x2mstr
Asset Allocation
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
The earliest data available for this chart is Jul 30, 2010, corresponding to the inception date of ASFYX
Returns By Period
As of Nov 16, 2024, the x2mstr returned 66.71% Year-To-Date and 22.42% of annualized return in the last 10 years.
| YTD | 1M | 6M | 1Y | 5Y (annualized) | 10Y (annualized) | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 24.05% | 0.89% | 11.19% | 30.12% | 13.82% | 11.14% |
| x2mstr | 83.92% | 21.47% | 29.90% | 114.02% | 35.39% | 23.58% |
| Portfolio components: | ||||||
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y | -4.28% | -1.80% | -14.66% | -6.02% | 6.49% | 3.31% |
TMF Direxion Daily 20-Year Treasury Bull 3X | -28.39% | -10.57% | -6.55% | -7.19% | -29.89% | -12.35% |
TIP iShares TIPS Bond ETF | 2.59% | -1.27% | 2.57% | 5.51% | 1.88% | 2.07% |
TLT iShares 20+ Year Treasury Bond ETF | -5.20% | -3.05% | 1.00% | 4.14% | -6.00% | -0.32% |
GLD SPDR Gold Trust | 27.24% | -3.19% | 8.48% | 32.66% | 12.04% | 7.76% |
MSTR MicroStrategy Incorporated | 581.64% | 99.45% | 160.08% | 746.64% | 96.25% | 38.61% |
TQQQ ProShares UltraPro QQQ | 54.08% | 3.55% | 20.54% | 75.53% | 34.11% | 34.59% |
VT Vanguard Total World Stock ETF | 17.65% | -0.86% | 7.13% | 24.37% | 11.15% | 9.23% |
BIL SPDR Barclays 1-3 Month T-Bill ETF | 4.65% | 0.39% | 2.56% | 5.28% | 2.28% | 1.56% |
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.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2024 | -5.31% | 20.33% | 23.99% | -13.62% | 11.15% | 1.28% | 3.72% | -4.68% | 8.66% | 1.86% | 83.92% | ||
| 2023 | 28.37% | -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% | -13.98% | -46.52% |
| 2021 | 8.71% | 3.91% | -5.27% | 6.15% | -4.92% | 12.20% | 3.80% | 4.08% | -10.39% | 13.56% | 0.15% | -5.31% | 26.31% |
| 2020 | 8.82% | -1.36% | -3.24% | 12.66% | 2.70% | 3.66% | 11.95% | 8.50% | -5.86% | -2.58% | 33.58% | 8.96% | 101.97% |
| 2019 | 5.15% | 3.14% | 8.84% | 4.34% | -3.65% | 7.64% | 1.12% | 10.64% | -2.71% | 1.37% | 1.79% | -0.26% | 43.09% |
| 2018 | 7.18% | -9.08% | -1.84% | -2.31% | 4.40% | 0.50% | 0.69% | 9.16% | -5.30% | -12.58% | 0.47% | 0.97% | -9.50% |
| 2017 | 4.57% | 4.30% | -0.17% | 2.89% | 2.99% | -1.53% | -2.56% | 3.98% | -2.63% | 5.20% | 2.68% | 1.10% | 22.40% |
| 2016 | 1.77% | 1.78% | 4.73% | -3.11% | 2.28% | 4.66% | 7.11% | -2.66% | -1.03% | -2.83% | -5.81% | 1.30% | 7.64% |
| 2015 | 9.63% | 1.15% | -1.26% | -1.07% | -1.89% | -7.63% | 10.47% | -6.58% | 0.08% | 5.19% | 0.33% | -3.04% | 3.75% |
| 2014 | 2.31% | 5.12% | -3.61% | 3.03% | 9.66% | 2.66% | 1.24% | 8.27% | -3.84% | 7.43% | 9.16% | 0.23% | 48.96% |
| 2013 | 1.39% | 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.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of x2mstr is 73, suggesting that the investment has average results relative to other portfolios in terms of risk-adjusted performance. This ranking is determined by the cumulative 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 | -0.56 | -0.66 | 0.92 | -0.27 | -0.79 |
