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asdf
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

Asset Allocation


ASFYX 100%TMF 50%AlternativesAlternativesBondBond
PositionCategory/SectorWeight
ASFYX
AlphaSimplex Managed Futures Strategy Fund Class Y
Systematic Trend
100%
BIL
SPDR Barclays 1-3 Month T-Bill ETF
Government Bonds
-50%
TMF
Direxion Daily 20-Year Treasury Bull 3X
Leveraged Bonds, Leveraged
50%

Performance

Performance Chart

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


-10.00%-5.00%0.00%5.00%10.00%15.00%MayJuneJulyAugustSeptemberOctober
-10.33%
15.83%
asdf
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 Oct 30, 2024, the asdf returned -16.60% Year-To-Date and -0.61% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
22.29%1.65%15.83%39.98%13.99%11.23%
asdf-16.60%-12.88%-10.32%0.40%-7.05%-0.61%
ASFYX
AlphaSimplex Managed Futures Strategy Fund Class Y
-3.40%-3.19%-13.12%-10.05%6.49%3.75%
TMF
Direxion Daily 20-Year Treasury Bull 3X
-25.00%-19.02%9.54%20.78%-29.71%-11.70%
BIL
SPDR Barclays 1-3 Month T-Bill ETF
4.35%0.37%2.58%5.29%2.23%1.53%

Monthly Returns

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


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-4.31%0.65%4.09%-7.23%1.78%-2.56%2.51%-3.81%3.88%-16.60%
20239.90%-6.85%-3.68%1.32%-4.44%1.57%-5.28%-7.59%-7.41%-8.50%5.81%14.04%-13.21%
2022-3.18%0.78%5.63%-3.51%-4.31%6.52%-2.29%-3.37%-3.69%-9.89%1.60%-5.81%-20.51%
2021-5.83%-3.54%-5.46%5.57%1.87%4.51%6.03%-1.48%-6.85%7.66%-3.54%-1.43%-3.84%
202011.78%10.30%12.18%1.24%-6.04%-1.09%11.56%-6.67%-2.16%-5.33%5.57%2.13%35.34%
2019-2.73%-3.02%14.70%0.51%9.25%2.10%1.94%24.06%-7.22%-5.17%-1.39%-5.96%25.17%
20181.41%-14.25%2.66%-4.33%0.82%1.22%-2.62%6.04%-8.90%-10.78%-0.04%12.15%-17.99%
20170.83%4.42%-2.93%1.49%2.77%-1.34%1.69%6.37%-4.15%4.01%1.48%2.73%18.26%
201614.77%6.17%-1.56%-3.83%-1.28%15.32%4.57%-5.64%-6.37%-11.04%-12.28%0.74%-4.62%
201522.98%-8.24%3.56%-8.65%-5.91%-12.18%9.26%-3.23%3.99%-2.15%1.09%-5.44%-9.28%
20146.59%2.00%0.70%4.92%8.16%0.77%1.47%12.37%-2.64%3.37%11.45%7.33%71.88%
2013-4.09%1.43%1.90%13.98%-13.30%-6.71%-2.39%-4.61%2.80%6.39%-2.85%-0.97%-10.44%

Expense Ratio

asdf has a high expense ratio of 1.95%, 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 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 asdf is 1, indicating that it is in the bottom 1% 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 asdf is 11
Combined Rank
The Sharpe Ratio Rank of asdf is 11Sharpe Ratio Rank
The Sortino Ratio Rank of asdf is 11Sortino Ratio Rank
The Omega Ratio Rank of asdf is 11Omega Ratio Rank
The Calmar Ratio Rank of asdf is 11Calmar Ratio Rank
The Martin Ratio Rank of asdf is 11Martin 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.


asdf
Sharpe ratio
The chart of Sharpe ratio for asdf, currently valued at -0.03, compared to the broader market0.002.004.006.00-0.03
Sortino ratio
The chart of Sortino ratio for asdf, currently valued at 0.13, compared to the broader market-2.000.002.004.006.000.13
Omega ratio
The chart of Omega ratio for asdf, currently valued at 1.01, compared to the broader market0.801.001.201.401.601.802.001.01
Calmar ratio
The chart of Calmar ratio for asdf, currently valued at -0.01, compared to the broader market0.005.0010.00-0.01
Martin ratio
The chart of Martin ratio for asdf, currently valued at -0.07, compared to the broader market0.0010.0020.0030.0040.0050.0060.00-0.07
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 3.43, compared to the broader market0.002.004.006.003.43
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 4.52, compared to the broader market-2.000.002.004.006.004.52
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.64, compared to the broader market0.801.001.201.401.601.802.001.64
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 3.17, compared to the broader market0.005.0010.003.17
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 22.22, compared to the broader market0.0010.0020.0030.0040.0050.0060.0022.22

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
ASFYX
AlphaSimplex Managed Futures Strategy Fund Class Y
-0.89-1.090.86-0.46-1.32
TMF
Direxion Daily 20-Year Treasury Bull 3X
0.440.911.100.210.97
BIL
SPDR Barclays 1-3 Month T-Bill ETF
20.56334.81237.74485.715,453.66

Sharpe Ratio

The current asdf Sharpe ratio is -0.03. 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 2.49 to 3.44, 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 asdf 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 Ratio-1.000.001.002.003.00MayJuneJulyAugustSeptemberOctober
-0.03
3.43
asdf
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

asdf provided a 0.20% dividend yield over the last twelve months.


TTM20232022202120202019201820172016201520142013
asdf0.20%-0.07%32.69%6.15%3.50%4.97%1.22%-0.07%-0.03%5.07%13.55%0.29%
ASFYX
AlphaSimplex Managed Futures Strategy Fund Class Y
1.02%0.98%32.55%6.08%3.41%5.52%1.30%0.07%0.01%5.07%13.55%0.00%
TMF
Direxion Daily 20-Year Treasury Bull 3X
3.56%2.82%1.62%0.13%0.48%0.94%1.49%0.41%0.00%0.00%0.00%0.57%
BIL
SPDR Barclays 1-3 Month T-Bill ETF
5.20%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.


-50.00%-40.00%-30.00%-20.00%-10.00%0.00%MayJuneJulyAugustSeptemberOctober
-51.84%
-0.54%
asdf
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the asdf. 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 asdf was 52.20%, occurring on Oct 25, 2024. The portfolio has not yet recovered.

The current asdf drawdown is 51.84%.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-52.2%Mar 10, 20201167Oct 25, 2024
-44.45%Jul 11, 2016589Nov 7, 2018192Aug 15, 2019781
-32.39%Jul 26, 2012269Aug 21, 2013248Aug 15, 2014517
-29.47%Feb 2, 2015111Jul 10, 2015248Jul 5, 2016359
-22.65%Sep 23, 2011123Mar 20, 201286Jul 23, 2012209

Volatility

Volatility Chart

The current asdf volatility is 6.72%, 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%4.00%6.00%8.00%10.00%MayJuneJulyAugustSeptemberOctober
6.72%
2.71%
asdf
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.

BILASFYXTMF
BIL1.000.000.02
ASFYX0.001.000.02
TMF0.020.021.00
The correlation results are calculated based on daily price changes starting from Aug 2, 2010