αc Developed Markets III

New York Stock Exchange
USD
1 July 1970  –  20 June 2024
Compare with
S&P 500 (US Large Cap) (SP500.X)

Performance

Annualized Return
14.01%
αc Developed Markets III
10.63%
S&P 500 (US Large Cap)
Sharpe Ratio
1.31
αc Developed Markets III
0.7
S&P 500 (US Large Cap)
Maximum Drawdown
-20.57%
αc Developed Markets III
-55.19%
S&P 500 (US Large Cap)

Metrics

Metric αc Developed Markets III S&P 500 (US Large Cap)
Initial Balance $10,000 $10,000
Final Balance $11,875,207 $2,336,618
Returns   [View more details]
Month-To-Date 3.72% 3.72%
Year-To-Date 15.44% 15.44%
3M 6.07% 6.07%
6M 15.55% 15.55%
Annual Return (3Y) 10.65% 11.16%
Annual Return (5Y) 15.45% 14.96%
Annual Return (All) 14.01% 10.63%
Risk   [View more details]
Annual Volatility 10.41% 16.48%
Max Drawdown -20.57% -55.19%
Sharpe Ratio 1.31 0.7
Sortino Ratio 1.92 0.98
Adjusted Sortino (S/√2) 1.36 0.69

  • 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 July 1970.
  • Final balance: The amount of capital we've accrued over time as of June 2024.
  • 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 54 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.
  • Adjusted Sortino Ratio: Sortino Ratio/√2. To allow for comparing the Sortino ratio to the Sharpe ratio, we multiply the risk measure of the Sortino ratio by the square root of 2 (which is the same as dividing the Sortino ratio by the square root of 2).
  • Ulcer Index: The Ulcer Index (UI) is a technical indicator that measures downside risk in terms of both the depth and duration of price declines.
  • Gain to Pain Ratio: The sum of all returns divided by the absolute value of the sum of all negative returns. In essence, the GPR shows the ratio of net returns to the losses incurred in getting those returns.

Annualized Returns

Annual Return 1y Annual Return 3y Annual Return 5y Annual Return 10y Annual Return 20y Annual Return
αc Developed Markets III 17.5% 10.65% 15.45% 11.27% 14.2% 14.01%
S&P 500 (US Large Cap) 26.46% 11.16% 14.96% 12.76% 10.2% 10.63%

Annual Returns

Year αc Developed Markets III S&P 500 (US Large Cap) Won
1970 12.04% 21.43%
1971 10.09% 13.65%
1972 20.77% 21.7%
1973 -11.53% -16.74%
1974 30.28% -26.1%
1975 6.9% 38.04%
1976 17.8% 22.52%
1977 -5% -6.3%
1978 4.86% 7.69%
1979 15.3% 18.3%
1980 19.66% 31.11%
1981 -3.28% -8.55%
1982 28.26% 19.25%
1983 21.23% 17.07%
1984 1.5% 3.67%
1985 38.04% 22.6%
1986 38.87% 9.3%
1987 17.97% 4.69%
1988 5.6% 16.27%
1989 27.59% 31.4%
1990 -4.37% -3.35%
1991 10.03% 30.2%
1992 8.33% 8.21%
1993 12.2% 8.81%
1994 4.39% 0.4%
1995 37.59% 38.05%
1996 14.65% 22.5%
1997 33.48% 33.48%  =
1998 10.99% 28.69%
1999 24.2% 20.39%
2000 2.5% -9.74%
2001 2.29% -11.76%
2002 5.88% -21.58%
2003 36.14% 28.18%
2004 13.7% 10.7%
2005 6.85% 4.83%
2006 19.29% 15.85%
2007 8.66% 5.15%
2008 17.48% -36.79%
2009 22.56% 26.35%
2010 15.36% 15.06%
2011 19.64% 1.89%
2012 16.73% 15.99%
2013 28.24% 32.31%
2014 14.05% 13.46%
2015 -9.25% 1.23%
2016 13.92% 12%
2017 21.78% 21.71%
2018 0.39% -4.57%
2019 17.53% 31.22%
2020 23.2% 18.33%
2021 27.64% 28.73%
2022 -8.61% -18.18%
2023 11.43% 26.18%
2024 15.44% 15.44%  =

αc Developed Markets III had 49 positive years and 6 negative years. That's a positive ratio of 89%.

