Managed Growth
Asset Allocation
Position | Category/Sector | Weight |
---|---|---|
AMFAX AlphaSimplex Managed Futures Strategy Fund Class A | Systematic Trend | 20% |
QQQ Invesco QQQ | Large Cap Blend Equities | 20% |
SPY SPDR S&P 500 ETF | Large Cap Growth Equities | 60% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in Managed Growth, 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 AMFAX
Returns By Period
As of Jul 25, 2024, the Managed Growth returned 12.01% Year-To-Date and 12.58% 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 | 13.20% | -1.28% | 10.32% | 18.23% | 12.31% | 10.58% |
Managed Growth | 11.12% | -2.49% | 8.80% | 16.06% | 14.68% | 12.52% |
Portfolio components: | ||||||
SPY SPDR S&P 500 ETF | 13.99% | -1.30% | 11.16% | 20.65% | 14.08% | 12.60% |
QQQ Invesco QQQ | 12.23% | -4.60% | 8.45% | 22.52% | 19.44% | 17.85% |
AMFAX AlphaSimplex Managed Futures Strategy Fund Class A | 1.55% | -3.98% | 2.00% | -3.89% | 7.51% | 4.48% |
Monthly Returns
The table below presents the monthly returns of Managed Growth, 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 | 1.32% | 5.10% | 2.91% | -2.76% | 4.07% | 2.56% | 11.12% | ||||||
2023 | 5.72% | -1.27% | 2.32% | 1.38% | 2.06% | 5.56% | 2.60% | -1.66% | -3.27% | -1.64% | 6.26% | 3.83% | 23.55% |
2022 | -4.38% | -1.94% | 5.64% | -5.98% | -0.42% | -4.89% | 6.91% | -2.69% | -6.15% | 5.52% | 3.20% | -5.55% | -11.41% |
2021 | -0.64% | 2.47% | 3.27% | 4.85% | 0.54% | 2.20% | 2.15% | 2.46% | -4.37% | 6.59% | -1.54% | 3.51% | 23.15% |
2020 | 0.61% | -5.84% | -7.51% | 10.57% | 3.75% | 2.16% | 6.00% | 6.60% | -4.04% | -2.15% | 9.41% | 4.09% | 24.09% |
2019 | 6.12% | 2.52% | 3.02% | 4.34% | -5.57% | 5.87% | 1.75% | -0.01% | 0.78% | 1.58% | 2.97% | 2.42% | 28.41% |
2018 | 6.40% | -4.35% | -2.70% | 0.23% | 2.26% | 0.68% | 2.72% | 3.94% | -0.59% | -7.10% | 0.61% | -6.49% | -5.21% |
2017 | 2.10% | 3.69% | 0.16% | 0.98% | 1.66% | -0.59% | 2.61% | 0.90% | 1.04% | 3.19% | 2.36% | 0.93% | 20.67% |
2016 | -3.18% | 0.05% | 4.94% | -0.95% | 1.45% | 0.53% | 3.94% | -0.48% | -0.30% | -2.21% | 2.17% | 1.62% | 7.53% |
2015 | -0.66% | 5.02% | -0.90% | 0.27% | 0.84% | -2.78% | 2.80% | -5.41% | -1.62% | 7.16% | 0.77% | -2.14% | 2.75% |
2014 | -3.10% | 3.99% | -0.14% | 0.75% | 3.04% | 2.13% | -0.44% | 4.40% | -0.81% | 1.81% | 3.95% | -0.10% | 16.28% |
2013 | 3.72% | 0.83% | 3.41% | 3.00% | 1.35% | -1.67% | 4.62% | -2.35% | 3.26% | 4.63% | 2.71% | 2.54% | 29.05% |
Expense Ratio
Managed Growth features an expense ratio of 0.44%, falling within the medium range. 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 Managed Growth is 60, suggesting that the investment has average results relative to other portfolios in terms of risk-adjusted performance. This ranking is determined by the cumulative 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 | |
---|---|---|---|---|---|
SPY SPDR S&P 500 ETF | 1.73 | 2.42 | 1.30 | 1.70 | 6.79 |
QQQ Invesco QQQ | 1.35 | 1.87 | 1.24 | 1.58 | 6.75 |
AMFAX AlphaSimplex Managed Futures Strategy Fund Class A | -0.33 | -0.37 | 0.95 | -0.18 | -0.75 |
Dividends
Dividend yield
Managed Growth granted a 0.95% dividend yield in the last twelve months.
TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
---|---|---|---|---|---|---|---|---|---|---|---|---|
Managed Growth | 0.95% | 1.02% | 7.69% | 1.96% | 1.65% | 2.42% | 1.67% | 1.25% | 1.43% | 2.42% | 4.06% | 1.29% |
Portfolio components: | ||||||||||||
SPY SPDR S&P 500 ETF | 1.27% | 1.40% | 1.65% | 1.20% | 1.52% | 1.75% | 2.04% | 1.80% | 2.03% | 2.06% | 1.87% | 1.81% |
QQQ Invesco QQQ | 0.63% | 0.62% | 0.80% | 0.43% | 0.55% | 0.74% | 0.91% | 0.84% | 1.06% | 0.99% | 1.41% | 1.01% |
AMFAX AlphaSimplex Managed Futures Strategy Fund Class A | 0.30% | 0.30% | 32.70% | 5.74% | 3.14% | 6.12% | 1.31% | 0.00% | 0.00% | 4.92% | 13.32% | 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 Managed Growth. 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 Managed Growth was 25.13%, occurring on Mar 23, 2020. Recovery took 79 trading sessions.
The current Managed Growth drawdown is 4.84%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
---|---|---|---|---|---|---|
-25.13% | Feb 20, 2020 | 23 | Mar 23, 2020 | 79 | Jul 15, 2020 | 102 |
-17.29% | Aug 30, 2018 | 80 | Dec 24, 2018 | 79 | Apr 18, 2019 | 159 |
-14.93% | Mar 30, 2022 | 136 | Oct 12, 2022 | 166 | Jun 12, 2023 | 302 |
-14.9% | May 2, 2011 | 108 | Oct 3, 2011 | 88 | Feb 8, 2012 | 196 |
-10.79% | Apr 27, 2015 | 85 | Aug 25, 2015 | 219 | Jul 8, 2016 | 304 |
Volatility
Volatility Chart
The current Managed Growth volatility is 3.87%, 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
AMFAX | QQQ | SPY | |
---|---|---|---|
AMFAX | 1.00 | 0.17 | 0.18 |
QQQ | 0.17 | 1.00 | 0.90 |
SPY | 0.18 | 0.90 | 1.00 |