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x2mstr
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

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%

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%2,500.00%JulyAugustSeptemberOctoberNovemberDecember
2,257.60%
438.39%
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 Dec 19, 2024, the x2mstr returned 70.76% Year-To-Date and 22.09% of annualized return in the last 10 years.


YTD1M6M1Y5Y*10Y*
^GSPC
S&P 500
24.34%0.23%8.53%24.95%13.01%11.06%
x2mstr73.05%-5.97%22.10%75.44%33.07%22.36%
ASFYX
AlphaSimplex Managed Futures Strategy Fund Class Y
-3.67%-1.39%-8.67%-3.98%6.52%2.92%
TMF
Direxion Daily 20-Year Treasury Bull 3X
-33.50%-6.02%-18.91%-32.79%-30.05%-13.89%
TIP
iShares TIPS Bond ETF
1.64%-0.82%0.65%1.71%1.64%2.11%
TLT
iShares 20+ Year Treasury Bond ETF
-7.02%-1.58%-3.76%-6.64%-6.03%-0.87%
GLD
SPDR Gold Trust
26.64%-3.10%12.72%27.24%11.41%7.96%
MSTR
MicroStrategy Incorporated
476.61%-13.67%145.46%488.14%91.09%36.49%
TQQQ
ProShares UltraPro QQQ
65.52%6.11%12.39%66.67%32.05%35.36%
VT
Vanguard Total World Stock ETF
17.12%-1.32%6.21%17.87%10.17%9.28%
BIL
SPDR Barclays 1-3 Month T-Bill ETF
5.08%0.36%2.51%5.17%2.33%1.60%
*Annualized

Monthly Returns

The table below presents the monthly returns of x2mstr, with color gradation from worst to best to easily spot seasonal factors. Returns are adjusted for dividends.


JanFebMarAprMayJunJulAugSepOctNovDecTotal
2024-5.31%20.33%23.99%-13.62%11.15%1.28%3.72%-4.68%8.66%1.86%20.50%73.05%
202328.37%-2.86%8.90%3.17%0.39%7.79%5.65%-9.16%-9.62%0.44%14.85%17.02%77.52%
2022-13.79%1.08%5.15%-15.96%-8.32%-8.53%21.67%-11.06%-12.24%2.83%-1.42%-14.00%-46.53%
20218.71%3.91%-5.28%6.15%-4.92%12.20%3.80%4.08%-10.39%13.56%0.15%-5.32%26.30%
20208.82%-1.36%-3.24%12.66%2.70%3.66%11.95%8.50%-5.86%-2.58%33.58%8.95%101.97%
20195.15%3.14%8.84%4.34%-3.65%7.64%1.11%10.64%-2.70%1.37%1.79%-0.26%43.08%
20187.18%-9.08%-1.84%-2.31%4.40%0.50%0.69%9.16%-5.30%-12.58%0.47%0.97%-9.50%
20174.57%4.30%-0.17%2.89%2.99%-1.53%-2.56%3.98%-2.63%5.20%2.68%1.10%22.40%
20161.77%1.78%4.73%-3.11%2.28%4.66%7.11%-2.66%-1.03%-2.83%-5.81%1.30%7.64%
20159.63%1.15%-1.26%-1.07%-1.89%-7.63%10.47%-6.59%0.08%5.19%0.33%-3.05%3.74%
20142.32%5.12%-3.61%3.03%9.66%2.66%1.24%8.27%-3.84%7.43%9.16%0.26%49.01%
20131.39%0.76%2.66%5.00%-4.79%-6.95%5.66%-2.87%7.33%9.44%1.77%0.28%20.02%

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.


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 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%
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%
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%
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%
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%
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 Rank

The current rank of x2mstr is 68, indicating average performance compared to other portfolios on our website. Here’s a breakdown of how it compares using common performance measures.


The Risk-Adjusted Performance Rank of x2mstr is 6868
Overall Rank
The Sharpe Ratio Rank of x2mstr is 7575
Sharpe Ratio Rank
The Sortino Ratio Rank of x2mstr is 7272
Sortino Ratio Rank
The Omega Ratio Rank of x2mstr is 6262
Omega Ratio Rank
The Calmar Ratio Rank of x2mstr is 6767
Calmar Ratio Rank
The Martin Ratio Rank of x2mstr is 6464
Martin 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.