S&P 500 (US Large Cap) had 44 positive years and 11 negative years. That's a positive ratio of 80%.

αc Developed Markets III had a better yearly return 58% of the time compared to S&P 500 (US Large Cap).

Monthly Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
1970 - - - - - - 1.1% 1.1% 1% 1% 0.3% 7.2% 12%
1971 3.8% 4.1% 3.1% 3.7% -1% -1.7% -1.6% -1.2% -0.8% -1.8% 2.7% 0.7% 10.1%
1972 3.5% 3.8% 1.3% 1.4% 2% -2.3% -0.3% 2.9% -1.2% 0.7% 5.3% 2.2% 20.8%
1973 0.4% -3.2% 0.1% -5% 5.8% 2.2% -1.1% -2.1% -0.4% -0.8% -6.8% -0.7% -11.5%
1974 0.6% 19.8% 3.8% 0.1% -1% -1% 2% -1.2% 1.4% 0.6% 2.2% 1.1% 30.3%
1975 0.5% 2.8% 0.7% 4.1% 2.4% 2.8% 0.4% -6.5% -1.3% 0.7% 1.7% -1.1% 6.9%
1976 9% -0.7% 0.9% 1.1% -0.3% 0.9% 2.6% -0.5% 2.4% -2.9% 0.9% 3.7% 17.8%
1977 -3.1% -2.3% -0.6% 0.2% -1.1% 1.3% -1.4% 0.4% 1.3% -1.7% 0.1% 1.9% -5%
1978 -2.9% 1.1% 0.4% 4.2% 1.3% 1% 0.6% 2.5% 1.2% -2% -5.4% 3.2% 4.9%
1979 2.6% -1.1% 4.1% -0.2% -1.9% 2.3% 1.5% 5% 1.4% -3.3% -0.3% 4.4% 15.3%
1980 8.4% 0.4% -9.8% 1.2% 5.1% 2.8% 3.7% 1.7% 2.7% 2% 5.2% -4% 19.7%
1981 -4.4% -1.6% 3.5% -2.6% -1.9% -1.4% 1.1% 1.1% 1.1% 1.1% 1.1% -0.2% -3.3%
1982 -1.1% 0.9% 1.3% 2.9% 1% -1.4% 1.2% 6% -0.2% 10.8% 4.2% 0.3% 28.3%
1983 3.4% 2.5% 3.5% 6.2% -1% 3.1% -3.8% 1.8% 1.9% -1.4% 2.3% 1.3% 21.2%
1984 0.8% -1.7% 4.7% -0.4% -7.5% 0.8% 0.9% 2.2% 1.4% 0.3% -1% 1.5% 1.5%
1985 5.5% 0.2% 3.5% -0.3% 5.1% 1.8% -0.5% 1.5% 0.7% 5.4% 5.6% 4.7% 38%
1986 1.5% 9% 9.8% 2.7% -0.3% 4% 0.8% 8.7% -4% -1.7% 2.1% 1.8% 38.9%
1987 11.7% 3.3% 6.2% 5.8% 0.1% -0.1% 2% 4.7% -2.3% -15% 1.8% 0.8% 18%
1988 2.7% 0.7% -0% 1% -2% -0.2% 0.3% -3.4% -0.6% 2.9% 3.5% 0.9% 5.6%
1989 3.6% -0.7% -0.7% 4.8% 4% -0.6% 9% 1.9% -0.4% -2.3% 2% 4.5% 27.6%
1990 -4.7% -0.1% -1.4% 0.8% 9.1% -0.7% -0.4% -9% 0.8% -0.3% 0.7% 1.6% -4.4%
1991 -4% 7.3% 2.4% 0.2% 4.3% -4.6% 4.6% 2.3% -1.7% 1.9% -4.4% 1.9% 10%
1992 -1.8% 1.2% -1.9% 2.9% 0.5% -1.5% 4.1% -2.1% 1.2% 0.3% 3.4% 1.9% 8.3%
1993 0.1% 1.1% 2.2% 4.6% 2.1% -0.7% 2% 4.6% -1.9% 2.7% -5.7% 0.8% 12.2%
1994 5.9% -1.3% -4.3% 3.1% 0.2% -0.3% 1.9% 3% -2.7% 3.1% -4% 0.3% 4.4%
1995 3% 4.1% 2.8% 3% 4% 2% 3.2% 0.5% 4.2% -0.3% 4.5% 1.6% 37.6%
1996 3.6% 0.3% 1.7% 1.1% 0% 0.9% -4.5% -0.6% 3.7% 3.1% 7.3% -2.4% 14.7%
