Strategy: αc UI Global Flexible
Investment Objective
Aggressive Long-Term Capital Appreciation
Annualized Return
9.1%
Time
Horizon
5+ years
Rebalancing Frequency
N/A
This strategy applies extra downside protection to one of CADELAM's best funds in terms of risk-reward, namely Universal Invest Global Flexible.
During times of decline, the strategy will switch to a cash-like instrument to avoid large drawdowns. More specifically, we use the AMBD Liquidity Fund as cash instrument. Since the fund only exists since October 2007, we simply use cash pre-October 2007.
Compared to a buy-and-hold approach where we stay invested in Universal Invest Global Flexible, the strategy results in a lower volatility portfolio with larger returns in the long run.
About
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.
Performance
| Portfolio + Compare with | Initial Balance | Final Balance | Annual Return | Annual Volatility | Best Year | Worst Year | Max Drawdown | Sharpe Ratio | Sortino Ratio |
|---|---|---|---|---|---|---|---|---|---|
| $10,000 | $84,652 | 9.1% | 6.5% | 35.9% | -6.6% | -10.7% | 1.36 | 2.29 | |
| $10,000 | $60,376 | 7.6% | 9% | 28.5% | -23.6% | -32.1% | 0.85 | 1.23 |
- 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 1996.
- Final balance: The amount of capital we've accrued over time as of December 2020.
- 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 25 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.
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 UI Global Flexible
| Drawdown | Peak date | Valley date | Recovery date | Duration |
|---|---|---|---|---|
| -10.66% | 2015-04-15 | 2015-12-14 | 2017-02-13 | 479 days |
| -9.49% | 2020-02-19 | 2020-06-11 | 2020-11-11 | 191 days |
| -9.49% | 2018-01-23 | 2018-10-11 | 2020-01-13 | 515 days |
| -8.84% | 1997-08-22 | 1997-11-10 | 1998-02-09 | 122 days |
| -8.42% | 2010-04-15 | 2011-11-24 | 2012-02-03 | 472 days |
The αc UI Global Flexible took approximately 12 months on average to recover from a major drawdown.
Universal Invest Global Flexible C Cap
| Drawdown | Peak date | Valley date | Recovery date | Duration |
|---|---|---|---|---|
| -32.11% | 2007-07-19 | 2009-03-09 | 2011-01-12 | 910 days |
| -24.03% | 2020-02-19 | 2020-03-23 | 2020-11-11 | 191 days |
| -19.96% | 2002-04-26 | 2003-03-10 | 2004-01-12 | 447 days |
| -17.09% | 2015-04-15 | 2016-02-11 | 2017-02-21 | 485 days |
| -13.91% | 2001-06-15 | 2001-09-24 | 2002-04-22 | 222 days |
The Universal Invest Global Flexible C Cap took approximately 15 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.
Annual Returns
Monthly Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1996 | - | - | - | - | 0.1% | -0.1% | 0 | -0.1% | 0.9% | 1.4% | 1.3% | 1.5% |
| 1997 | 2.4% | 2% | 0.6% | -0.1% | 1.8% | 3.9% | 4.4% | -3% | 0.3% | -3% | 0.5% | 0.3% |
| 1998 | 4.7% | 6.3% | 6.7% | 0.3% | 1.3% | 4.5% | 3.4% | -2.9% | 0 | 0 | 7.2% | 0 |
| 1999 | 1.2% | 2.5% | 1.3% | 1.5% | 0.5% | 0.1% | 3.1% | -1.9% | -1.4% | 0 | 8.4% | 4.3% |
