αc International Equities II

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 mainly large-cap companies.
The portfolio pursues a strategy that seeks to achieve equity-like returns with lower volatility and...
31 October 1996  –  29 July 2021
Compare with
Vanguard Global Equity Fund Investor Shares (VHGEX)

Performance

Annualized Return
12.32%
αc International Equities II
9.4%
Vanguard Global Equity Fund Investor Shares
Sharpe Ratio
1.05
αc International Equities II
0.6
Vanguard Global Equity Fund Investor Shares
Maximum Drawdown
-21.03%
αc International Equities II
-64.74%
Vanguard Global Equity Fund Investor Shares

Metrics

Metric αc International Equities II Vanguard Global Equity Fund Investor Shares
Initial Balance $10,000 $10,000
Final Balance $177,380 $92,446
Returns
Month-To-Date 2.94% 0.92%
Year-To-Date 17.25% 13.28%
3M 5.54% 2.39%
6M 14.15% 9.09%
Annual Return (1Y) 38% 36.31%
Annual Return (3Y) 15.51% 15.99%
Annual Return (5Y) 14.87% 16.22%
Annual Return (10Y) 12.56% 11.84%
Annual Return (All) 12.32% 9.4%
Enh Ann Return 12.06% 11.63%
Best Year 40.87% 44.51%
Worst Year -9.8% -46.66%
Risk
Annual Volatility 11.74% 17.56%
Max Drawdown -21.03% -64.74%
Sharpe Ratio 1.05 0.6
Sortino Ratio 1.47 0.83
Enhanced Sortino 1.79 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 October 1996.
  • 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 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 International Equities II Vanguard Global Equity Fund Investor Shares Won
1996 4.59% 3.86%
1997 33.48% 6.91%
1998 12.28% 9.39%
1999 19.78% 25.95%
2000 -3.76% -0.17%
2001 8.44% -5.82%
2002 -9.8% -5.73%
2003 40.87% 44.51%
2004 11.61% 20.09%
2005 3.86% 11.77%
2006 17.39% 23.59%
2007 10.42% 8.23%
2008 -0.76% -46.66%
2009 29.02% 32.98%
2010 8.42% 16.04%
2011 11.51% -8.9%
2012 11.01% 19.52%
2013 30.8% 27.65%
2014 13.46% 4.31%
2015 -8.09% -0.24%
2016 2.8% 6.57%
2017 21.46% 27.78%
2018 4.59% -9.15%
2019 14.29% 28.73%
2020 15.61% 22.38%
2021 17.25% 13.28%

αc International Equities II had 22 positive years and 4 negative years. That's a positive ratio of 85%.

Vanguard Global Equity Fund Investor Shares had 19 positive years and 7 negative years. That's a positive ratio of 73%.

αc International Equities II had a better yearly return 42% 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
1996 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 7.1% -2.3% 4.6%
1997 6.2% 1% -4.4% 6.3% 6.3% 4.1% 7.9% -5.2% 4.8% -2.5% 3.9% 1.9% 30.9%
1998 1.3% 6.9% 4.9% 1.3% -2.1% 4.3% -1.4% -14.1% 2.2% -0.6% 4.3% 6.5% 13.2%
1999 3.5% -3.2% 4.2% 3.8% -2.3% 5.5% -3.1% -0.2% -1% 1.5% 2% 8.1% 19.1%
2000 -5.7% 0.3% 6.9% -3.6% -1.6% 2% 0.7% 6.4% -5.5% 1.6% -7.3% 3.3% -2.6%
2001 1.8% 0.9% 0.5% -0.5% 0.7% 0.5% 2.2% 1.1% 0.9% 1.9% -1.8% -0.1% 8.2%
2002 -2.6% 1% -2% -3.3% 1.2% 0.3% 0.5% 1.7% 1.5% -0.6% 0% -7.5% -9.9%
2003 2% 1.4% -0.1% 7.3% 5.5% 1.1% 1.5% 2.1% 0.6% 5.9% 1.5% 6.3% 34.7%
2004 1.6% 1.7% -0.7% -2% 0.9% 2.1% -3.1% 0.8% 0.5% 0.9% 4.9% 3.8% 11.1%
2005 -2.3% 3.2% -1.9% -2.2% 1.8% 0.2% 3.8% -0.9% 2.4% -2.4% 0.3% 2.2% 3.9%
2006 4.5% -0.1% 2.2% 3% -3.4% -0.2% 0.5% 1.5% 1.1% 3.4% 2% 1.9% 16.1%
2007 1.2% -0.5% 1.8% 4.4% 2.8% -0.8% -2.2% 1.3% 4.4% 3.1% -4.1% -1% 9.9%
2008 2.3% -0.2% 0.1% 0.3% -1.3% -7.6% -0.2% 0.7% -1.8% -2.3% 3% 6.7% -0%
2009 -2% -1.1% 1.1% 0.5% 8.3% -0.5% 8.5% 4.1% 4% -1.8% 4.1% 1.1% 25.7%
2010 -3.6% 3.1% 6.1% 1.5% -7.9% 0.9% 0.9% 1.3% 0% 3.4% -2.2% 5.5% 8.9%
2011 2.3% 3.5% 0% 2.9% -1.1% -1.7% -2% 2.7% 0.8% 0.1% 2.6% 1% 11.9%
2012 4.6% 4.3% 3.2% -0.7% -6% -1.7% 1% 2.5% 2.5% -1.8% 1% 2% 11.1%
2013 4.7% 0.6% 2.1% 2.4% 2.4% -1.3% 5.2% -3% 3.2% 5.7% 3% 2.6% 27.6%
2014 -3.5% 4.6% 0.8% 0.7% 2.3% 2.1% -1.3% 3.9% -1.4% 2.4% 2.7% -0.3% 13.3%
2015 -3% 5.6% -1.6% 1% -0.7% -2.7% 2.8% -6.1% -1.6% 0.1% 0% -1.7% -7.5%
2016 -5% 0.3% 0.9% 0.9% 0% 0.7% 3.6% 0.1% 0% -1.9% 1.7% 1.7% 3.4%
2017 1.8% 3.9% 0.1% 1.6% 2.1% 0.4% 2.4% 0.1% 2.1% 2.1% 2% 1% 19.7%
2018 5.6% -3.6% -2.7% 0.8% 0.7% 0.8% 3.7% 3.2% 0.6% -6.9% 1% 2% 5.4%
2019 0.9% 3.1% 1.8% 4.1% -6.4% 1% 0.4% -1.7% 1.9% 2.2% 3.6% 2.9% 14%
2020 -0% -7.9% -0.1% 1.7% 0.7% 0.7% 5.4% 7% -3.7% -2.5% 10.9% 4% 15.8%
2021 -0.8% 2.5% 3.7% 5.3% 0.7% 1.9% 2.9% 0% 0% 0% 0% 0% 16.4%
Pos 60% 72% 68% 76% 60% 68% 72% 70.8% 75% 58.3% 84% 76% 84.6%
Avg 0.6% 1.2% 1.1% 1.5% 0.1% 0.5% 1.6% 0.4% 0.8% 0.5% 1.8% 2.1% 11.7%

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 II

start valley end Drawdown days
2007-11-01 2008-10-10 2009-05-28 -21.03% 574
2015-05-20 2016-01-20 2017-06-01 -19.56% 743
2020-02-20 2020-03-18 2020-08-25 -19.23% 187
1998-07-21 1998-08-31 1999-04-08 -19.03% 261
2001-11-08 2002-12-27 2003-05-12 -12.62% 550

The αc International Equities II took approximately 15 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.