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x2mstr
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Risk-Adjusted Performance
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Drawdowns
Volatility
Diversification

x2mstr

Last updated May 1, 2024

Asset Allocation

ASFYX 40%TMF 20%TIP 10%TLT 10%GLD 7%MSTR 20%TQQQ 20%VT 7%AlternativesAlternativesBondBondCommodityCommodityEquityEquity
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%

GLD
SPDR Gold Trust		Precious Metals, Gold

7%

MSTR
MicroStrategy Incorporated		Technology

20%

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 x2mstr, 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

500.00%1,000.00%1,500.00%2,000.00%December2024FebruaryMarchAprilMay
1,546.65%
357.13%
x2mstr
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 May 1, 2024, the x2mstr returned 20.98% Year-To-Date and 21.78% of annualized return in the last 10 years.

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		5.57%-4.16%20.07%20.82%11.56%10.37%
x2mstr20.98%-12.89%59.06%55.12%28.00%21.78%
Portfolio components:
ASFYX
AlphaSimplex Managed Futures Strategy Fund Class Y		11.18%2.01%3.74%7.78%10.35%6.35%
TMF
Direxion Daily 20-Year Treasury Bull 3X		-31.54%-14.61%5.56%-47.80%-25.61%-10.87%
TIP
iShares TIPS Bond ETF		-1.76%-1.05%2.53%-1.53%1.95%1.67%
TLT
iShares 20+ Year Treasury Bond ETF		-9.91%-4.68%5.35%-13.67%-4.43%-0.04%
GLD
SPDR Gold Trust		10.83%1.95%15.45%12.99%11.95%5.42%
MSTR
MicroStrategy Incorporated		68.62%-34.93%149.61%224.69%49.98%24.54%
TQQQ
ProShares UltraPro QQQ		4.39%-14.86%54.22%95.16%26.29%36.00%
VT
Vanguard Total World Stock ETF		3.96%-3.33%18.01%18.16%9.38%8.27%
BIL
SPDR Barclays 1-3 Month T-Bill ETF		1.73%0.40%2.61%5.30%1.92%1.27%

Monthly Returns Heatmap

JanFebMarAprMayJunJulAugSepOctNovDec
2024-5.31%20.33%23.99%-14.37%
20230.44%14.85%17.02%

Expense Ratio

x2mstr 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.

ASFYX
AlphaSimplex Managed Futures Strategy Fund Class Y
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%
TMF
Direxion Daily 20-Year Treasury Bull 3X
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%
TQQQ
ProShares UltraPro QQQ
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%
GLD
SPDR Gold Trust
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%
TIP
iShares TIPS Bond ETF
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%
TLT
iShares 20+ Year Treasury Bond ETF
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%
BIL
SPDR Barclays 1-3 Month T-Bill ETF
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%
VT
Vanguard Total World Stock ETF
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 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.

x2mstr
Sharpe ratio
The chart of Sharpe ratio for x2mstr, currently valued at 1.90, compared to the broader market-1.000.001.002.003.004.005.001.90
Sortino ratio
The chart of Sortino ratio for x2mstr, currently valued at 2.58, compared to the broader market-2.000.002.004.006.002.58
Omega ratio
The chart of Omega ratio for x2mstr, currently valued at 1.32, compared to the broader market0.801.001.201.401.601.801.32
Calmar ratio
The chart of Calmar ratio for x2mstr, currently valued at 1.40, compared to the broader market0.002.004.006.008.0010.001.40
Martin ratio
The chart of Martin ratio for x2mstr, currently valued at 5.69, compared to the broader market0.0010.0020.0030.0040.005.69
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.78, compared to the broader market-1.000.001.002.003.004.005.001.78
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.58, compared to the broader market-2.000.002.004.006.002.58
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.31, compared to the broader market0.801.001.201.401.601.801.31
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.36, compared to the broader market0.002.004.006.008.0010.001.36
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 6.92, compared to the broader market0.0010.0020.0030.0040.006.92
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
ASFYX
AlphaSimplex Managed Futures Strategy Fund Class Y		0.761.101.140.361.66
TMF
Direxion Daily 20-Year Treasury Bull 3X		-0.90-1.280.86-0.48-1.28
TIP
iShares TIPS Bond ETF		-0.13-0.150.98-0.05-0.30
TLT
iShares 20+ Year Treasury Bond ETF		-0.68-0.890.90-0.24-1.10
GLD
SPDR Gold Trust		1.221.851.221.173.33
MSTR
MicroStrategy Incorporated		2.753.031.393.1313.60
TQQQ
ProShares UltraPro QQQ		1.862.371.291.298.10
VT
Vanguard Total World Stock ETF		1.452.121.251.134.82
BIL
SPDR Barclays 1-3 Month T-Bill ETF		19.80191.69118.36240.995,402.84

