BTC/ASFYX
Asset Allocation
| Position | Category/Sector | Weight |
|---|---|---|
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y | Systematic Trend | 50% |
BTC-USD Bitcoin | 50% |
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
The earliest data available for this chart is Jul 30, 2010, corresponding to the inception date of ASFYX
Returns By Period
As of Dec 24, 2024, the BTC/ASFYX returned 54.46% Year-To-Date and 50.33% of annualized return in the last 10 years.
| YTD | 1M | 6M | 1Y | 5Y* | 10Y* | |
|---|---|---|---|---|---|---|
^GSPC S&P 500 | 25.25% | 0.08% | 9.66% | 25.65% | 13.17% | 11.11% |
| BTC/ASFYX | 54.46% | -2.05% | 22.90% | 52.52% | 46.80% | 50.33% |
| Portfolio components: | ||||||
BTC-USD Bitcoin | 124.03% | -3.16% | 57.08% | 120.12% | 67.07% | 76.22% |
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y | -2.66% | -0.37% | -7.82% | -2.98% | 6.72% | 2.99% |
Monthly Returns
The table below presents the monthly returns of BTC/ASFYX, 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 | 0.38% | 24.26% | 10.84% | -6.29% | 4.65% | -5.34% | 0.70% | -7.48% | 4.60% | 2.94% | 20.70% | 54.46% | |
| 2023 | 19.45% | 0.76% | 9.06% | 2.25% | -3.03% | 6.89% | -2.40% | -6.52% | 3.60% | 14.54% | 2.02% | 6.93% | 64.30% |
| 2022 | -7.01% | 7.17% | 8.56% | -3.42% | -7.28% | -10.56% | 6.12% | -5.55% | 2.68% | 2.42% | -11.64% | -2.15% | -21.04% |
| 2021 | 6.92% | 21.40% | 18.83% | 0.22% | -16.18% | -3.88% | 9.56% | 6.75% | -5.20% | 22.61% | -7.22% | -9.97% | 41.41% |
| 2020 | 14.95% | -4.23% | -10.66% | 17.23% | 4.14% | -2.55% | 14.44% | 2.12% | -5.56% | 13.77% | 25.25% | 31.92% | 142.72% |
| 2019 | -5.20% | 5.21% | 6.25% | 17.10% | 33.34% | 20.76% | -2.23% | 1.74% | -7.19% | 4.03% | -9.70% | -2.87% | 68.31% |
| 2018 | -11.46% | -4.72% | -15.42% | 15.89% | -11.56% | -7.37% | 10.80% | -3.38% | -5.24% | -5.39% | -19.48% | -1.45% | -48.42% |
| 2017 | 0.40% | 11.96% | -5.88% | 12.85% | 39.78% | 5.46% | 9.37% | 34.17% | -5.60% | 27.16% | 35.10% | 24.24% | 420.32% |
| 2016 | -4.31% | 9.42% | -3.02% | 2.49% | 8.68% | 16.46% | -2.95% | -5.87% | 0.76% | 5.33% | 3.17% | 16.85% | 53.96% |
| 2015 | -12.51% | 7.52% | -0.40% | -3.40% | -2.22% | 4.24% | 5.44% | -10.85% | 1.97% | 15.91% | 12.58% | 6.81% | 23.24% |
| 2014 | 3.51% | -17.38% | -7.50% | -0.03% | 21.12% | 1.75% | -3.99% | -6.42% | -7.37% | -6.66% | 9.24% | -5.83% | -22.11% |
| 2013 | 23.53% | 33.69% | 137.26% | 29.00% | -5.76% | -15.42% | 5.63% | 13.32% | -0.04% | 28.56% | 268.03% | -29.19% | 1,515.09% |
Expense Ratio
BTC/ASFYX features an expense ratio of 0.74%, falling within the medium range. 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 BTC/ASFYX is 12, meaning it’s performing worse than 88% 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 | |
|---|---|---|---|---|---|
BTC-USD Bitcoin | 1.56 | 2.30 | 1.23 | 1.37 | 7.28 |
ASFYX AlphaSimplex Managed Futures Strategy Fund Class Y | -1.42 | -1.79 | 0.77 | -0.11 | -1.61 |
Dividends
Dividend yield
BTC/ASFYX provided a 0.73% dividend yield over the last twelve months.
| TTM | 2023 | 2022 | 2021 | 2020 | 2019 | 2018 | 2017 | 2016 | 2015 | 2014 | 2013 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| Portfolio | 0.73% | 0.49% | 16.24% | 3.03% | 1.70% | 2.76% | 0.65% | 0.03% | 0.00% | 2.53% | 6.82% | 0.00% |
| 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 | 1.45% | 0.98% | 32.48% | 6.07% | 3.40% | 5.51% | 1.30% | 0.07% | 0.01% | 5.06% | 13.64% | 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 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 6.78%.
Depth | Start | To Bottom | Bottom | To Recover | End | Total |
|---|---|---|---|---|---|---|
| -73.47% | Jun 10, 2011 | 163 | Nov 19, 2011 | 459 | Feb 20, 2013 | 622 |
| -63.15% | Dec 17, 2017 | 364 | Dec 15, 2018 | 691 | Nov 5, 2020 | 1055 |
| -56.87% | Dec 5, 2013 | 406 | Jan 14, 2015 | 709 | Dec 23, 2016 | 1115 |
| -50.52% | Apr 11, 2013 | 7 | Apr 17, 2013 | 202 | Nov 5, 2013 | 209 |
| -44.47% | Nov 8, 2010 | 29 | Dec 6, 2010 | 56 | Jan 31, 2011 | 85 |
Volatility
Volatility Chart
The current BTC/ASFYX volatility is 8.46%, 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
| ASFYX | BTC-USD | |
|---|---|---|
| ASFYX | 1.00 | 0.02 |
| BTC-USD | 0.02 | 1.00 |