2xBTC / 2xASFYX
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y | Systematic Trend | 100% |
BIL SPDR Barclays 1-3 Month T-Bill ETF | Government Bonds | -100% |
BTC-USD Bitcoin | 100% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in 2xBTC / 2xASFYX, 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 2, 2024, the 2xBTC / 2xASFYX returned 44.42% Year-To-Date and 73.44% 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 | 5.21% | -4.30% | 18.42% | 21.82% | 11.27% | 10.33% |
| 2xBTC / 2xASFYX | 44.42% | -16.49% | 64.02% | 105.07% | 77.22% | 73.44% |
| Portfolio components: | ||||||
BTC-USD Bitcoin | 37.83% | -16.42% | 64.39% | 103.11% | 58.62% | 63.13% |
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y | 9.32% | 0.30% | 2.00% | 5.98% | 9.95% | 6.16% |
BIL SPDR Barclays 1-3 Month T-Bill ETF | 1.75% | 0.42% | 2.63% | 5.32% | 1.92% | 1.27% |
Monthly Returns Heatmap
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | 0.33% | 48.04% | 18.49% | -12.97% | ||||||||
| 2023 | 28.63% | 3.23% | 11.91% |
Expense Ratio
2xBTC / 2xASFYX has a high expense ratio of 1.33%, 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 | |
|---|---|---|---|---|---|
BTC-USD Bitcoin | 4.22 | 4.07 | 1.47 | 2.08 | 34.86 |
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y | 0.72 | 1.04 | 1.13 | 0.07 | 1.45 |
BIL SPDR Barclays 1-3 Month T-Bill ETF | 16.76 | 398.99 | 332.53 | 76.69 | 7,823.95 |
Dividends
Dividend yield
2xBTC / 2xASFYX granted a -4.28% dividend yield in the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|
| 2xBTC / 2xASFYX | -4.28% | -3.94% | 31.13% | 6.07% | 3.10% | 3.47% | -0.36% | -0.62% | -0.06% | 5.06% | 13.52% |
| Portfolio components: | |||||||||||
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% |
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y | 0.90% | 0.98% | 32.48% | 6.07% | 3.40% | 5.51% | 1.30% | 0.07% | 0.01% | 5.06% | 13.52% |
BIL SPDR Barclays 1-3 Month T-Bill ETF | 5.18% | 4.92% | 1.35% | 0.00% | 0.30% | 2.05% | 1.66% | 0.68% | 0.07% | 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 2xBTC / 2xASFYX. 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 2xBTC / 2xASFYX was 93.22%, occurring on Nov 19, 2011. Recovery took 468 trading sessions.
The current 2xBTC / 2xASFYX drawdown is 19.28%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -93.22% | Jun 10, 2011 | 163 | Nov 19, 2011 | 468 | Mar 1, 2013 | 631 |
| -87.85% | Dec 17, 2017 | 364 | Dec 15, 2018 | 732 | Dec 16, 2020 | 1096 |
| -79.15% | Dec 5, 2013 | 406 | Jan 14, 2015 | 709 | Dec 23, 2016 | 1115 |
| -70.37% | Apr 11, 2013 | 7 | Apr 17, 2013 | 201 | Nov 4, 2013 | 208 |
| -64.02% | Nov 9, 2021 | 406 | Dec 19, 2022 | 419 | Feb 11, 2024 | 825 |
Volatility
Volatility Chart
The current 2xBTC / 2xASFYX volatility is 16.59%, 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
| BIL | BTC-USD | ASFYX | |
|---|---|---|---|
| BIL | 1.00 | -0.00 | 0.01 |
| BTC-USD | -0.00 | 1.00 | 0.02 |
| ASFYX | 0.01 | 0.02 | 1.00 |