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x2
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


ASFYX 40%TMF 20%TIP 10%TLT 10%GLD 7%BTC-USD 20%TQQQ 20%VT 7%AlternativesAlternativesBondBondCommodityCommodityCryptocurrencyCryptocurrencyEquityEquity
PositionCategory/SectorWeight
ASFYX
AlphaSimplex Managed Futures Strategy Fund Class Y
Systematic Trend

40%

BIL
SPDR Barclays 1-3 Month T-Bill ETF
Government Bonds

-34%

BTC-USD
Bitcoin

20%

GLD
SPDR Gold Trust
Precious Metals, Gold

7%

TIP
iShares TIPS Bond ETF
Inflation-Protected Bonds

10%

TLT
iShares 20+ Year Treasury Bond ETF
Government Bonds

10%

TMF
Direxion Daily 20-Year Treasury Bull 3X
Leveraged Bonds, Leveraged

20%

TQQQ
ProShares UltraPro QQQ
Leveraged Equities, Leveraged

20%

VT
Vanguard Total World Stock ETF
Large Cap Growth Equities

7%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in x2, 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


0.00%50,000.00%100,000.00%150,000.00%200,000.00%FebruaryMarchAprilMayJuneJuly
188,409.86%
404.33%
x2
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 Jul 22, 2024, the x2 returned 19.17% Year-To-Date and 31.78% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
16.48%1.67%14.21%21.98%13.13%10.91%
x218.40%-0.37%22.71%29.98%17.11%20.90%
TQQQ
ProShares UltraPro QQQ
41.20%-4.12%29.20%68.35%22.35%23.66%
TMF
Direxion Daily 20-Year Treasury Bull 3X
-21.06%-3.73%-6.53%-30.45%-18.57%-7.13%
BTC-USD
Bitcoin
57.84%5.59%67.42%128.64%30.16%38.53%
ASFYX
AlphaSimplex Managed Futures Strategy Fund Class Y
4.71%-0.73%5.52%-0.27%5.79%3.42%
VT
Vanguard Total World Stock ETF
11.87%1.45%11.89%17.05%7.32%5.85%
GLD
SPDR Gold Trust
15.99%3.24%17.97%22.23%7.27%3.99%
TIP
iShares TIPS Bond ETF
1.66%0.66%2.39%2.89%1.40%1.23%
TLT
iShares 20+ Year Treasury Bond ETF
-4.15%-0.79%0.94%-4.73%-3.09%0.18%
BIL
SPDR Barclays 1-3 Month T-Bill ETF
2.92%0.40%2.59%5.33%1.41%0.95%

Monthly Returns

The table below presents the monthly returns of x2, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-1.17%12.18%6.88%-9.72%7.48%1.66%18.40%
202320.36%-4.43%11.84%1.22%0.84%7.34%-0.65%-7.23%-7.54%0.39%12.48%12.57%52.68%
2022-10.79%0.30%4.41%-13.96%-6.89%-9.00%11.24%-9.38%-11.31%-1.38%1.79%-9.57%-44.73%
2021-0.19%5.76%7.33%6.54%-6.09%5.55%8.67%4.87%-8.72%17.06%-1.83%-4.21%37.00%
202013.44%-1.06%-6.60%18.31%5.01%3.76%15.62%5.89%-8.20%0.80%19.95%18.88%118.30%
20193.83%2.98%10.16%9.44%13.02%16.03%0.83%9.27%-5.45%2.98%-1.76%-0.15%77.87%
20180.22%-7.81%-7.64%4.48%-1.16%-2.20%4.67%3.61%-5.29%-11.11%-8.31%0.13%-27.77%
20174.37%9.45%-1.69%7.95%20.39%1.14%6.68%17.86%-4.59%14.57%17.48%13.13%169.62%
2016-0.38%6.39%1.69%-1.55%5.48%11.94%5.57%-3.24%-0.09%-3.12%-4.21%8.44%28.66%
20153.11%1.48%-0.88%-3.25%-1.68%-4.29%8.11%-10.06%0.81%14.22%4.82%0.32%11.18%
20144.09%-2.62%-4.17%1.57%13.95%3.15%-0.87%5.37%-5.46%0.30%10.20%-1.11%25.16%
20139.21%15.64%73.18%17.46%-6.42%-12.09%5.82%3.63%4.05%16.41%117.72%-21.23%381.48%

Expense Ratio

x2 has a high expense ratio of 1.02%, 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 TMF: current value at 1.09% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%1.09%
Expense ratio chart for TQQQ: current value at 0.95% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.95%
Expense ratio chart for GLD: current value at 0.40% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.40%
Expense ratio chart for TIP: current value at 0.19% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.19%
Expense ratio chart for TLT: current value at 0.15% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.15%
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%
Expense ratio chart for VT: current value at 0.07% compared with the broader market ranging from 0.00% to 2.12%.0.50%1.00%1.50%2.00%0.07%

Risk-Adjusted Performance

Risk-Adjusted Performance Rank

The current risk-adjusted rank of x2 is 76, placing it in the top 24% of portfolios on our website in terms of risk-adjusted performance. This ranking is based on the combined values of the indicators listed below.


