αc International Equities

The portfolio pursues a strategy that seeks to achieve equity-like returns with lower volatility and drawdowns compared to traditional equity through active ETF selection, risk management and diversification. It is thus expected to produce higher risk-adjusted returns than market indexes.

We use a systematic approach to constructing the portfolio by ranking ETFs in the investment universe using a number of technical indicators and proprietary formulas. We then select a single ETF which is deemed the most attractive compared to the other ETFs, and rebalance once a month. During unfavorable market conditions we invest in fixed-income instruments.

The investment universe for the portfolio is comprised of international equities (U.S. & ex-U.S.) with large-cap and small-cap companies.

The portfolio pursues a strategy that seeks to achieve equity-like returns with lower volatility and...
5 May 1997  –  29 July 2021
Compare with
Vanguard Global Equity Fund Investor Shares (VHGEX)

Performance

Annualized Return
13.28%
αc International Equities
9.31%
Vanguard Global Equity Fund Investor Shares
Sharpe Ratio
1.01
αc International Equities
0.59
Vanguard Global Equity Fund Investor Shares
Maximum Drawdown
-33.7%
αc International Equities
-64.74%
Vanguard Global Equity Fund Investor Shares

Metrics

Metric αc International Equities Vanguard Global Equity Fund Investor Shares
Initial Balance $10,000 $10,000
Final Balance $205,726 $86,529
Returns
Month-To-Date 2.94% 0.92%
Year-To-Date 23.48% 13.28%
3M 6.85% 2.39%
6M 17.49% 9.09%
Annual Return (1Y) 56.91% 36.31%
Annual Return (3Y) 6.54% 15.99%
Annual Return (5Y) 9.94% 16.22%
Annual Return (10Y) 12.14% 11.84%
Annual Return (All) 13.28% 9.31%
Enh Ann Return 13.33% 11.83%
Best Year 40.26% 44.51%
Worst Year -7.68% -46.66%
Risk
Annual Volatility 13.25% 17.72%
Max Drawdown -33.7% -64.74%
Sharpe Ratio 1.01 0.59
Sortino Ratio 1.42 0.82
Enhanced Sortino 2.54 1.32

  • Initial balance: The amount of starting capital used to invest in the asset or portfolio. In this case, we're starting with a $10,000 investment on May 1997.
  • Final balance: The amount of capital we've accrued over time as of July 2021.
  • Annual return: Also known as annualized return, or CAGR (Compound Annual Growth Rate), measures how much an investment has increased on average each year, during a specific time period. The time period in this case is approximately 24 year(s). Even a small difference in return can have a big impact on the final balance over a long period of time.
  • Annual volatility: Basically indicates how much, in percentage points, the investment can deviate from its annual return, under most circumstances. An investment with an annual return of 5% and an annual volatility of 10% would indicate returns from approximately -5% to 15% most of the time. A lower volatility is usually preferred to ensure more steady returns over time.
  • Best year: The best performance attained over its lifetime in a given year.
  • Worst year: The worst performance undergone over its lifetime in a given year.
  • Max drawdown: The largest percentage drop from a peak to a trough of an asset or portfolio, before a new peak is attained. Maximum drawdown is an indicator of downside risk over a specified time period.
  • Sharpe Ratio: The Sharpe ratio measures the performance of an investment compared to a risk-free asset, after adjusting for its risk. A Sharpe Ratio above 1 is considered good.
  • Sortino Ratio: The Sortino Ratio is a variation of the Sharpe ratio that only penalizes the investment for negative volatility/outcomes, and not for positive volatility. A Sortino Ratio above 1 is considered good.

Chart

Table

Year αc International Equities Vanguard Global Equity Fund Investor Shares Won
1997 18.35% 3.92%
1998 -0.9% 9.39%
1999 31.97% 25.95%
2000 3.09% -0.17%
2001 0.8% -5.82%
2002 -0.76% -5.73%
2003 40.26% 44.51%
2004 20.2% 20.09%
2005 16.08% 11.77%
2006 15.55% 23.59%
2007 -2.07% 8.23%
2008 33.92% -46.66%
2009 13.33% 32.98%
2010 20.16% 16.04%
2011 18.33% -8.9%
2012 10.61% 19.52%
2013 29.24% 27.65%
2014 12.29% 4.31%
2015 -7.68% -0.24%
2016 15.78% 6.57%
2017 22.54% 27.78%
2018 -2.81% -9.15%
2019 12.27% 28.73%
2020 -4.8% 22.38%
2021 23.48% 13.28%

αc International Equities had 19 positive years and 6 negative years. That's a positive ratio of 76%.

Vanguard Global Equity Fund Investor Shares had 18 positive years and 7 negative years. That's a positive ratio of 72%.

αc International Equities had a better yearly return 60% of the time compared to Vanguard Global Equity Fund Investor Shares.

