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.