The Risk-Adjusted Performance Rank of x2 is 7676
x2
The Sharpe Ratio Rank of x2 is 9292Sharpe Ratio Rank
The Sortino Ratio Rank of x2 is 9191Sortino Ratio Rank
The Omega Ratio Rank of x2 is 8888Omega Ratio Rank
The Calmar Ratio Rank of x2 is 1919Calmar Ratio Rank
The Martin Ratio Rank of x2 is 9191Martin 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.


x2
Sharpe ratio
The chart of Sharpe ratio for x2, currently valued at 2.18, compared to the broader market-1.000.001.002.003.004.002.18
Sortino ratio
The chart of Sortino ratio for x2, currently valued at 3.10, compared to the broader market-2.000.002.004.006.003.10
Omega ratio
The chart of Omega ratio for x2, currently valued at 1.41, compared to the broader market0.801.001.201.401.601.801.41
Calmar ratio
The chart of Calmar ratio for x2, currently valued at 1.07, compared to the broader market0.002.004.006.008.0010.001.07
Martin ratio
The chart of Martin ratio for x2, currently valued at 10.45, compared to the broader market0.0010.0020.0030.0040.0010.45
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.99, compared to the broader market-1.000.001.002.003.004.001.99
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.81, compared to the broader market-2.000.002.004.006.002.81
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.35, compared to the broader market0.801.001.201.401.601.801.35
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.59, compared to the broader market0.002.004.006.008.0010.001.59
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 7.44, compared to the broader market0.0010.0020.0030.0040.007.44

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
TQQQ
ProShares UltraPro QQQ
2.082.631.421.4312.87
TMF
Direxion Daily 20-Year Treasury Bull 3X
0.300.681.090.120.52
BTC-USD
Bitcoin
1.812.461.311.698.53
ASFYX
AlphaSimplex Managed Futures Strategy Fund Class Y
-0.05-0.011.00-0.02-0.12
VT
Vanguard Total World Stock ETF
2.643.971.622.3818.08
GLD
SPDR Gold Trust
1.942.671.433.419.62
TIP
iShares TIPS Bond ETF
1.302.001.290.445.53
TLT
iShares 20+ Year Treasury Bond ETF
0.671.041.140.191.33
BIL
SPDR Barclays 1-3 Month T-Bill ETF
13.94326.21327.21332.085,271.55

Sharpe Ratio

The current x2 Sharpe ratio is 2.88. 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 1.31 to 2.07, this portfolio's current Sharpe ratio is in the top 25%, it signifies superior risk-adjusted performance. This means that for the level of risk undertaken, the portfolio is generating impressive returns compared to most others.

Use the chart below to compare the Sharpe ratio of x2 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 Ratio1.001.502.002.503.00FebruaryMarchAprilMayJuneJuly
2.18
1.99
x2
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

x2 granted a 0.37% dividend yield in the last twelve months.


TTM20232022202120202019201820172016201520142013
x20.37%0.29%14.09%3.16%2.09%2.27%0.99%0.47%0.56%2.49%6.02%0.70%
TQQQ
ProShares UltraPro QQQ
1.21%1.26%0.57%0.00%0.00%0.06%0.11%0.00%0.00%0.01%0.03%0.00%
TMF
Direxion Daily 20-Year Treasury Bull 3X
3.49%2.82%1.62%0.13%2.23%0.94%1.49%0.41%0.00%0.00%0.00%0.57%
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
0.94%0.98%32.48%6.07%3.40%5.51%1.30%0.07%0.01%5.06%13.52%0.00%
VT
Vanguard Total World Stock ETF
1.93%2.08%2.20%1.82%1.66%2.32%2.53%2.11%2.39%2.45%2.44%2.06%
GLD
SPDR Gold Trust
0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
TIP
iShares TIPS Bond ETF
3.12%2.73%6.96%4.28%1.17%1.75%2.71%2.07%1.48%0.34%1.67%1.15%
TLT
iShares 20+ Year Treasury Bond ETF
3.83%3.38%2.67%1.50%1.50%2.27%2.63%2.43%2.60%2.61%2.67%3.26%
BIL
SPDR Barclays 1-3 Month T-Bill ETF
5.23%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.


-25.00%-20.00%-15.00%-10.00%-5.00%0.00%FebruaryMarchAprilMayJuneJuly
-10.60%
-1.97%
x2
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the x2. 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 x2 was 51.33%, occurring on Dec 28, 2022. The portfolio has not yet recovered.

The current x2 drawdown is 10.02%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-51.33%Nov 10, 2021414Dec 28, 2022
-45.51%Jun 10, 20113Jun 12, 2011591Jan 23, 2013594
-41.61%Dec 17, 2017343Nov 24, 2018211Jun 23, 2019554
-36.3%Dec 5, 201314Dec 18, 2013401Jan 23, 2015415
-32.05%Nov 8, 201029Dec 6, 201058Feb 2, 201187

Volatility

Volatility Chart

The current x2 volatility is 4.72%, 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.


2.00%3.00%4.00%5.00%6.00%7.00%FebruaryMarchAprilMayJuneJuly
4.72%
2.94%
x2
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-USDASFYXGLDTQQQVTTIPTMFTLT
BIL1.00-0.000.010.000.010.020.010.030.03
BTC-USD-0.001.000.020.050.090.100.02-0.02-0.01
ASFYX0.010.021.000.050.180.210.040.020.02
GLD0.000.050.051.000.020.110.330.230.24
TQQQ0.010.090.180.021.000.78-0.06-0.18-0.18
VT0.020.100.210.110.781.00-0.06-0.23-0.23
TIP0.010.020.040.33-0.06-0.061.000.710.71
TMF0.03-0.020.020.23-0.18-0.230.711.000.99
TLT0.03-0.010.020.24-0.18-0.230.710.991.00
The correlation results are calculated based on daily price changes starting from Jul 31, 2010