Sharpe ratio
The chart of Sharpe ratio for x2mstr, currently valued at 2.17, compared to the broader market-6.00-4.00-2.000.002.004.002.172.10
The chart of Sortino ratio for x2mstr, currently valued at 2.78, compared to the broader market-6.00-4.00-2.000.002.004.006.002.782.80
The chart of Omega ratio for x2mstr, currently valued at 1.34, compared to the broader market0.400.600.801.001.201.401.601.801.341.39
The chart of Calmar ratio for x2mstr, currently valued at 3.11, compared to the broader market0.002.004.006.008.0010.0012.003.113.09
The chart of Martin ratio for x2mstr, currently valued at 11.78, compared to the broader market0.0010.0020.0030.0040.0050.0011.7813.49
x2mstr
^GSPC

Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
ASFYX
AlphaSimplex Managed Futures Strategy Fund Class Y
-0.31-0.320.96-0.15-0.39
TMF
Direxion Daily 20-Year Treasury Bull 3X
-0.84-1.090.88-0.38-1.51
TIP
iShares TIPS Bond ETF
0.290.431.050.121.00
TLT
iShares 20+ Year Treasury Bond ETF
-0.54-0.660.93-0.17-1.13
GLD
SPDR Gold Trust
1.912.531.333.5410.08
MSTR
MicroStrategy Incorporated
4.883.881.458.2824.62
TQQQ
ProShares UltraPro QQQ
1.371.841.251.555.79
VT
Vanguard Total World Stock ETF
1.652.251.302.4110.48
BIL
SPDR Barclays 1-3 Month T-Bill ETF
20.41270.79157.34480.444,409.89

The current x2mstr Sharpe ratio is 2.09. 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 1.28 to 2.09, this portfolio's current Sharpe ratio is in the top 25%, it signifies superior risk-adjusted performance. This means that for the level of risk undertaken, the portfolio is generating impressive returns compared to most others.

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 Ratio1.502.002.503.003.50JulyAugustSeptemberOctoberNovemberDecember
2.17
2.10
x2mstr
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

x2mstr provided a 0.43% dividend yield over the last twelve months.


TTM20232022202120202019201820172016201520142013
Portfolio0.43%0.29%14.09%3.16%2.09%2.28%0.99%0.47%0.56%2.49%6.06%0.70%
ASFYX
AlphaSimplex Managed Futures Strategy Fund Class Y
1.47%0.98%32.48%6.07%3.40%5.51%1.30%0.07%0.01%5.06%13.64%0.00%
TMF
Direxion Daily 20-Year Treasury Bull 3X
2.83%2.82%1.62%0.13%2.23%0.94%1.49%0.41%0.00%0.00%0.00%0.57%
TIP
iShares TIPS Bond ETF
2.52%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
4.25%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
0.88%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
1.94%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
5.03%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.


-15.00%-10.00%-5.00%0.00%JulyAugustSeptemberOctoberNovemberDecember
-9.59%
-2.62%
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 10.79%.


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
-16.66%Jul 17, 202416Aug 7, 202451Oct 18, 202467

Volatility

Volatility Chart

The current x2mstr volatility is 15.51%, 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%JulyAugustSeptemberOctoberNovemberDecember
15.51%
3.79%
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
BIL1.00-0.000.010.010.000.000.000.010.02
ASFYX-0.001.000.070.080.050.180.200.020.01
GLD0.010.071.000.020.360.030.110.250.25
MSTR0.010.080.021.00-0.050.530.52-0.15-0.15
TIP0.000.050.36-0.051.00-0.05-0.050.740.74
TQQQ0.000.180.030.53-0.051.000.84-0.20-0.20
VT0.000.200.110.52-0.050.841.00-0.26-0.25
TMF0.010.020.25-0.150.74-0.20-0.261.001.00
TLT0.020.010.25-0.150.74-0.20-0.251.001.00
The correlation results are calculated based on daily price changes starting from Aug 2, 2010
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The information contained herein does not constitute investment advice and made available for educational purposes only. Prices and returns on equities are listed without consideration of fees, commissions, taxes, penalties, or interest payable due to purchasing, holding, or selling.

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