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x3

Last updated Sep 23, 2023

Asset Allocation


ASFYX 50%TMF 25%TIP 12.5%TLT 12.5%GLD 8.75%TQQQ 25%VT 8.75%AlternativesAlternativesBondBondCommodityCommodityEquityEquity
PositionCategory/SectorWeight
ASFYX
AlphaSimplex Managed Futures Strategy Fund Class Y
Systematic Trend50%
TMF
Direxion Daily 20-Year Treasury Bull 3X
Leveraged Bonds, Leveraged25%
TIP
iShares TIPS Bond ETF
Inflation-Protected Bonds12.5%
TLT
iShares 20+ Year Treasury Bond ETF
Government Bonds12.5%
GLD
SPDR Gold Trust
Precious Metals, Gold8.75%
TQQQ
ProShares UltraPro QQQ
Leveraged Equities, Leveraged25%
VT
Vanguard Total World Stock ETF
Large Cap Growth Equities8.75%

Performance

The chart shows the growth of an initial investment of $10,000 in x3, 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%20.00%AprilMayJuneJulyAugustSeptember
-2.13%
7.69%
x3
Benchmark (^GSPC)
Portfolio components

Returns

As of Sep 23, 2023, the x3 returned 12.52% Year-To-Date and 16.21% of annualized return in the last 10 years.


1 month6 monthsYear-To-Date1 year5 years (annualized)10 years (annualized)
Benchmark-1.55%9.05%12.97%17.44%8.37%9.90%
x3-5.57%-0.58%10.63%-2.98%12.23%16.03%
ASFYX
AlphaSimplex Managed Futures Strategy Fund Class Y
2.28%6.24%-3.80%-10.72%9.87%6.64%
TQQQ
ProShares UltraPro QQQ
-4.77%43.70%111.29%72.42%16.32%34.68%
TMF
Direxion Daily 20-Year Treasury Bull 3X
-18.34%-40.58%-34.09%-46.86%-21.34%-7.90%
TIP
iShares TIPS Bond ETF
-1.22%-2.95%-0.58%-1.16%1.95%1.61%
TLT
iShares 20+ Year Treasury Bond ETF
-6.06%-13.14%-8.51%-12.99%-3.33%0.62%
GLD
SPDR Gold Trust
0.05%-2.34%4.75%16.14%9.50%3.26%
VT
Vanguard Total World Stock ETF
-1.20%6.62%10.75%18.97%6.63%7.75%
BIL
SPDR Barclays 1-3 Month T-Bill ETF
0.41%2.44%3.47%4.39%1.55%0.95%

Asset Correlations Table

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

BILASFYXGLDTQQQVTTIPTMFTLT
BIL1.000.00-0.00-0.01-0.00-0.000.020.02
ASFYX0.001.000.050.170.190.070.040.04
GLD-0.000.051.000.020.100.360.250.25
TQQQ-0.010.170.021.000.84-0.07-0.23-0.23
VT-0.000.190.100.841.00-0.08-0.30-0.30
TIP-0.000.070.36-0.07-0.081.000.720.72
TMF0.020.040.25-0.23-0.300.721.001.00
TLT0.020.040.25-0.23-0.300.721.001.00

Sharpe Ratio

The current x3 Sharpe ratio is -0.15. A negative Sharpe ratio means that the risk-free rate is higher than the portfolio's return. This value does not convey any meaningful information.

-1.000.001.002.003.004.00-0.15

The Sharpe ratio of x3 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-1.00-0.500.000.501.00AprilMayJuneJulyAugustSeptember
-0.12
0.89
x3
Benchmark (^GSPC)
Portfolio components

Dividend yield

x3 granted a 17.19% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
x317.19%17.63%5.00%3.35%4.14%1.67%0.71%0.82%4.63%11.92%1.07%2.25%
ASFYX
AlphaSimplex Managed Futures Strategy Fund Class Y
33.45%32.48%8.05%4.79%8.02%1.99%0.10%0.01%7.86%21.97%0.00%2.32%
TQQQ
ProShares UltraPro QQQ
1.42%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
3.64%1.65%0.13%2.31%1.00%1.59%0.44%0.00%0.00%0.00%0.62%0.18%
TIP
iShares TIPS Bond ETF
2.44%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
3.55%2.73%1.56%1.59%2.44%2.90%2.76%3.02%3.11%3.26%4.09%3.47%
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%
VT
Vanguard Total World Stock ETF
2.10%2.23%1.89%1.75%2.50%2.80%2.38%2.76%2.91%2.95%2.56%2.93%
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 x3 has a high expense ratio of 1.27%, 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
ASFYX
AlphaSimplex Managed Futures Strategy Fund Class Y
-0.61
TQQQ
ProShares UltraPro QQQ
0.94
TMF
Direxion Daily 20-Year Treasury Bull 3X
-0.84
TIP
iShares TIPS Bond ETF
-0.20
TLT
iShares 20+ Year Treasury Bond ETF
-0.67
GLD
SPDR Gold Trust
0.99
VT
Vanguard Total World Stock ETF
0.98
BIL
SPDR Barclays 1-3 Month T-Bill ETF
14.84

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
-36.72%
-9.57%
x3
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below shows the maximum drawdowns of the x3. 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 x3 is 43.92%, recorded on Dec 28, 2022. The portfolio has not recovered from it yet.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-43.92%Nov 22, 2021277Dec 28, 2022
-27.24%Mar 10, 20207Mar 18, 202020Apr 16, 202027
-23.81%Jan 29, 2018208Nov 21, 2018103Apr 24, 2019311
-19.95%Aug 11, 201679Dec 1, 2016121May 26, 2017200
-18.22%May 3, 201336Jun 24, 2013127Dec 23, 2013163

Volatility Chart

The current x3 volatility is 5.83%, 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%8.00%AprilMayJuneJulyAugustSeptember
5.83%
3.36%
x3
Benchmark (^GSPC)
Portfolio components