.41% | 9.05% | -7.25% | -0.61% | -5.21% | 3.77% | -0.26% | 28.07% |
| 2019 | -1.22% | -2.60% | 11.51% | -1.33% | 9.76% | 1.61% | 1.10% | 20.88% | -6.23% | -3.57% | -1.15% | -5.43% | 21.95% |
| 2018 | -1.71% | -9.53% | 3.31% | -3.83% | 1.73% | 1.02% | -2.44% | 3.87% | -6.63% | -7.62% | 1.20% | 10.37% | -11.35% |
| 2017 | 0.80% | 3.34% | -2.08% | 1.88% | 2.71% | -0.11% | 0.24% | 5.71% | -3.94% | 1.89% | 1.19% | 2.65% | 14.87% |
| 2016 | 11.83% | 5.46% | -1.03% | -2.51% | -0.17% | 12.91% | 3.82% | -3.76% | -4.37% | -8.80% | -11.61% | 0.20% | -1.00% |
| 2015 | 19.28% | -9.17% | 2.50% | -6.91% | -4.82% | -8.87% | 7.95% | -2.35% | 3.33% | -1.51% | -0.13% | -3.32% | -7.11% |
| 2014 | 8.12% | 1.44% | 0.84% | 3.95% | 6.36% | 0.12% | 1.14% | 9.86% | -3.09% | 3.68% | 8.07% | 6.18% | 56.81% |
| 2013 | -4.37% | 1.50% | 0.52% | 10.51% | -11.89% | -5.77% | -3.06% | -3.40% | 1.75% | 4.21% | -3.50% | -1.95% | -15.90% |
Expense Ratio
TMF/ASFYX has a high expense ratio of 1.28%, 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 TMF/ASFYX is 2, indicating that it is in the bottom 2% 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 | |
|---|---|---|---|---|---|
TMF Direxion Daily 20-Year Treasury Bull 3X | -0.18 | 0.04 | 1.00 | -0.09 | -0.37 |
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y | -0.47 | -0.54 | 0.93 | -0.23 | -0.67 |
Dividends
Dividend yield
TMF/ASFYX provided a 2.39% dividend yield over the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 2.39% | 1.90% | 17.05% | 3.10% | 1.94% | 3.23% | 1.39% | 0.24% | 0.00% | 2.53% | 6.82% | 0.29% |
| Portfolio components: | ||||||||||||
TMF Direxion Daily 20-Year Treasury Bull 3X | 3.76% | 2.82% | 1.62% | 0.13% | 0.48% | 0.94% | 1.49% | 0.41% | 0.00% | 0.00% | 0.00% | 0.57% |
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y | 1.02% | 0.98% | 32.48% | 6.07% | 3.40% | 5.51% | 1.30% | 0.07% | 0.01% | 5.06% | 13.64% | 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.
Worst Drawdowns
The table below displays the maximum drawdowns of the TMF/ASFYX. 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 TMF/ASFYX was 60.49%, occurring on Oct 19, 2023. The portfolio has not yet recovered.
The current TMF/ASFYX drawdown is 58.13%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -60.49% | Mar 10, 2020 | 911 | Oct 19, 2023 | — | — | — |
| -36.04% | Jul 11, 2016 | 586 | Nov 2, 2018 | 192 | Aug 12, 2019 | 778 |
| -31.6% | Jul 26, 2012 | 269 | Aug 21, 2013 | 288 | Oct 13, 2014 | 557 |
| -26.19% | Feb 2, 2015 | 112 | Jul 13, 2015 | 242 | Jun 27, 2016 | 354 |
| -21.53% | Sep 1, 2010 | 113 | Feb 10, 2011 | 121 | Aug 4, 2011 | 234 |
Volatility
Volatility Chart
The current TMF/ASFYX volatility is 5.83%, 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
| ASFYX | TMF | |
|---|---|---|
| ASFYX | 1.00 | 0.02 |
| TMF | 0.02 | 1.00 |