1997 6.2% 1% -4.4% 6.3% 6.3% 4.1% 7.9% -5.2% 4.8% -2.5% 3.9% 1.9% 33.5%
1998 1.3% 6.9% 4.9% 1.3% -2.1% 4.3% -1.4% -12.2% 2.2% -0.2% 0.1% 6.8% 11%
1999 3.5% -3.2% 3.8% 3.9% -2.8% 5.5% -3.1% -0.2% -1% 5.2% 2.8% 8.1% 24.2%
2000 -5.7% 0.3% 6.9% -3.8% -1.6% 2% 0.6% 6.3% -5.5% 0.9% 1.4% 1.6% 2.5%
2001 -0.2% 1.6% 0.9% 0.3% 0.6% 0.3% 0.9% 1% 1.5% -2.1% -2% -0.4% 2.3%
2002 0.1% 4% -2.6% -5.2% 2.6% -0.7% 0.7% 5% 3.8% -2.4% 0.3% 0.7% 5.9%
2003 5.4% 1.8% -1.8% 0.4% 7.1% 0.4% 1.6% 2.3% 0.7% 5.9% 1.5% 6.3% 36.1%
2004 1.6% 1.7% -0.7% -2.1% 0.8% 2.1% -3.1% 0.7% 0.9% 2.1% 5.3% 3.8% 13.7%
2005 -2.3% 3.2% -1.9% -2.2% 1.8% 0.2% 3.6% -0.9% 2.5% -2.4% 3.3% 2.2% 6.9%
2006 4.5% -0.2% 2.2% 3% -3.4% -0% 0.6% 2.6% 1.2% 3.5% 2% 2% 19.3%
2007 1.2% -0.5% 1.8% 4.4% 2.8% -0.8% -2.2% -0.1% 4.7% 2.8% -4.1% -1.3% 8.7%
2008 2.9% 2.2% -1.4% -2.5% 0.5% 1.1% -1.3% 0.3% 1% -2% 11.6% 4.5% 17.5%
2009 -3.2% 2.1% -0.8% -3% 8.4% -0.4% 8.2% 4.1% 4.2% -4.1% 4.1% 1.8% 22.6%
2010 -5% 3.1% 6.1% 1.6% -8% 3.1% -3.8% 6.3% 3.2% 4% -2.2% 7.4% 15.4%
2011 1.8% 4% -1% 2.4% -1.4% -1.5% -2% 11.8% 8.3% 3.4% 1.7% -8% 19.6%
2012 3.9% 4.3% 3.2% -0.7% -8.9% 5.7% 1.2% 2.5% 2.5% -1.9% 1.3% 3.1% 16.7%
2013 4.7% 0.6% 2.1% 2.4% 2.4% -1.3% 5.2% -3% 3.2% 5.7% 2% 1.6% 28.2%
2014 -3% 4.6% 0.8% 0.7% 2.3% 2.1% -1.3% 4% -1.4% 2.4% 2.8% -0.3% 14.1%
2015 -3% 5.6% -1.6% 1% -0.7% -2.7% 1.8% -6.8% 0.3% -0.4% -0.7% -2.1% -9.3%
2016 -5% 8.3% -0.2% 1.1% 1.7% 0.4% 3.7% 0.1% 0% -1.9% 3.6% 2% 13.9%
2017 1.8% 3.9% 0.1% 1% 1.4% 0.6% 2.4% 0.1% 2.1% 2.1% 3.1% 1.2% 21.8%
2018 5.6% -3.6% -2.7% 0.5% -0.2% -0.1% 3.7% 3.2% 0.6% -6.9% 0.7% 0.2% 0.4%
2019 0.8% -1.2% 4.1% 2.8% -6.4% 6.4% 1.4% -1.7% 2% 2.2% 3.6% 2.9% 17.5%
2020 -0% -7.9% 0.9% 6% 1.7% 1.3% 5% 7% -3.7% -2.5% 10.9% 4% 23.2%
2021 -0.8% 2.5% 3.7% 5.3% 0.7% 2.2% 2.4% 3% -4.7% 7% -0.8% 4.6% 27.6%
2022 -5.3% 1.2% -1.4% -1.2% -0.6% -0.5% -0.3% -0.5% -1% -0.1% 0.7% 0.2% -8.6%
2023 2.2% -2.2% 3.2% 1.8% -1% 6.8% 3.3% -1.6% -4.7% -2.2% 1.2% 4.7% 11.4%
2024 1.6% 5.2% 3% -4% 5.3% 3.7% - - - - - - 15.4%
Pos 66.7% 70.4% 64.8% 74.1% 59.3% 59.3% 68.5% 64.8% 64.8% 51.9% 77.8% 81.5% 89.1%
Avg 1.2% 1.8% 1.2% 1.3% 0.7% 1% 1.2% 1% 0.7% 0.3% 1.6% 1.8% 14.4%