TMF Direxion Daily 20-Year Treasury Bull 3X | -0.13 | 0.12 | 1.01 | -0.06 | -0.26 |
TIP iShares TIPS Bond ETF | 1.18 | 1.74 | 1.21 | 0.47 | 5.04 |
TLT iShares 20+ Year Treasury Bond ETF | 0.32 | 0.56 | 1.06 | 0.11 | 0.77 |
GLD SPDR Gold Trust | 2.18 | 2.92 | 1.38 | 3.99 | 13.04 |
MSTR MicroStrategy Incorporated | 7.49 | 4.71 | 1.56 | 12.15 | 37.36 |
TQQQ ProShares UltraPro QQQ | 1.57 | 2.03 | 1.27 | 1.60 | 6.56 |
VT Vanguard Total World Stock ETF | 2.16 | 2.96 | 1.39 | 3.10 | 13.89 |
BIL SPDR Barclays 1-3 Month T-Bill ETF | 20.31 | 272.43 | 158.29 | 481.80 | 4,437.10 |
Dividends
Dividend yield
x2mstr provided a 0.43% dividend yield over the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 0.43% | 0.29% | 14.09% | 3.16% | 1.74% | 2.28% | 0.99% | 0.47% | 0.56% | 2.49% | 6.06% | 0.70% |
| Portfolio components: | ||||||||||||
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y | 1.03% | 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 | 3.73% | 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 | 2.40% | 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 | 4.06% | 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 | 1.23% | 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 | 1.85% | 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 | 5.15% | 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 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 4.07%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -54.99% | Feb 10, 2021 | 475 | Dec 28, 2022 | 295 | Mar 4, 2024 | 770 |
| -28.04% | Mar 9, 2020 | 8 | Mar 18, 2020 | 29 | Apr 29, 2020 | 37 |
| -21.21% | Jan 29, 2018 | 207 | Nov 20, 2018 | 103 | Apr 23, 2019 | 310 |
| -17.71% | Sep 24, 2012 | 187 | Jun 24, 2013 | 89 | Oct 29, 2013 | 276 |
| -16.66% | Jul 17, 2024 | 16 | Aug 7, 2024 | 51 | Oct 18, 2024 | 67 |
Volatility
Volatility Chart
The current x2mstr volatility is 12.62%, 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
| BIL | ASFYX | GLD | MSTR | TQQQ | TIP | VT | TMF | TLT | |
|---|---|---|---|---|---|---|---|---|---|
| BIL | 1.00 | 0.00 | 0.00 | 0.01 | -0.00 | 0.01 | 0.00 | 0.02 | 0.02 |
| ASFYX | 0.00 | 1.00 | 0.06 | 0.08 | 0.18 | 0.05 | 0.20 | 0.02 | 0.02 |
| GLD | 0.00 | 0.06 | 1.00 | 0.02 | 0.03 | 0.36 | 0.11 | 0.25 | 0.25 |
| MSTR | 0.01 | 0.08 | 0.02 | 1.00 | 0.53 | -0.05 | 0.52 | -0.15 | -0.15 |
| TQQQ | -0.00 | 0.18 | 0.03 | 0.53 | 1.00 | -0.05 | 0.84 | -0.20 | -0.20 |
| TIP | 0.01 | 0.05 | 0.36 | -0.05 | -0.05 | 1.00 | -0.05 | 0.74 | 0.74 |
| VT | 0.00 | 0.20 | 0.11 | 0.52 | 0.84 | -0.05 | 1.00 | -0.26 | -0.26 |
| TMF | 0.02 | 0.02 | 0.25 | -0.15 | -0.20 | 0.74 | -0.26 | 1.00 | 1.00 |
| TLT | 0.02 | 0.02 | 0.25 | -0.15 | -0.20 | 0.74 | -0.26 | 1.00 | 1.00 |