2xASFYX / SSO
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% |
SSO ProShares Ultra S&P 500 | Leveraged Equities, Leveraged | 50% |
Performance
Performance Chart
The chart shows the growth of an initial investment of $10,000 in 2xASFYX / SSO, 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.
The earliest data available for this chart is Jul 30, 2010, corresponding to the inception date of ASFYX
Returns By Period
As of May 9, 2025, the 2xASFYX / SSO returned -22.42% Year-To-Date and 10.00% of annualized return in the last 10 years.
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | -3.70% | 13.67% | -5.18% | 9.18% | 14.14% | 10.43% |
| 2xASFYX / SSO | -22.42% | 11.67% | -24.23% | -24.26% | 14.08% | 10.00% |
| Portfolio components: | ||||||
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y | -17.05% | -1.50% | -17.09% | -26.44% | 1.52% | 0.31% |
SSO ProShares Ultra S&P 500 | -10.85% | 27.04% | -14.12% | 10.56% | 24.52% | 17.87% |
BIL SPDR Barclays 1-3 Month T-Bill ETF | 1.45% | 0.33% | 2.14% | 4.79% | 2.56% | 1.77% |
Monthly Returns
The table below presents the monthly returns of 2xASFYX / SSO, 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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2025 | 3.34% | -4.98% | -10.68% | -12.08% | 0.61% | -22.42% | |||||||
| 2024 | 1.03% | 9.38% | 6.30% | -1.86% | 3.19% | -0.71% | -1.22% | -4.35% | 3.17% | -6.20% | 7.75% | -2.74% | 13.18% |
| 2023 | 5.05% | -1.48% | -6.34% | 2.81% | 0.99% | 8.15% | 2.16% | -4.21% | -2.14% | -2.22% | 1.82% | 4.09% | 8.02% |
| 2022 | -2.54% | 0.39% | 15.17% | 1.56% | -1.41% | 0.36% | 3.65% | -0.42% | -1.65% | 7.03% | -1.20% | -7.81% | 12.05% |
| 2021 | -1.54% | 6.87% | 5.35% | 7.70% | 2.54% | 0.30% | 2.88% | 2.23% | -6.93% | 11.26% | -7.97% | 7.27% | 32.01% |
| 2020 | -0.17% | -7.15% | -7.28% | 12.34% | 2.52% | 0.31% | 10.86% | 8.14% | -7.01% | -2.92% | 14.50% | 8.02% | 32.90% |
| 2019 | 5.01% | 2.84% | 7.14% | 7.63% | -6.92% | 7.85% | 3.03% | 4.70% | -1.07% | -1.09% | 3.39% | 2.25% | 39.51% |
| 2018 | 11.91% | -13.09% | -4.10% | -0.86% | 0.56% | 0.95% | 3.29% | 7.32% | -3.88% | -13.22% | -0.95% | -6.21% | -19.38% |
| 2017 | 1.81% | 6.16% | -1.72% | 0.18% | 1.39% | -1.94% | 4.90% | 1.59% | 1.37% | 6.54% | 3.52% | 1.50% | 27.94% |
| 2016 | 0.76% | 1.65% | 4.60% | -2.35% | -0.60% | 4.19% | 5.25% | -3.71% | -4.06% | -6.22% | 3.05% | 2.97% | 4.84% |
| 2015 | 4.60% | 6.52% | 0.70% | -2.61% | -0.71% | -7.65% | 4.72% | -8.06% | -0.88% | 7.66% | 2.50% | -5.76% | -0.54% |
| 2014 | -6.64% | 5.75% | 0.38% | 2.57% | 5.98% | 3.31% | -0.77% | 9.12% | -0.64% | 1.56% | 9.68% | 2.27% | 36.41% |
Expense Ratio
2xASFYX / SSO has a high expense ratio of 1.85%, 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.
Risk-Adjusted Performance
Risk-Adjusted Performance Rank
The current rank of 2xASFYX / SSO is 0, meaning it’s performing worse than 100% of other portfolios on our website when it comes to balancing risk and reward. Below is a breakdown of how it compares using common performance measures.
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 | -1.97 | -2.44 | 0.68 | -0.73 | -1.74 |
SSO ProShares Ultra S&P 500 | 0.28 | 0.65 | 1.10 | 0.31 | 1.09 |
BIL SPDR Barclays 1-3 Month T-Bill ETF | 20.66 | 249.02 | 144.77 | 439.34 | 4,046.93 |
Dividends
Dividend yield
2xASFYX / SSO provided a -0.11% dividend yield over the last twelve months.
| TTM | 2024 | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | -0.11% | -0.62% | -1.39% | 32.06% | 6.16% | 3.35% | 4.74% | 0.85% | -0.08% | 0.23% | 5.38% | 13.80% |
| Portfolio components: | ||||||||||||
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y | 1.77% | 1.47% | 0.98% | 32.48% | 6.07% | 3.40% | 5.51% | 1.30% | 0.07% | 0.01% | 5.06% | 13.64% |
SSO ProShares Ultra S&P 500 | 0.94% | 0.85% | 0.18% | 0.50% | 0.18% | 0.20% | 0.50% | 0.75% | 0.39% | 0.51% | 0.63% | 0.32% |
BIL SPDR Barclays 1-3 Month T-Bill ETF | 4.69% | 5.03% | 4.92% | 1.35% | 0.00% | 0.30% | 2.05% | 1.66% | 0.68% | 0.07% | 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 2xASFYX / SSO. 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 2xASFYX / SSO was 37.19%, occurring on Apr 8, 2025. The portfolio has not yet recovered.
The current 2xASFYX / SSO drawdown is 29.85%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -37.19% | Jul 17, 2024 | 183 | Apr 8, 2025 | — | — | — |
| -33.48% | Jan 29, 2018 | 229 | Dec 24, 2018 | 266 | Jan 15, 2020 | 495 |
| -26.65% | Feb 21, 2020 | 22 | Mar 23, 2020 | 91 | Jul 31, 2020 | 113 |
| -23.45% | May 2, 2011 | 108 | Oct 3, 2011 | 380 | Apr 10, 2013 | 488 |
| -21.21% | Apr 16, 2015 | 92 | Aug 25, 2015 | 515 | Sep 11, 2017 | 607 |
Volatility
Volatility Chart
The current 2xASFYX / SSO volatility is 10.03%, 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
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
| ^GSPC | BIL | ASFYX | SSO | Portfolio | |
|---|---|---|---|---|---|
| ^GSPC | 1.00 | -0.01 | 0.19 | 1.00 | 0.83 |
| BIL | -0.01 | 1.00 | -0.01 | -0.01 | -0.03 |
| ASFYX | 0.19 | -0.01 | 1.00 | 0.19 | 0.64 |
| SSO | 1.00 | -0.01 | 0.19 | 1.00 | 0.83 |
| Portfolio | 0.83 | -0.03 | 0.64 | 0.83 | 1.00 |