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BTC/ASFYX

Last updated Mar 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

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%OctoberNovemberDecember2024FebruaryMarch
3,954,211.46%
366.33%
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

As of Mar 2, 2024, the BTC/ASFYX returned 26.64% Year-To-Date and 29.05% of annualized return in the last 10 years.


Year-To-Date1 month6 months1 year5 years (annualized)10 years (annualized)
^GSPC
S&P 500
7.70%6.01%13.76%29.03%12.89%10.63%
BTC/ASFYX26.64%24.80%63.11%74.81%36.38%29.11%
BTC-USD
Bitcoin
47.74%44.59%140.44%179.33%46.80%36.87%
ASFYX
AlphaSimplex Managed Futures Strategy Fund Class Y
5.26%4.46%0.46%-8.37%7.50%4.08%

Monthly Returns Heatmap


JanFebMarAprMayJunJulAugSepOctNovDec
20240.38%24.52%
2023-6.52%3.60%14.54%2.02%6.93%

Sharpe Ratio

The current BTC/ASFYX Sharpe ratio is 2.63. A Sharpe ratio higher than 2.0 is considered very good.

0.002.004.002.63

The Sharpe ratio of BTC/ASFYX lies between the 25th and 75th percentiles. It indicates that the portfolio's risk-adjusted performance is in line with the majority of portfolios. This suggests a balanced approach to risk and return, which might be suitable for a broad range of investors.


Rolling 12-month Sharpe Ratio0.501.001.502.002.50OctoberNovemberDecember2024FebruaryMarch
2.63
2.44
BTC/ASFYX
Benchmark (^GSPC)
Portfolio components

Dividend yield

BTC/ASFYX granted a 0.47% dividend yield in the last twelve months.


TTM2023202220212020201920182017201620152014
BTC/ASFYX0.47%0.49%16.24%3.03%1.70%2.76%0.65%0.03%0.00%2.53%6.76%
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
0.93%0.98%32.48%6.07%3.40%5.51%1.30%0.07%0.01%5.06%13.52%

Expense Ratio

The 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.


0.50%1.00%1.50%2.00%1.47%

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
^GSPC
S&P 500
2.44
BTC/ASFYX
2.63
BTC-USD
Bitcoin
2.99
ASFYX
AlphaSimplex Managed Futures Strategy Fund Class Y
0.07

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

Drawdowns Chart

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


-20.00%-15.00%-10.00%-5.00%0.00%OctoberNovemberDecember2024FebruaryMarch00
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.


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 Chart

The current BTC/ASFYX volatility is 6.54%, 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%3.00%4.00%5.00%6.00%7.00%8.00%OctoberNovemberDecember2024FebruaryMarch
6.54%
3.47%
BTC/ASFYX
Benchmark (^GSPC)
Portfolio components
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