Asset Allocation
| Position | Category/Sector | Target Weight |
|---|---|---|
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y | Systematic Trend | 100% |
BIL SPDR Barclays 1-3 Month T-Bill ETF | Government Bonds | -50% |
BTC-USD Bitcoin | 50% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in BTC / 2xASFYX, 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 Every 3 months.
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The earliest data available for this chart is Jul 17, 2012, corresponding to the inception date of BTC-USD
Returns By Period
As of Apr 2, 2026, the BTC / 2xASFYX returned -4.32% Year-To-Date and 44.52% of annualized return in the last 10 years.
| 1D | 1M | YTD | 6M | 1Y | 3Y* | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|---|---|
Benchmark S&P 500 Index | 0.72% | -4.45% | -3.95% | -2.02% | 16.73% | 16.96% | 10.34% | 12.24% |
Portfolio BTC / 2xASFYX | 0.24% | -1.02% | -4.32% | -14.12% | -3.58% | 15.33% | 10.24% | 44.52% |
| Portfolio components: | ||||||||
BTC-USD Bitcoin | 0.51% | -0.38% | -21.63% | -42.21% | -19.49% | 34.49% | 3.06% | 66.45% |
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y | 0.12% | -0.84% | 6.72% | 10.49% | 3.28% | -2.85% | 2.28% | 1.88% |
BIL SPDR Barclays 1-3 Month T-Bill ETF | 0.03% | 0.30% | 0.88% | 1.84% | 4.00% | 4.71% | 3.28% | 2.13% |
Monthly Returns
Based on dividend-adjusted daily data since Jul 18, 2012, BTC / 2xASFYX's average daily return is +0.16%, while the average monthly return is +5.95%. At this rate, your investment would double in approximately 1.0 years.
Historically, 58% of months were positive and 42% were negative. The best month was Nov 2013 with a return of +273.8%, while the worst month was Dec 2013 at -33.9%. The longest winning streak lasted 7 consecutive months, and the longest losing streak was 4 months.
On a daily basis, BTC / 2xASFYX closed higher 54% of trading days. The best single day was Nov 18, 2013 with a return of +38.1%, while the worst single day was Dec 6, 2013 at -20.7%.
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | Total | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2026 | -1.20% | -2.58% | -0.84% | 0.24% | -4.32% | ||||||||
| 2025 | 5.60% | -12.50% | -5.96% | -2.90% | 4.64% | 2.07% | 3.09% | -1.65% | 6.07% | -1.22% | -7.69% | 0.92% | -10.82% |
| 2024 | 0.09% | 26.42% | 12.01% | -5.18% | 3.83% | -7.48% | -0.39% | -10.75% | 5.38% | 0.34% | 22.05% | -1.68% | 45.64% |
| 2023 | 18.90% | 1.37% | 4.82% | 2.88% | -2.64% | 7.65% | -2.92% | -7.78% | 5.18% | 14.58% | -1.05% | 6.68% | 55.15% |
| 2022 | -5.54% | 8.80% | 14.08% | 1.62% | -7.50% | -5.69% | 2.69% | -3.43% | 6.89% | 2.03% | -15.14% | -2.91% | -7.39% |
| 2021 | 6.78% | 23.50% | 18.71% | 1.57% | -14.99% | -4.96% | 9.62% | 6.47% | -6.06% | 24.69% | -10.21% | -9.18% | 43.22% |
Benchmark Metrics
BTC / 2xASFYX has an annualized alpha of 56.95%, beta of 0.41, and R² of 0.03 versus S&P 500 Index. Calculated based on daily prices since July 18, 2012.
- This portfolio captured 219.93% of S&P 500 Index gains but only 43.39% of its losses — a favorable profile for investors.
- Beta of 0.41 may look defensive, but with R² of 0.03 this portfolio is largely uncorrelated with S&P 500 Index — low beta reflects independence, not downside protection. See the Volatility section for a true picture of this portfolio's risk.
- R² of 0.03 means this portfolio moves largely independently of S&P 500 Index — capture ratios reflect limited market correlation rather than active downside protection. Consider using a more representative benchmark.
- Alpha
- 56.95%
- Beta
- 0.41
- R²
- 0.03
- Upside Capture
- 219.93%
- Downside Capture
- 43.39%
Expense Ratio
BTC / 2xASFYX has a high expense ratio of 1.40%, indicating above-average management fees. Below, you can find the expense ratios of the portfolio's funds side by side and easily compare their relative costs.
