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2xBTC / 2xASFYX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


ASFYX 100%BTC-USD 100%AlternativesAlternativesBondBondCryptocurrencyCryptocurrency
PositionCategory/SectorWeight
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


-20.00%0.00%20.00%40.00%60.00%JulyAugustSeptemberOctoberNovemberDecember
40.40%
8.53%
2xBTC / 2xASFYX
Benchmark (^GSPC)
Portfolio components

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

Returns By Period

As of Dec 19, 2024, the 2xBTC / 2xASFYX returned 114.45% Year-To-Date and 82.27% of annualized return in the last 10 years.


YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500
24.34%0.23%8.53%24.95%13.01%11.06%
2xBTC / 2xASFYX109.57%-2.44%40.40%101.59%81.47%81.84%
BTC-USD
Bitcoin
131.29%-1.25%54.72%123.50%68.01%77.33%
ASFYX
AlphaSimplex Managed Futures Strategy Fund Class Y
-3.67%-1.39%-8.67%-3.98%6.50%2.91%
BIL
SPDR Barclays 1-3 Month T-Bill ETF
5.08%0.36%2.51%5.17%2.33%1.60%
*Annualized

Monthly Returns

The table below presents the monthly returns of 2xBTC / 2xASFYX, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
20240.33%48.04%18.49%-12.85%9.38%-11.54%0.95%-15.15%9.40%5.61%40.87%109.57%
202338.67%1.05%15.60%4.10%-6.27%13.48%-5.16%-13.89%7.51%28.63%3.23%11.91%134.01%
2022-14.22%15.79%16.96%-6.98%-15.50%-23.90%12.40%-10.82%5.22%4.69%-23.13%-5.26%-44.13%
202113.81%40.13%30.75%0.44%-32.20%-8.94%19.34%12.55%-8.93%44.27%-12.00%-17.61%65.44%
202030.00%-7.63%-19.85%34.50%7.23%-4.43%28.99%3.77%-9.79%27.62%45.19%49.47%343.63%
2019-10.77%11.03%12.60%34.02%58.11%26.12%-4.90%3.57%-15.80%7.81%-18.61%-6.08%103.80%
2018-22.07%-10.36%-36.26%31.49%-20.38%-14.66%21.16%-6.22%-9.85%-10.94%-41.52%-3.06%-79.42%
20170.75%23.75%-10.45%25.13%70.37%6.81%19.02%63.77%-7.87%53.16%57.07%37.89%1,414.47%
2016-8.62%19.67%-5.76%4.91%16.91%30.98%-5.79%-11.80%1.58%10.62%6.07%31.18%115.11%
2015-24.55%17.13%-0.78%-6.84%-4.61%8.97%10.73%-20.38%4.21%31.93%22.15%11.22%39.81%
20147.03%-33.66%-17.98%-0.05%42.30%3.88%-7.71%-12.98%-16.62%-13.08%19.50%-11.37%-46.96%
201346.91%56.47%198.93%57.50%-9.36%-25.98%11.16%25.10%-0.72%58.37%444.48%-32.75%5,713.10%

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.


Expense ratio chart for ASFYX: current value at 1.47% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.47%
Expense ratio chart for BIL: current value at 0.14% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.14%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current rank of 2xBTC / 2xASFYX is 8, meaning it’s performing worse than 92% of other portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.


The Risk-Adjusted Performance Rank of 2xBTC / 2xASFYX is 88
Overall Rank
The Sharpe Ratio Rank of 2xBTC / 2xASFYX is 88
Sharpe Ratio Rank
The Sortino Ratio Rank of 2xBTC / 2xASFYX is 1212
Sortino Ratio Rank
The Omega Ratio Rank of 2xBTC / 2xASFYX is 99
Omega Ratio Rank
The Calmar Ratio Rank of 2xBTC / 2xASFYX is 66
Calmar Ratio Rank
The Martin Ratio Rank of 2xBTC / 2xASFYX is 77
Martin Ratio Rank
The risk-adjusted ranks indicate the investment's position relative to the market. A rank closer to 100 signifies top-performing investments, while a rank closer to 0 might suggest underperformance, based on the selected ratio. The values are calculated based on the past 12 months of returns.