Table

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
1997 0% 0% 0% 0% 2.6% 4.1% 7.9% -5.2% 4.8% -2.5% 3.9% 1.9% 18.3%
1998 1.3% 6.9% 4.9% 1.3% -1.1% -2.5% -4.7% -16.6% 3.5% -1.7% 3.7% 6.5% -0%
1999 3.5% -3.2% 4.1% 7.6% -1.2% 5.4% 2.4% 0.3% -0.3% -1.3% 4.3% 7% 28.1%
2000 -0.8% 12.1% -3.7% -7.2% -1.9% -1.6% -1.6% 6.5% -5.5% 2.7% 3% 2.5% 3.5%
2001 0.3% 1.8% -0.6% -2.6% 0.2% 0.8% -1.9% 4.2% 0.9% 5.1% -5.1% -1.8% 1.5%
2002 -2.9% -0.8% -3.9% 2.4% -0.3% -5.2% 0.8% 5.5% 4.3% -3.7% -0.9% 4.5% -0.2%
2003 -7.9% 1.5% -1.4% 4% 9% 3.3% 4% 6.3% 1.9% 8.8% 1.8% 4.2% 34.3%
2004 4.3% 2.1% 2.8% -4.5% 0.4% 4.5% -5.1% -0.1% 3.7% -0.5% 7.7% 4.1% 18.5%
2005 -1.3% 3.2% -2.3% -3.9% 3.1% 3% 5.2% 1% 2.6% -3.3% 4.1% 4.1% 14.9%
2006 7.6% -0.8% 4.7% 2.6% -5.6% -1.5% -2.8% 3.4% 0.1% 4.1% 2% 1.4% 14.5%
2007 1.8% 0.8% 2.5% 3.3% 2.6% -0.7% -3.3% -2.8% 3.8% 1.4% -8.8% -1.8% -1.8%
2008 2.1% -0.5% 2.1% -2.5% -2.7% 2.7% -0.4% 2.7% 1.5% -1.9% 14.3% 13.6% 30.7%
2009 -13.1% -1.5% 4% -7% 7.4% 1.2% 8.8% 6.1% 5.9% -3.9% 2.4% 4.6% 13.4%
2010 -5.5% 3.1% 6.1% 1.5% -7.9% 3.7% -0.9% -5.1% 11.5% 4% 0.5% 9.4% 19.4%
2011 0.9% 4.1% 2% 2.9% -1.1% -4.1% -3.6% 6.6% 13.2% -3.8% 2% -0.7% 18.7%
2012 4.6% 4.3% 3.2% -0.7% -6% -5.4% 1.7% 2.5% 2.5% -1.8% 2.6% 3.2% 10.7%
2013 5.8% 0.8% 3.3% 2.2% 0.4% -2.1% 5.2% -3% 6.4% 3.1% 1.8% 2.4% 26%
2014 -1.8% 5.3% -0.4% -1.6% 2.4% 2.1% -1.3% 3.9% -1.4% 2.4% 2.7% -0.3% 12%
2015 -3% 5.6% -1.6% -0% 1.5% -0.9% -0.4% -5.3% -0.2% -0.4% -1.3% -1.7% -7.1%
2016 4% 3.1% -0.1% 0.1% 1.7% 0.3% 3.6% 0.1% 0% -3.2% 3.2% 2% 15.3%
2017 1.8% 3.9% 0.1% 2.4% 0.7% 1.6% 2.3% -0% 4% 1.5% 2.2% 0.2% 20.6%
2018 5.6% -3.6% -2.7% 0.2% 2.5% 0.6% 3.7% 3.2% 0.6% -6.9% 3.5% -8.3% -1.6%
2019 -0.9% 2.1% 1.8% 4.1% -6.4% 1.8% 0.6% -1.7% 1.9% 2.2% 3.6% 2.9% 12.2%
2020 -2.9% -8.3% -12.5% -6.1% -1.8% -0% 5.9% 7% -3.7% -2.1% 15.4% 7.4% 0.2%
2021 2.1% 5% 2.2% 5.5% 1% 2.8% 2.9% 0% 0% 0% 0% 0% 21.7%
Pos 58.3% 70.8% 58.3% 58.3% 56% 60% 56% 62.5% 79.2% 41.7% 83.3% 75% 80%
Avg 0.2% 2% 0.6% 0.2% -0% 0.5% 1.2% 0.8% 2.6% -0.1% 2.9% 2.8% 13%

Drawdown Periods

Simply said, a drawdown is the "pain" period experienced by an investor between a peak (new highs) and subsequent valley (a low point before moving higher). In the table below are the fifth largest drawdowns encountered for the portfolios/assets in question.

αc International Equities

start valley end Drawdown days
2020-02-20 2020-03-23 2021-02-05 -33.7% 351
1998-04-23 1998-09-08 1999-07-12 -24.67% 445
2008-12-31 2009-05-01 2009-08-21 -19.43% 233
2001-11-08 2002-07-05 2003-07-09 -18.89% 608
2018-09-21 2018-12-24 2020-02-12 -17.64% 509

The αc International Equities took approximately 14 months on average to recover from a major drawdown.

Vanguard Global Equity Fund Investor Shares

start valley end Drawdown days
2007-11-01 2009-03-09 2013-12-23 -64.74% 2244
2020-02-20 2020-03-23 2020-08-05 -33.23% 167
2002-05-20 2002-10-09 2003-08-21 -27.85% 458
1998-04-16 1998-10-05 1999-04-08 -22.97% 357
2001-05-22 2001-09-21 2002-05-14 -21.72% 357

The Vanguard Global Equity Fund Investor Shares took approximately 24 months on average to recover from a major drawdown.

Underwater plot

The underwater plot shows you the drawdown periods on a chart. Whereas the performance chart usually gives you a positive viewpoint, the underwater plot gives you a pessimistic viewpoint. It helps you to visualize downtrends that occurred and how long it took for the portfolio's value to rebound to hit a new high after suffering a loss.