Return for Risk
Risk / Return Rank
BTC / 2xASFYX ranks 3 for risk / return — in the bottom 3% of portfolios on our site. This means you're taking on significantly more risk than the returns justify. Consider whether the potential upside is worth the volatility, or explore alternatives with better risk / return profiles.
Return / Risk — by metrics
| Portfolio | Benchmark | Difference | |
|---|---|---|---|
Sharpe ratioReturn per unit of total volatility | -0.13 | 0.92 | -1.05 |
Sortino ratioReturn per unit of downside risk | 0.01 | 1.41 | -1.41 |
Omega ratioGain probability vs. loss probability | 1.00 | 1.21 | -0.21 |
Calmar ratioReturn relative to maximum drawdown | -0.68 | 1.41 | -2.10 |
Martin ratioReturn relative to average drawdown | -1.37 | 6.61 | -7.98 |
Data is calculated on a 1-year rolling basis and updated daily. The trend shows the change in the indicator over the past month. | |||
How much return does each position deliver for the risk it carries? Higher values mean better reward for the risk taken.
| Risk / Return Rank | Sharpe ratio | Sortino ratio | Omega ratio | Calmar ratio | Martin ratio | |
|---|---|---|---|---|---|---|
BTC-USD Bitcoin | 43 | -0.44 | -0.38 | 0.96 | -1.11 | -1.99 |
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y | 9 | 0.27 | 0.42 | 1.06 | 0.18 | 0.29 |
BIL SPDR Barclays 1-3 Month T-Bill ETF | 100 | 19.52 | 254.20 | 180.39 | 368.00 | 4,131.71 |
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Dividends
Dividend yield
BTC / 2xASFYX provided a -0.55% dividend yield over the last twelve months.
| TTM | 2025 | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | -0.55% | -0.54% | -1.05% | -1.48% | 31.81% | 6.07% | 3.25% | 4.49% | 0.47% | -0.28% | -0.03% | 5.06% |
| Portfolio components: | ||||||||||||
BTC-USD Bitcoin | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% | 0.00% |
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y | 1.42% | 1.52% | 1.46% | 0.99% | 32.48% | 6.07% | 3.40% | 5.51% | 1.30% | 0.07% | 0.01% | 5.06% |
BIL SPDR Barclays 1-3 Month T-Bill ETF | 3.96% | 4.13% | 5.03% | 4.92% | 1.35% | 0.00% | 0.30% | 2.05% | 1.66% | 0.68% | 0.07% | 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.
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Worst Drawdowns
The table below displays the maximum drawdowns of the BTC / 2xASFYX. 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 BTC / 2xASFYX was 67.74%, occurring on Dec 15, 2018. Recovery took 691 trading sessions.
The current BTC / 2xASFYX drawdown is 21.72%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -67.74% | Dec 17, 2017 | 364 | Dec 15, 2018 | 691 | Nov 5, 2020 | 1055 |
| -54% | Dec 5, 2013 | 127 | Apr 10, 2014 | 798 | Jun 16, 2016 | 925 |
| -49.59% | Apr 10, 2013 | 7 | Apr 16, 2013 | 201 | Nov 4, 2013 | 208 |
| -31.3% | Nov 9, 2021 | 75 | Jan 22, 2022 | 639 | Oct 23, 2023 | 714 |
| -31.17% | Dec 18, 2024 | 112 | Apr 8, 2025 | — | — | — |
Volatility
Volatility Chart
The chart below shows the rolling one-month volatility.
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Diversification
Diversification Metrics
Number of Effective Assets
The portfolio contains 3 assets, with an effective number of assets of 0.67, reflecting the diversification based on asset allocation. This number of effective assets suggests a highly concentrated portfolio, where a few assets dominate the allocation, potentially increasing the portfolio's risk due to lack of diversification.
Asset Correlations Table
| Benchmark | BIL | ASFYX | BTC-USD | Portfolio | |
|---|---|---|---|---|---|
| Benchmark | 1.00 | 0.01 | 0.22 | 0.15 | 0.20 |
| BIL | 0.01 | 1.00 | 0.01 | 0.01 | -0.00 |
| ASFYX | 0.22 | 0.01 | 1.00 | 0.03 | 0.33 |
| BTC-USD | 0.15 | 0.01 | 0.03 | 1.00 | 0.92 |
| Portfolio | 0.20 | -0.00 | 0.33 | 0.92 | 1.00 |