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
The chart of Sharpe ratio for 2xBTC / 2xASFYX, currently valued at 0.66, compared to the broader market-6.00-4.00-2.000.002.004.000.662.10
The chart of Sortino ratio for 2xBTC / 2xASFYX, currently valued at 1.31, compared to the broader market-6.00-4.00-2.000.002.004.006.001.312.80
The chart of Omega ratio for 2xBTC / 2xASFYX, currently valued at 1.13, compared to the broader market0.400.600.801.001.201.401.601.801.131.39
The chart of Calmar ratio for 2xBTC / 2xASFYX, currently valued at 0.35, compared to the broader market0.002.004.006.008.0010.0012.000.353.09
The chart of Martin ratio for 2xBTC / 2xASFYX, currently valued at 2.02, compared to the broader market0.0010.0020.0030.0040.002.0213.49
2xBTC / 2xASFYX
^GSPC

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
BTC-USD
Bitcoin
1.412.141.211.226.70
ASFYX
AlphaSimplex Managed Futures Strategy Fund Class Y
-1.46-1.840.76-0.15-1.67
BIL
SPDR Barclays 1-3 Month T-Bill ETF
16.83221.07107.0572.204,330.87

The current 2xBTC / 2xASFYX Sharpe ratio is 0.56. This value is calculated based on the past 1 year of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 1.28 to 2.09, this portfolio's current Sharpe ratio places it in the bottom 25%. This suggests that it may not be performing as well in terms of risk-adjusted returns compared to many other portfolios. The lower performance could be due to either lower returns, higher volatility, or a combination of both. This might indicate that the portfolio requires some fine-tuning. You can use the Portfolio Optimization tool to find an allocation that maximizes the Sharpe ratio.

Use the chart below to compare the Sharpe ratio of 2xBTC / 2xASFYX with the selected benchmark, providing insights into the investment's historical performance in terms of risk-adjusted returns. Go to the Sharpe ratio tool for more fine-grained control over the calculation options.


Rolling 12-month Sharpe Ratio0.001.002.003.004.00JulyAugustSeptemberOctoberNovemberDecember
0.66
2.10
2xBTC / 2xASFYX
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

2xBTC / 2xASFYX provided a -3.56% dividend yield over the last twelve months.


TTM20232022202120202019201820172016201520142013
Portfolio-3.56%-3.94%31.13%6.07%3.10%3.47%-0.36%-0.62%-0.06%5.06%13.64%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%
ASFYX
AlphaSimplex Managed Futures Strategy Fund Class Y
1.47%0.98%32.48%6.07%3.40%5.51%1.30%0.07%0.01%5.06%13.64%0.00%
BIL
SPDR Barclays 1-3 Month T-Bill ETF
5.03%4.92%1.35%0.00%0.30%2.05%1.66%0.68%0.07%0.00%0.00%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.


-40.00%-30.00%-20.00%-10.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-8.83%
-2.62%
2xBTC / 2xASFYX
Benchmark (^GSPC)
Portfolio components

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 6.70%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-93.22%Jun 10, 2011163Nov 19, 2011468Mar 1, 2013631
-87.85%Dec 17, 2017364Dec 15, 2018733Dec 17, 20201097
-79.12%Dec 5, 2013406Jan 14, 2015709Dec 23, 20161115
-70.37%Apr 11, 20137Apr 17, 2013201Nov 4, 2013208
-64.01%Nov 9, 2021406Dec 19, 2022419Feb 11, 2024825

Volatility

Volatility Chart

The current 2xBTC / 2xASFYX volatility is 14.98%, 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.


0.00%5.00%10.00%15.00%20.00%25.00%JulyAugustSeptemberOctoberNovemberDecember
14.98%
3.79%
2xBTC / 2xASFYX
Benchmark (^GSPC)
Portfolio components

Diversification

Asset Correlations Table

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

BILBTC-USDASFYX
BIL1.000.000.01
BTC-USD0.001.000.02
ASFYX0.010.021.00
The correlation results are calculated based on daily price changes starting from Jul 31, 2010
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Disclaimer

The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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