Sharpe Ratio

The current x2mstr Sharpe ratio is 1.90. This value is calculated based on the past 12 months of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 1.21 to 2.18, this portfolio's current Sharpe ratio lies between the 25th and 75th percentiles. This indicates that the its risk-adjusted performance is in line with the majority of portfolios. This suggests a balanced approach to risk and return, which might be suitable for a broad range of investors.

Use the chart below to compare the Sharpe ratio of x2mstr 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 Ratio0.001.002.003.004.00December2024FebruaryMarchAprilMay
1.90
1.78
x2mstr
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

x2mstr granted a 0.62% dividend yield in the last twelve months.

TTM20232022202120202019201820172016201520142013
x2mstr0.62%0.29%14.09%3.16%1.74%2.27%0.99%0.47%0.56%2.49%6.02%0.70%
Portfolio components:
ASFYX
AlphaSimplex Managed Futures Strategy Fund Class Y		0.89%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		4.08%2.82%1.62%0.13%0.48%0.94%1.49%0.41%0.00%0.00%0.00%0.57%
TIP
iShares TIPS Bond ETF		2.84%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		3.63%3.38%2.67%1.50%1.50%2.27%2.63%2.43%2.60%2.61%2.67%3.26%
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%
MSTR
MicroStrategy Incorporated		0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%0.00%
TQQQ
ProShares UltraPro QQQ		1.34%1.26%0.57%0.00%0.00%0.06%0.11%0.00%0.00%0.01%0.03%0.00%
VT
Vanguard Total World Stock ETF		2.14%2.08%2.20%1.82%1.66%2.32%2.53%2.11%2.39%2.45%2.44%2.06%
BIL
SPDR Barclays 1-3 Month T-Bill ETF		4.74%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.

-40.00%-30.00%-20.00%-10.00%0.00%December2024FebruaryMarchAprilMay
-16.26%
-4.16%
x2mstr
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the x2mstr. 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 x2mstr was 54.99%, occurring on Dec 28, 2022. Recovery took 295 trading sessions.

The current x2mstr drawdown is 16.26%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-54.99%Feb 10, 2021475Dec 28, 2022295Mar 4, 2024770
-28.04%Mar 9, 20208Mar 18, 202029Apr 29, 202037
-21.21%Jan 29, 2018207Nov 20, 2018103Apr 23, 2019310
-17.71%Sep 24, 2012187Jun 24, 201389Oct 29, 2013276
-16.26%Mar 28, 202423Apr 30, 2024———

Volatility

Volatility Chart

The current x2mstr volatility is 8.45%, 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.

0.00%5.00%10.00%15.00%December2024FebruaryMarchAprilMay
8.45%
3.95%
x2mstr
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.
BILASFYXGLDMSTRTIPTQQQVTTMFTLT
BIL1.000.010.000.000.00-0.010.000.020.02
ASFYX0.011.000.050.070.050.170.190.020.02
GLD0.000.051.000.010.360.020.100.250.25
MSTR0.000.070.011.00-0.060.530.52-0.17-0.16
TIP0.000.050.36-0.061.00-0.06-0.060.730.73
TQQQ-0.010.170.020.53-0.061.000.84-0.21-0.21
VT0.000.190.100.52-0.060.841.00-0.27-0.27
TMF0.020.020.25-0.170.73-0.21-0.271.001.00
TLT0.020.020.25-0.160.73-0.21-0.271.001.00