Other Return Metrics

Metric αc Developed Markets III S&P 500 (US Large Cap)
Cumulative Return 118652.07% 23266.18%
Enh Ann Return 14.41% 12.25%
Best Year 38.87% 38.05%
Worst Year -11.53% -36.79%
Best Month 19.75% 13.27%
Worst Month -15.02% -21.73%
Best Day 8.89% 14.52%
Worst Day -7.25% -20.46%
Win Ratio (Yearly) 89.09% 80%
Win Ratio (Quarterly) 75% 70.37%
Win Ratio (Monthly) 66.98% 63.06%
Win Ratio (Daily) 59.7% 54.8%

Annual Volatility

Annual Volatility 1y Annual Volatility 3y Annual Volatility 5y Annual Volatility 10y Annual Volatility 20y Annual Volatility
αc Developed Markets III 10.69% 10.31% 12.84% 12.38% 11.73% 10.41%
S&P 500 (US Large Cap) 11.22% 17.28% 20.89% 17.53% 18.98% 16.48%

Sharpe Ratio

Sharpe Ratio 1y Sharpe Ratio 3y Sharpe Ratio 5y Sharpe Ratio 10y Sharpe Ratio 20y Sharpe Ratio
αc Developed Markets III 1.56 1.03 1.18 0.93 1.19 1.31
S&P 500 (US Large Cap) 2.15 0.7 0.77 0.77 0.61 0.7

3-Year Rolling Sharpe Ratio

The rolling Sharpe Ratio gives a clue about the continued consistency or stability of the risk-adjusted returns.

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 Developed Markets III

start valley end days Drawdown
2015-05-20 2016-01-20 2016-12-09 569 -20.57%
1987-08-26 1987-11-05 1989-06-07 651 -18.94%
2020-02-20 2020-03-19 2020-07-20 151 -18.27%
1998-07-21 1998-09-02 1999-05-13 296 -17.4%
1990-07-17 1990-08-23 1991-08-06 385 -16.41%

The αc Developed Markets III took approximately 14 months on average to recover from a major drawdown. The longest drawdown lasted 22 months.

S&P 500 (US Large Cap)

start valley end days Drawdown
2007-10-10 2009-03-09 2012-08-16 1772 -55.19%
2000-03-27 2002-10-09 2006-10-26 2404 -47.52%
1973-02-01 1974-12-31 1976-07-22 1267 -39.16%
2020-02-20 2020-03-23 2020-08-10 172 -33.72%
1987-08-26 1987-10-19 1989-05-19 632 -33.08%

The S&P 500 (US Large Cap) took approximately 42 months on average to recover from a major drawdown. The longest drawdown lasted 80 months.

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.

Other Risk Metrics

Metric αc Developed Markets III S&P 500 (US Large Cap)
Sharpe Ratio 1.31 0.7
Sortino Ratio 1.92 0.98
Adjusted Sortino (S/√2) 1.36 0.69
Calmar Ratio 0.68 0.19
Omega Ratio 1.32 1.15
Gain to Pain Ratio 0.32 0.15
Winckel Ratio 61.82 63.64
Ulcer Index 0.05 0.13
Kelly Criterion 14.54% 7.17%
Skew -0.15 -0.67
Kurtosis 11.11 24.1
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