αlphacubator

αc UI Global Flexible

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.

 This strategy applies extra downside protection to one of CADELAM's best funds in terms of risk-rewa...
15 May 1996  –  11 June 2021
Compare with
Universal Invest Global Flexible C Cap (UNIVGFCC.EU)

Performance

Annualized Return
9.01%
αc UI Global Flexible
7.81%
Universal Invest Global Flexible C Cap
Sharpe Ratio
1.34
αc UI Global Flexible
0.86
Universal Invest Global Flexible C Cap
Maximum Drawdown
-11.8%
αc UI Global Flexible
-32.11%
Universal Invest Global Flexible C Cap

Metrics

Metric αc UI Global Flexible Universal Invest Global Flexible C Cap
Initial Balance $10,000 $10,000
Final Balance $87,156 $65,917
Returns
Month-To-Date 1.48% 1.48%
Year-To-Date 7.76% 7.76%
3M 4.69% 4.69%
6M 8.77% 8.77%
Annual Return (1Y) 18.39% 18.39%
Annual Return (3Y) 5% 7.12%
Annual Return (5Y) 4.38% 6.55%
Annual Return (10Y) 4.89% 6.26%
Annual Return (All) 9.01% 7.81%
Enh Ann Return 8.76% 8.65%
Best Year 35.93% 28.47%
Worst Year -9.6% -23.55%
Risk
Annual Volatility 6.5% 8.86%
Max Drawdown -11.8% -32.11%
Sharpe Ratio 1.34 0.86
Sortino Ratio 2.25 1.26
Enhanced Sortino 2.87 2.03

  • 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 June 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 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.

Chart

Table

Year αc UI Global Flexible Universal Invest Global Flexible C Cap Won
1996 5.26% 5.8%
1997 10.05% 10.05%
1998 35.93% 22.75%
1999 20.79% 25.61%
2000 16.55% 20.4%
2001 -0.68% 3.79%
2002 1.3% -12.23%
2003 20.75% 14.24%
2004 14.05% 15.8%
2005 18.77% 17.32%
2006 8.33% 10.86%
2007 0.43% 1.16%
2008 3.46% -23.55%
2009 27.15% 28.47%
2010 3.36% 6.55%
2011 -2.43% -6.06%
2012 12.44% 15.74%
2013 12.13% 12.12%
2014 -0.06% 6.01%
2015 4.42% 4.11%
2016 6.83% 5.66%
2017 5.11% 5.11%
2018 -9.6% -8.53%
2019 7.82% 16.92%
2020 6.67% 6.72%
2021 7.76% 7.76%

αc UI Global Flexible had 22 positive years and 4 negative years. That's a positive ratio of 85%.

Universal Invest Global Flexible C Cap had 22 positive years and 4 negative years. That's a positive ratio of 85%.

αc UI Global Flexible had a better yearly return 42% of the time compared to Universal Invest Global Flexible C Cap.