| 2000 | 3% | 11.9% | -1.7% | -2% | -0.1% | 1% | -1.9% | 4.6% | 1.3% | 0 | 0 | 0 |
| 2001 | 0 | 0 | 0 | 0 | 0 | 0 | -1.2% | 0 | 0 | 0 | 0 | 0.6% |
| 2002 | 2.8% | -0.6% | 0.4% | -0.4% | 0 | 0 | 0 | 0 | 0 | 0 | 0 | -0.8% |
| 2003 | -0.1% | -0.3% | 1.2% | 3.7% | 3.8% | 3.3% | 1% | 3.3% | 0.2% | 0.7% | 1.5% | 1% |
| 2004 | 3.7% | 2.4% | -0.5% | 3.1% | -3% | 0.9% | -0.1% | 0 | 1% | 1.1% | 3.3% | 1.7% |
| 2005 | 2% | 2% | 0.4% | 0.1% | 0 | 2.4% | 2.4% | -0.1% | 2.4% | -0.5% | 3.8% | 2.5% |
| 2006 | 2.6% | 1.7% | 0.7% | 0.6% | -3.5% | -2.3% | 0 | 1.8% | 2.4% | 2.1% | 0.2% | 2% |
| 2007 | 1.9% | 1.2% | -2.5% | 2% | 1.5% | 0.2% | -1.6% | 0 | -0.3% | 0.7% | -0.6% | 0.4% |
| 2008 | 0.4% | 0.3% | 0.3% | 0.4% | -0.4% | 0.3% | 0.4% | 0.4% | 0.4% | 0.4% | 0.3% | 0.3% |
| 2009 | 0.2% | 0.1% | 0.1% | 1.6% | 4.7% | 1% | 5.7% | 3.6% | 4.3% | -0.3% | 0.2% | 3.3% |
| 2010 | 1.5% | -0.1% | 3.2% | 0.1% | -3.6% | 0 | 0 | -0.1% | 0.7% | 1% | -1.8% | 2.7% |
| 2011 | 0.5% | 1.4% | -0.6% | 0.5% | 0.5% | -2.8% | -1.6% | -0.7% | 0.1% | 0.1% | -1.6% | 2% |
| 2012 | 4.1% | 2.8% | 0 | -1% | -2% | 1% | 3% | 0.2% | 1.1% | 1.2% | -0.4% | 2% |
| 2013 | 1.3% | 1.2% | 1.2% | 1.5% | 1.1% | -3.5% | 2.6% | -0.3% | 2.2% | 2.7% | 1.3% | 0.4% |
| 2014 | -0.9% | -0.2% | 1.2% | 0.2% | 2.1% | 0.6% | 0.1% | 1% | -0.1% | -5.1% | 2% | -0.6% |
| 2015 | 3.9% | 3.8% | 1.7% | 1.2% | 0.5% | -2.8% | 0.1% | -1.6% | 0 | 0 | 0.3% | -2.6% |
| 2016 | -0.9% | 0 | 0.6% | 1.2% | 1% | -0.6% | 2% | 1.1% | -0.5% | 0.9% | -0.1% | 2% |
| 2017 | 0.3% | 3% | 1.1% | -0.2% | 0.1% | -0.8% | 0.1% | -0.7% | 1.4% | 1.8% | -1% | -0.1% |
| 2018 | 1.1% | -1.6% | -1.7% | -0.2% | -1.3% | -1.1% | 1.4% | -1.1% | 0.4% | -2.4% | -0.1% | 0 |
| 2019 | 0 | 1.8% | 1.5% | 2.3% | -3.8% | 0.8% | 1.2% | -2.4% | 2% | 0.4% | 2.3% | 1.5% |
| 2020 | -0.1% | -4.8% | 0.5% | 0 | 0 | 0.6% | 1.7% | 3.8% | -1.5% | -0.5% | 6.3% | -0.4% |
| Pos | 81.8% | 72.7% | 77.3% | 72.7% | 61.9% | 63.6% | 76.2% | 42.9% | 76.2% | 68.4% | 68.2% | 77.3% |
| Avg | 1.6% | 1.7% | 0.7% | 0.7% | 0.1% | 0.3% | 1.2% | 0.2% | 0.8% | 0.1% | 1.5% | 1.1% |
Transaction details
Summary
A complete trade consists of 2 transactions.
| Total number of trades | 78 |
|---|---|
| Percent profitable | 44% |
| Winning trades | 34 |
| Losing trades | 22 |
| Even trades | 22 |
Returns
How much profit was made with each trade.
| Avg returns all trades | 2.36% |
|---|---|
| Avg returns winning | 6.03% |
| Avg returns losing | -0.96% |
| Largest winning trade | 31.87% |
| Largest losing trade | -4.29% |
Duration
How long a position was held.
| Avg duration | 114 days |
|---|---|
| Median duration | 61 days |
| Longest duration | 695 days |
| Shortest duration | 14 days |
Allocation
The bond to equity ratio for this portfolio is dynamic through time. The provided values are the average historical percentages from May 1996 to December 2020. For 27.4% of the time, the portfolio was allocated to bonds, and 72.6% of the time to equities.