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x2

Last updated Sep 23, 2023

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 Trend40%
TMF
Direxion Daily 20-Year Treasury Bull 3X
Leveraged Bonds, Leveraged20%
TIP
iShares TIPS Bond ETF
Inflation-Protected Bonds10%
TLT
iShares 20+ Year Treasury Bond ETF
Government Bonds10%
GLD
SPDR Gold Trust
Precious Metals, Gold7%
BTC-USD
Bitcoin
20%
TQQQ
ProShares UltraPro QQQ
Leveraged Equities, Leveraged20%
VT
Vanguard Total World Stock ETF
Large Cap Growth Equities7%

Performance

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%5.00%10.00%15.00%AprilMayJuneJulyAugustSeptember
-1.86%
8.79%
x2
Benchmark (^GSPC)
Portfolio components

Returns

As of Sep 23, 2023, the x2 returned 22.45% Year-To-Date and 24.96% of annualized return in the last 10 years.


1 month6 monthsYear-To-Date1 year5 years (annualized)10 years (annualized)
Benchmark-2.61%8.79%12.52%14.96%5.51%6.66%
x2-3.92%-1.86%22.45%6.64%16.20%24.96%
TQQQ
ProShares UltraPro QQQ
-10.13%38.90%108.51%62.01%10.94%22.72%
TMF
Direxion Daily 20-Year Treasury Bull 3X
-12.74%-40.15%-28.87%-42.10%-14.22%-5.07%
BTC-USD
Bitcoin
0.56%-3.32%60.63%36.91%20.94%44.60%
ASFYX
AlphaSimplex Managed Futures Strategy Fund Class Y
2.93%6.03%-4.09%-9.26%6.58%4.49%
VT
Vanguard Total World Stock ETF
-1.97%6.92%10.64%16.13%4.43%5.26%
GLD
SPDR Gold Trust
0.41%-2.74%5.29%14.72%6.46%2.35%
TIP
iShares TIPS Bond ETF
-0.93%-2.98%0.18%-0.83%1.45%1.16%
TLT
iShares 20+ Year Treasury Bond ETF
-4.02%-13.04%-6.20%-10.43%-1.92%0.58%
BIL
SPDR Barclays 1-3 Month T-Bill ETF
0.45%2.42%3.46%4.38%1.07%0.65%

Asset Correlations Table

The table below shows the correlation coefficients between the assets in the portfolio.

BILBTC-USDASFYXGLDTQQQVTTIPTMFTLT
BIL1.00-0.000.010.00-0.000.010.000.030.03
BTC-USD-0.001.000.020.050.090.100.02-0.01-0.01
ASFYX0.010.021.000.050.180.210.070.040.04
GLD0.000.050.051.000.010.100.330.240.24
TQQQ-0.000.090.180.011.000.79-0.07-0.21-0.21
VT0.010.100.210.100.791.00-0.08-0.26-0.26
TIP0.000.020.070.33-0.07-0.081.000.700.70
TMF0.03-0.010.040.24-0.21-0.260.701.000.99
TLT0.03-0.010.040.24-0.21-0.260.700.991.00

Sharpe Ratio

The current x2 Sharpe ratio is 0.46. A Sharpe ratio between 0 and 1.0 is considered sub-optimal.

-1.000.001.002.003.004.000.46

The Sharpe ratio of x2 is in the bottom 25%, suggesting that this portfolio isn't performing as well in terms of risk-adjusted returns compared to many others. This could be due to lower returns, higher volatility, or both. It might be an indication that the portfolio needs fine-tuning.


Rolling 12-month Sharpe Ratio-0.500.000.501.001.502.00AprilMayJuneJulyAugustSeptember
0.46
0.73
x2
Benchmark (^GSPC)
Portfolio components

Dividend yield

x2 granted a 13.73% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
x213.73%14.10%4.00%2.68%3.31%1.33%0.57%0.66%3.70%9.53%0.86%1.80%
TQQQ
ProShares UltraPro QQQ
1.44%0.57%0.00%0.00%0.06%0.11%0.00%0.00%0.01%0.03%0.00%0.00%
TMF
Direxion Daily 20-Year Treasury Bull 3X
3.37%1.65%0.13%2.31%1.00%1.59%0.44%0.00%0.00%0.00%0.62%0.18%
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
33.55%32.48%8.05%4.79%8.02%1.99%0.10%0.01%7.86%21.97%0.00%2.32%
VT
Vanguard Total World Stock ETF
2.11%2.23%1.89%1.75%2.50%2.80%2.38%2.76%2.91%2.95%2.56%2.93%
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
2.42%7.09%4.64%1.32%2.01%3.16%2.49%1.81%0.42%2.08%1.45%2.84%
TLT
iShares 20+ Year Treasury Bond ETF
3.46%2.73%1.56%1.59%2.44%2.90%2.76%3.02%3.11%3.26%4.09%3.47%
BIL
SPDR Barclays 1-3 Month T-Bill ETF
4.09%1.39%0.00%0.31%2.15%1.78%0.74%0.07%0.00%0.00%0.00%0.00%

Expense Ratio

The 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.


1.47%
0.00%2.15%
1.09%
0.00%2.15%
0.95%
0.00%2.15%
0.40%
0.00%2.15%
0.19%
0.00%2.15%
0.15%
0.00%2.15%
0.14%
0.00%2.15%
0.07%
0.00%2.15%

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
TQQQ
ProShares UltraPro QQQ
0.82
TMF
Direxion Daily 20-Year Treasury Bull 3X
-0.84
BTC-USD
Bitcoin
0.91
ASFYX
AlphaSimplex Managed Futures Strategy Fund Class Y
-0.55
VT
Vanguard Total World Stock ETF
0.92
GLD
SPDR Gold Trust
1.03
TIP
iShares TIPS Bond ETF
-0.24
TLT
iShares 20+ Year Treasury Bond ETF
-0.67
BIL
SPDR Barclays 1-3 Month T-Bill ETF
14.90

Drawdowns Chart

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


-40.00%-30.00%-20.00%-10.00%0.00%AprilMayJuneJulyAugustSeptember
-39.45%
-9.93%
x2
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below shows the maximum drawdowns of the x2. A maximum drawdown is an indicator of risk. It shows a reduction in portfolio value from its maximum due to a series of losing trades.

The maximum drawdown since January 2010 for the x2 is 51.33%, recorded on Dec 28, 2022. The portfolio has not recovered from it yet.


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 Chart

The current x2 volatility is 4.04%, 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%AprilMayJuneJulyAugustSeptember
4.04%
2.69%
x2
Benchmark (^GSPC)
Portfolio components