asdf
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
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
The earliest data available for this chart is Jul 30, 2010, corresponding to the inception date of ASFYX
Returns By Period
As of Aug 28, 2024, the asdf returned -6.10% Year-To-Date and 0.71% of annualized return in the last 10 years.
| Year-To-Date | 1 month | 6 months | 1 year | 5 years (annualized) | 10 years (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 17.24% | 2.35% | 10.30% | 24.34% | 13.87% | 10.83% |
| asdf | -6.30% | 1.91% | -1.58% | -4.62% | -7.15% | 0.69% |
| Portfolio components: | ||||||
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y | -1.75% | -4.88% | -5.78% | -6.05% | 5.60% | 3.93% |
TMF Direxion Daily 20-Year Treasury Bull 3X | -8.90% | 13.82% | 10.48% | -5.09% | -28.64% | -9.71% |
BIL SPDR Barclays 1-3 Month T-Bill ETF | 3.48% | 0.44% | 2.63% | 5.37% | 2.13% | 1.44% |
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.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | -4.31% | 0.65% | 4.09% | -7.23% | 2.22% | -2.98% | 2.51% | -6.30% | |||||
| 2023 | 9.90% | -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% | -5.88% | -20.56% |
| 2021 | -5.83% | -3.54% | -5.46% | 5.57% | 1.87% | 4.51% | 6.03% | -1.48% | -6.85% | 7.66% | -3.54% | -1.44% | -3.85% |
| 2020 | 11.78% | 10.30% | 12.18% | 1.24% | -6.04% | -1.09% | 11.56% | -6.67% | -2.16% | -5.33% | 5.57% | 2.90% | 36.36% |
| 2019 | -2.73% | -3.02% | 14.70% | 0.51% | 9.25% | 2.10% | 1.94% | 24.06% | -7.22% | -5.17% | -1.38% | -5.97% | 25.16% |
| 2018 | 1.41% | -14.25% | 2.66% | -4.33% | 0.82% | 1.22% | -2.62% | 6.04% | -8.90% | -10.78% | -0.04% | 12.15% | -17.99% |
| 2017 | 0.83% | 4.42% | -2.93% | 1.49% | 2.77% | -1.34% | 1.70% | 6.37% | -4.15% | 4.01% | 1.48% | 2.73% | 18.26% |
| 2016 | 14.77% | 6.17% | -1.56% | -3.82% | -1.29% | 15.32% | 4.57% | -5.64% | -6.37% | -11.04% | -12.28% | 0.74% | -4.62% |
| 2015 | 22.98% | -8.24% | 3.56% | -8.65% | -5.91% | -12.18% | 9.26% | -3.23% | 3.99% | -2.15% | 1.09% | -5.45% | -9.29% |
| 2014 | 6.59% | 2.00% | 0.70% | 4.92% | 8.16% | 0.77% | 1.47% | 12.37% | -2.64% | 3.37% | 11.45% | 7.30% | 71.84% |
| 2013 | -4.09% | 1.43% | 1.90% | 13.98% | -13.30% | -6.71% | -2.39% | -4.61% | 2.80% | 6.39% | -2.84% | -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.
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.
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 | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y | -0.54 | -0.62 | 0.92 | -0.29 | -1.05 |
TMF Direxion Daily 20-Year Treasury Bull 3X | -0.04 | 0.28 | 1.03 | -0.02 | -0.09 |
BIL SPDR Barclays 1-3 Month T-Bill ETF | 20.66 | 339.98 | 241.41 | 490.39 | 7,784.67 |
Dividends
Dividend yield
asdf granted a -0.10% dividend yield in the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| asdf | -0.10% | -0.07% | 32.62% | 6.14% | 4.37% | 4.96% | 1.21% | -0.07% | -0.03% | 5.06% | 13.52% | 0.29% |
| Portfolio components: | ||||||||||||
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y | 1.00% | 0.98% | 32.48% | 6.07% | 3.40% | 5.51% | 1.30% | 0.07% | 0.01% | 5.06% | 13.52% | 0.00% |
TMF Direxion Daily 20-Year Treasury Bull 3X | 3.02% | 2.82% | 1.62% | 0.13% | 2.23% | 0.94% | 1.49% | 0.41% | 0.00% | 0.00% | 0.00% | 0.57% |
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. Drawdowns are calculated considering price movements and all distributions paid, if any.
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 51.83%, occurring on Oct 31, 2023. The portfolio has not yet recovered.
The current asdf drawdown is 45.42%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -51.83% | Mar 10, 2020 | 919 | Oct 31, 2023 | — | — | — |
| -44.45% | Jul 11, 2016 | 589 | Nov 7, 2018 | 192 | Aug 15, 2019 | 781 |
| -32.39% | Jul 26, 2012 | 269 | Aug 21, 2013 | 248 | Aug 15, 2014 | 517 |
| -29.47% | Feb 2, 2015 | 111 | Jul 10, 2015 | 248 | Jul 5, 2016 | 359 |
| -22.65% | Sep 23, 2011 | 123 | Mar 20, 2012 | 86 | Jul 23, 2012 | 209 |
Volatility
Volatility Chart
The current asdf volatility is 8.14%, 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.
Diversification
Asset Correlations Table
| ASFYX | BIL | TMF | |
|---|---|---|---|
| ASFYX | 1.00 | 0.01 | 0.01 |
| BIL | 0.01 | 1.00 | 0.02 |
| TMF | 0.01 | 0.02 | 1.00 |