PortfoliosLab logo
Tools
Performance Analysis
Risk Analysis
Optimization
Factor Model
See All Tools
Portfolio Analysis
Portfolios
Lazy PortfoliosUser Portfolios
Discussions

Managed Growth

Last updated Mar 2, 2024

Asset Allocation


AMFAX 20%SPY 60%QQQ 20%AlternativesAlternativesEquityEquity
PositionCategory/SectorWeight
AMFAX
AlphaSimplex Managed Futures Strategy Fund Class A
Systematic Trend

20%

SPY
SPDR S&P 500 ETF
Large Cap Growth Equities

60%

QQQ
Invesco QQQ
Large Cap Blend Equities

20%

S&P 500

Performance

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


300.00%350.00%400.00%450.00%OctoberNovemberDecember2024FebruaryMarch
473.53%
366.33%
Managed Growth
Benchmark (^GSPC)
Portfolio components

The earliest data available for this chart is Jul 30, 2010, corresponding to the inception date of AMFAX

Returns

As of Mar 2, 2024, the Managed Growth returned 7.54% Year-To-Date and 12.87% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
7.70%6.01%13.76%29.03%12.89%10.63%
Managed Growth7.54%3.89%12.64%24.75%16.31%12.88%
SPY
SPDR S&P 500 ETF
7.90%3.74%14.53%28.81%15.00%12.59%
QQQ
Invesco QQQ
8.81%3.87%18.48%49.72%21.66%18.32%
AMFAX
AlphaSimplex Managed Futures Strategy Fund Class A
5.20%4.40%0.41%-8.64%10.68%5.81%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20241.32%5.10%
2023-1.66%-3.27%-1.64%6.26%3.83%

Sharpe Ratio

The current Managed Growth Sharpe ratio is 2.38. A Sharpe ratio higher than 2.0 is considered very good.

0.002.004.002.38

The Sharpe ratio of Managed Growth 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 Ratio0.501.001.502.002.50OctoberNovemberDecember2024FebruaryMarch
2.38
2.44
Managed Growth
Benchmark (^GSPC)
Portfolio components

Dividend yield

Managed Growth granted a 0.95% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
Managed Growth0.95%1.02%7.69%1.96%1.65%2.42%1.67%1.25%1.43%2.42%4.06%1.29%
SPY
SPDR S&P 500 ETF
1.29%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
0.57%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
0.29%0.30%32.70%5.74%3.14%6.12%1.31%0.00%0.00%4.92%13.32%0.00%

Expense Ratio

The Managed Growth has a high expense ratio of 0.44%, 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%1.72%
0.50%1.00%1.50%2.00%0.20%
0.50%1.00%1.50%2.00%0.09%

Risk-Adjusted Performance

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 ratioSortino ratioOmega ratioCalmar ratioUlcer Index
^GSPC
S&P 500
2.44
Managed Growth
2.38
SPY
SPDR S&P 500 ETF
2.59
QQQ
Invesco QQQ
3.28
AMFAX
AlphaSimplex Managed Futures Strategy Fund Class A
-0.55

Asset Correlations Table

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

AMFAXQQQSPY
AMFAX1.000.170.18
QQQ0.171.000.90
SPY0.180.901.00

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.


-15.00%-10.00%-5.00%0.00%OctoberNovemberDecember2024FebruaryMarch00
Managed Growth
Benchmark (^GSPC)
Portfolio components

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.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-25.13%Feb 20, 202023Mar 23, 202079Jul 15, 2020102
-17.29%Aug 30, 201880Dec 24, 201879Apr 18, 2019159
-14.93%Mar 30, 2022136Oct 12, 2022166Jun 12, 2023302
-14.9%May 2, 2011108Oct 3, 201188Feb 8, 2012196
-10.79%Apr 27, 201585Aug 25, 2015219Jul 8, 2016304

Volatility Chart

The current Managed Growth volatility is 3.45%, 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.


1.50%2.00%2.50%3.00%3.50%4.00%4.50%5.00%OctoberNovemberDecember2024FebruaryMarch
3.45%
3.47%
Managed Growth
Benchmark (^GSPC)
Portfolio components
0 comments