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 December 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
31.65
9.41
15.9
12.01
14.3
14.08
S&P 500 (US Large Cap)
32.35
10.11
15.6
13.57
10.42
10.73
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%
-36.8%
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
26.95%
27.63%
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 57% 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%
2.2%
2.3%
2.6%
1.3%
-0.9%
6%
0%
27%
Pos
66.7%
70.4%
64.8%
74.1%
59.3%
59.3%
69.1%
65.5%
65.5%
50.9%
78.2%
81.8%
89.1%
Avg
1.2%
1.8%
1.2%
1.3%
0.7%
1%
1.2%
1%
0.7%
0.3%
1.7%
1.8%
14.6%
Other Return Metrics
Metric
αc Developed Markets III
S&P 500 (US Large Cap)
Cumulative Return
130493.19%
25733.15%
Enh Ann Return
14.63%
12.48%
Best Year
38.87%
38.05%
Worst Year
-11.53%
-36.8%
Best Month
19.75%
13.27%
Worst Month
-15.02%
-21.73%
Best Day
119.55%
14.52%
Worst Day
-56.28%
-20.46%
Win Ratio (Yearly)
89.09%
80%
Win Ratio (Quarterly)
75.23%
70.64%
Win Ratio (Monthly)
67.13%
63.3%
Win Ratio (Daily)
59.72%
54.85%
Annual Volatility
Annual Volatility 1y
Annual Volatility 3y
Annual Volatility 5y
Annual Volatility 10y
Annual Volatility 20y
Annual Volatility
αc Developed Markets III
132.86
77.21
60.57
43.67
31.87
20.72
S&P 500 (US Large Cap)
12.15
17.48
20.93
17.61
19.02
16.45
Sharpe Ratio
Sharpe Ratio 1y
Sharpe Ratio 3y
Sharpe Ratio 5y
Sharpe Ratio 10y
Sharpe Ratio 20y
Sharpe Ratio
αc Developed Markets III
0.72
0.42
0.48
0.43
0.55
0.72
S&P 500 (US Large Cap)
2.37
0.64
0.8
0.81
0.62
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
2024-09-03
2024-09-06
2024-09-24
21
-57.37%
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%
The αc Developed Markets III took approximately 11 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.