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BTC/ASFYX
Performance
Risk-Adjusted Performance
Dividends
Drawdowns
Volatility
Diversification

BTC/ASFYX

Last updated May 2, 2024

Asset Allocation

ASFYX 50%BTC-USD 50%AlternativesAlternativesCryptocurrencyCryptocurrency
PositionCategory/SectorWeight
ASFYX
AlphaSimplex Managed Futures Strategy Fund Class Y		Systematic Trend

50%

BTC-USD
Bitcoin

50%

S&P 500

Performance

Performance Chart

The chart shows the growth of an initial investment of $10,000 in BTC/ASFYX, 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

0.00%1,000,000.00%2,000,000.00%3,000,000.00%4,000,000.00%December2024FebruaryMarchAprilMay
3,927,208.21%
355.55%
BTC/ASFYX
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 May 2, 2024, the BTC/ASFYX returned 25.78% Year-To-Date and 47.19% of annualized return in the last 10 years.

Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500		5.21%-4.30%18.42%21.82%11.27%10.33%
BTC/ASFYX25.78%-8.24%35.88%55.82%48.65%47.19%
Portfolio components:
BTC-USD
Bitcoin		37.83%-16.42%64.39%103.11%58.62%63.13%
ASFYX
AlphaSimplex Managed Futures Strategy Fund Class Y		9.32%0.30%2.00%5.98%9.95%6.16%

Monthly Returns Heatmap

JanFebMarAprMayJunJulAugSepOctNovDec
20240.38%24.26%10.84%-6.43%
202314.54%2.02%6.93%

Expense Ratio

BTC/ASFYX has a high expense ratio of 0.74%, 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.

ASFYX
AlphaSimplex Managed Futures Strategy Fund Class Y
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%

Risk-Adjusted Performance

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.

BTC/ASFYX
Sharpe ratio
The chart of Sharpe ratio for BTC/ASFYX, currently valued at 3.50, compared to the broader market-1.000.001.002.003.004.005.003.50
Sortino ratio
The chart of Sortino ratio for BTC/ASFYX, currently valued at 4.13, compared to the broader market-2.000.002.004.006.004.13
Omega ratio
The chart of Omega ratio for BTC/ASFYX, currently valued at 1.48, compared to the broader market0.801.001.201.401.601.801.48
Calmar ratio
The chart of Calmar ratio for BTC/ASFYX, currently valued at 2.37, compared to the broader market0.002.004.006.008.002.37
Martin ratio
The chart of Martin ratio for BTC/ASFYX, currently valued at 33.80, compared to the broader market0.0010.0020.0030.0040.0033.80
^GSPC
Sharpe ratio
The chart of Sharpe ratio for ^GSPC, currently valued at 1.74, compared to the broader market-1.000.001.002.003.004.005.001.74
Sortino ratio
The chart of Sortino ratio for ^GSPC, currently valued at 2.53, compared to the broader market-2.000.002.004.006.002.53
Omega ratio
The chart of Omega ratio for ^GSPC, currently valued at 1.30, compared to the broader market0.801.001.201.401.601.801.30
Calmar ratio
The chart of Calmar ratio for ^GSPC, currently valued at 1.33, compared to the broader market0.002.004.006.008.001.33
Martin ratio
The chart of Martin ratio for ^GSPC, currently valued at 6.79, compared to the broader market0.0010.0020.0030.0040.006.79
Portfolio components
Sharpe ratioSortino ratioOmega ratioCalmar ratioMartin ratio
BTC-USD
Bitcoin		4.224.071.472.0834.86
ASFYX
AlphaSimplex Managed Futures Strategy Fund Class Y		0.721.041.130.071.45

Sharpe Ratio

The current BTC/ASFYX Sharpe ratio is 3.50. This value is calculated based on the past 12 months of trading data and takes into account price changes and dividends.

Compared to the broad market, where average Sharpe ratios range from 1.20 to 2.12, 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 BTC/ASFYX 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 Ratio1.002.003.004.00December2024FebruaryMarchAprilMay
3.50
1.74
BTC/ASFYX
Benchmark (^GSPC)
Portfolio components

Dividends

Dividend yield

BTC/ASFYX granted a 0.45% dividend yield in the last twelve months.

TTM2023202220212020201920182017201620152014
BTC/ASFYX0.45%0.49%16.24%3.04%1.70%2.76%0.65%0.03%0.00%2.53%6.76%
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%
ASFYX
AlphaSimplex Managed Futures Strategy Fund Class Y		0.90%0.98%32.48%6.07%3.40%5.51%1.30%0.07%0.01%5.06%13.52%

Drawdowns

Drawdowns Chart

The Drawdowns chart displays portfolio losses from any high point along the way.

-12.00%-10.00%-8.00%-6.00%-4.00%-2.00%0.00%December2024FebruaryMarchAprilMay
-9.84%
-4.49%
BTC/ASFYX
Benchmark (^GSPC)
Portfolio components

Worst Drawdowns

The table below displays the maximum drawdowns of the BTC/ASFYX. 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/ASFYX was 73.47%, occurring on Nov 19, 2011. Recovery took 459 trading sessions.

The current BTC/ASFYX drawdown is 9.84%.

Depth

Start

To Bottom

Bottom

To Recover

End

Total

-73.47%Jun 10, 2011163Nov 19, 2011459Feb 20, 2013622
-63.17%Dec 17, 2017417Feb 6, 2019638Nov 5, 20201055
-56.9%Dec 5, 2013406Jan 14, 2015709Dec 23, 20161115
-50.52%Apr 11, 20137Apr 17, 2013202Nov 5, 2013209
-44.47%Nov 8, 201029Dec 6, 201056Jan 31, 201185

Volatility

Volatility Chart

The current BTC/ASFYX volatility is 8.14%, 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%14.00%December2024FebruaryMarchAprilMay
8.14%
3.91%
BTC/ASFYX
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.
ASFYXBTC-USD
ASFYX1.000.02
BTC-USD0.021.00