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x2mstr

Last updated Oct 2, 2023

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 Trend40%
TMF
Direxion Daily 20-Year Treasury Bull 3X
Leveraged Bonds, Leveraged20%
TIP
iShares TIPS Bond ETF
Inflation-Protected Bonds10%
TLT
iShares 20+ Year Treasury Bond ETF
Government Bonds10%
GLD
SPDR Gold Trust
Precious Metals, Gold7%
MSTR
MicroStrategy Incorporated
Technology20%
TQQQ
ProShares UltraPro QQQ
Leveraged Equities, Leveraged20%
VT
Vanguard Total World Stock ETF
Large Cap Growth Equities7%

Performance

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


-5.00%0.00%5.00%10.00%15.00%20.00%MayJuneJulyAugustSeptember
-4.31%
4.57%
x2mstr
Benchmark (^GSPC)
Portfolio components

Returns

As of Oct 2, 2023, the x2mstr returned 31.09% Year-To-Date and 18.16% of annualized return in the last 10 years.


1 month6 monthsYear-To-Date1 year5 years (annualized)10 years (annualized)
Benchmark-5.04%4.35%11.68%19.59%7.99%9.86%
x2mstr-8.95%-3.47%31.09%14.28%18.21%18.16%
ASFYX
AlphaSimplex Managed Futures Strategy Fund Class Y
2.38%5.44%-3.80%-11.57%9.59%6.69%
TMF
Direxion Daily 20-Year Treasury Bull 3X
-19.76%-44.92%-35.56%-42.40%-21.53%-7.98%
TIP
iShares TIPS Bond ETF
-1.41%-4.12%-0.68%1.22%1.96%1.57%
TLT
iShares 20+ Year Treasury Bond ETF
-6.49%-15.26%-9.01%-10.72%-3.37%0.61%
GLD
SPDR Gold Trust
-4.81%-6.42%1.07%10.85%8.56%3.04%
MSTR
MicroStrategy Incorporated
-6.60%12.30%131.89%54.66%19.97%12.19%
TQQQ
ProShares UltraPro QQQ
-15.48%26.89%108.48%87.65%15.41%34.69%
VT
Vanguard Total World Stock ETF
-4.59%2.30%9.66%20.71%6.52%7.71%
BIL
SPDR Barclays 1-3 Month T-Bill ETF
0.38%2.51%3.56%4.43%1.56%0.95%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20238.90%3.17%0.39%7.79%5.64%-9.06%

Sharpe Ratio

The current x2mstr Sharpe ratio is 0.26. A Sharpe ratio between 0 and 1.0 is considered sub-optimal.

-1.000.001.002.003.004.000.26

The Sharpe ratio of x2mstr 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-0.500.000.501.00MayJuneJulyAugustSeptember
0.26
0.89
x2mstr
Benchmark (^GSPC)
Portfolio components

Dividend yield

x2mstr granted a 13.77% dividend yield in the last twelve months.


TTM20222021202020192018201720162015201420132012
x2mstr13.77%14.10%4.00%2.68%3.31%1.33%0.57%0.66%3.70%9.53%0.86%1.80%
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%
TMF
Direxion Daily 20-Year Treasury Bull 3X
3.72%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
2.45%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
3.56%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%
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
1.44%0.57%0.00%0.00%0.06%0.11%0.00%0.00%0.01%0.03%0.00%0.00%
VT
Vanguard Total World Stock ETF
2.12%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 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.


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
-0.77
TMF
Direxion Daily 20-Year Treasury Bull 3X
-0.85
TIP
iShares TIPS Bond ETF
-0.12
TLT
iShares 20+ Year Treasury Bond ETF
-0.68
GLD
SPDR Gold Trust
0.77
MSTR
MicroStrategy Incorporated
0.60
TQQQ
ProShares UltraPro QQQ
0.92
VT
Vanguard Total World Stock ETF
1.06
BIL
SPDR Barclays 1-3 Month T-Bill ETF
15.21

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
BIL1.000.00-0.00-0.00-0.00-0.01-0.000.020.02
ASFYX0.001.000.050.070.070.170.190.040.04
GLD-0.000.051.000.010.360.020.100.250.25
MSTR-0.000.070.011.00-0.070.550.54-0.18-0.18
TIP-0.000.070.36-0.071.00-0.07-0.070.720.72
TQQQ-0.010.170.020.55-0.071.000.84-0.23-0.23
VT-0.000.190.100.54-0.070.841.00-0.30-0.30
TMF0.020.040.25-0.180.72-0.23-0.301.001.00
TLT0.020.040.25-0.180.72-0.23-0.301.001.00

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%MayJuneJulyAugustSeptember
-39.63%
-10.60%
x2mstr
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below shows the maximum drawdowns of the x2mstr. 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 x2mstr is 54.99%, recorded on Dec 28, 2022. The portfolio has not recovered from it yet.


Depth

Start

To Bottom

Bottom

To Recover

End

Total

-54.99%Feb 10, 2021475Dec 28, 2022
-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
-13.93%Apr 27, 201545Jun 29, 2015191Apr 1, 2016236

Volatility Chart

The current x2mstr volatility is 4.89%, 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%12.00%MayJuneJulyAugustSeptember
4.89%
3.17%
x2mstr
Benchmark (^GSPC)
Portfolio components