Table

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
1996 0% 0% 0% 0% 0.1% -0.1% -0% -0.1% 0.9% 1.4% 1.3% 1.5% 5.2%
1997 2.4% 2% 0.6% -0.1% 1.8% 3.9% 4.4% -3% 0.3% -3% 0.5% 0.3% 10%
1998 4.7% 6.3% 6.7% 0.3% 1.3% 4.5% 3.4% -2.9% 0% 0% 7.2% 0% 31.3%
1999 1.2% 2.5% 1.3% 1.5% 0.5% 0.1% 3.1% -1.9% -1.4% 0% 8.4% 4.3% 19.3%
2000 3% 11.9% -1.7% -2% -0.1% 1% -1.9% 4.6% 1.3% 0% 0% 0% 16%
2001 0% 0% 0% 0% 0% 0% -1.2% 0% 0% 0% 0% 0.6% -0.7%
2002 2.8% -0.6% 0.4% -0.4% 0% 0% 0% 0% 0% 0% 0% -0.8% 1.3%
2003 -0.1% -0.3% 1.2% 3.7% 3.8% 3.3% 1% 3.3% 0.2% 0.7% 1.5% 1% 19.1%
2004 3.7% 2.4% -0.5% 3.1% -3% 0.9% -0.1% 0% 1% 1.1% 3.3% 1.7% 13.3%
2005 2% 2% 0.4% 0.1% 0% 2.4% 2.4% -0.1% 2.4% -0.5% 3.8% 2.5% 17.3%
2006 2.6% 1.7% 0.7% 0.6% -3.5% -2.3% 0% 1.8% 2.4% 2.1% 0.2% 2% 8.2%
2007 1.9% 1.2% -2.5% 2% 1.5% 0.2% -1.6% 0% -0.3% 0.7% -3.1% 0.4% 0.6%
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% 3.4%
2009 0.2% 0.1% 0.1% 1.6% 4.7% 1% 5.7% 3.6% 4.3% -0.3% 0.2% 3.3% 24.1%
2010 1.5% -0.1% 3.2% 0.1% -3.6% 0% 0% -0.1% 0.7% 1% -1.8% 2.7% 3.5%
2011 0.5% 1.4% -0.6% 0.5% 0.5% -2.8% -1.6% -0.7% 0.1% 0.1% -1.6% 2% -2.3%
2012 4.1% 2.8% -0% -1% -2% 1% 3% 0.2% 1.1% 1.2% -0.4% 2% 11.8%
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% 11.6%
2014 -0.9% -0.2% 1.2% 0.2% 2.1% 0.6% 0.1% 1% -0.1% -5.1% 2% -0.6% 0.1%
2015 3.9% 3.8% 1.7% 1.2% 0.5% -2.8% 0.1% -1.6% -0% -0% 0.3% -2.6% 4.6%
2016 -0.9% 0% 0.6% 1.2% 1% -0.6% 2% 1.1% -0.5% 0.9% -0.1% 2% 6.8%
2017 0.3% 3% 1.1% -0.2% 0.1% -0.8% 0.1% -0.7% 1.4% 1.8% -1% -0.1% 5.1%
2018 1.1% -1.6% -1.7% -0.2% -1.3% -1.1% 1.4% -1.1% 0.4% -2.4% -0.1% -3.3% -9.9%
2019 0% 1.8% 1.5% 2.3% -3.8% 0.8% 1.2% -2.4% 2% 0.4% 2.3% 1.5% 7.7%
2020 -0.1% -4.8% 0.5% -0% -0% 1.1% 1.2% 3.2% -0.7% -1.4% 6.5% 1.3% 6.9%
2021 -0.2% 1.1% 3.8% 1% 0.4% 1.5% 0% 0% 0% 0% 0% 0% 7.6%
Pos 78.3% 75% 75% 70.8% 60.9% 66.7% 73.9% 42.9% 72.7% 65% 68.2% 79.2% 88.5%
Avg 1.5% 1.6% 0.8% 0.7% 0.1% 0.4% 1.1% 0.2% 0.8% 0.1% 1.4% 0.9% 8.5%

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

start valley end Drawdown days
2018-01-24 2019-02-08 2020-11-16 -11.8% 1027
2015-04-16 2015-12-14 2017-02-13 -10.66% 669
1997-08-25 1997-11-10 1998-02-09 -8.85% 168
2010-04-16 2011-11-24 2012-02-03 -8.42% 658
2014-09-08 2014-12-16 2015-02-18 -8.39% 163

The αc UI Global Flexible took approximately 18 months on average to recover from a major drawdown.

Universal Invest Global Flexible C Cap

start valley end Drawdown days
2007-07-20 2009-03-09 2011-01-12 -32.11% 1272
2020-02-20 2020-03-23 2020-11-11 -24.03% 265
2002-04-29 2003-03-10 2004-01-12 -19.96% 623
2015-04-16 2016-02-11 2017-02-21 -17.09% 677
2001-06-18 2001-09-24 2002-04-22 -13.91% 308

The Universal Invest Global Flexible C Cap took approximately 21 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.