Strategy: αc UI Global Flexible
Investment Objective
Aggressive Long-Term Capital Appreciation
Annualized Return
9.1%
Time
Horizon
5+ years
Rebalancing Frequency
N/A
About
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.
Period: May 1996 - March 2021.
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αc UI Global Flexible
- Annualized Return: 9.14%
- Sharpe: 1.37
- Sortino: 2.31
Universal Invest Global Flexible C Cap- Annualized Return: 7.66%
- Sharpe: 0.85
- Sortino: 1.23
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Chart
Metrics
Metric αc UI Global Flexible Universal Invest Global Flexible C Cap Initial Balance $10,000 $10,000 Final Balance $87,618 $62,492 Returns Month-To-Date 1.23% 1.23% Year-To-Date 2.16% 2.16% 3M 3.54% 3.07% 6M 7.94% 7.39% Annualized Return (1Y) 13.11% 14.63% Annualized Return (3Y) 3.91% 5.71% Annualized Return (5Y) 4.46% 6.04% Annualized Return (10Y) 4.51% 5.52% Annualized Return (All) 9.14% 7.66% Enh Ann Return 8.64% 8.42% Best Year 35.92% 28.47% Worst Year -6.55% -23.55% Risk Annual Volatility 6.47% 8.88% Max Drawdown -10.66% -32.11% Sharpe Ratio 1.37 0.85 Sortino Ratio 2.31 1.23 Enhanced Sortino 2.51 1.87
- 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 March 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.
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αc UI Global Flexible
- Max Drawdown: -10.66%
- Average recovery time of large downturns: 17 months
Universal Invest Global Flexible C Cap- Max Drawdown: -32.11%
- Average recovery time of large downturns: 21 months
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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 2015-04-16 2015-12-14 2017-02-13 -10.66% 669 2020-02-20 2020-06-11 2020-11-11 -9.49% 265 2018-01-24 2018-10-11 2020-01-13 -9.49% 719 1997-08-25 1997-11-10 1998-02-09 -8.84% 168 2010-04-16 2011-11-24 2012-02-03 -8.42% 658 The αc UI Global Flexible took approximately 17 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.
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αc UI Global Flexible
- Positive year ratio: 85%
- Outperformance ratio (vs. benchmark): 38%
Universal Invest Global Flexible C Cap- Positive year ratio: 85%
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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 35.92% 22.75% 1999 20.78% 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 3.05% 1.16% 2008 3.46% -23.55% 2009 27.14% 28.47% 2010 3.36% 6.55% 2011 -2.43% -6.06% 2012 12.44% 15.74% 2013 12.12% 12.12% 2014 -0.06% 6.01% 2015 4.42% 4.11% 2016 6.83% 5.66% 2017 5.11% 5.11% 2018 -6.55% -8.53% 2019 7.82% 16.92% 2020 6.66% 6.72% 2021 2.16% 2.16% 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 38% of the time compared to Universal Invest Global Flexible C Cap.
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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% -0.6% 0.4% 3.2% 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% -0% -6.7% 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% 1.2% 0 0 0 0 0 0 0 0 0 2.2% Pos 78.3% 75% 75% 69.6% 59.1% 65.2% 73.9% 42.9% 72.7% 66.7% 68.2% 79.2% 88.5% Avg 1.5% 1.6% 0.7% 0.7% 0.1% 0.3% 1.1% 0.2% 0.8% 0.1% 1.5% 1.1% 8.6%
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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
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The bond to equity ratio for this portfolio is dynamic through time. The provided values are the average historical percentages from May 1996 to March 2021.
For 27.4% of the time, the portfolio was allocated to bonds, and 72.6% of the time to equities.