αc Multi-Asset Defensive

New York Stock Exchange
USD

The portfolio pursues a rather defensive 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 one single asset according to certain calculations, and rebalance once a month.

The investment universe for the portfolio is comprised of multiple assets classes, ranging from large to mid-cap developing markets, emerging markets and fixed-income instruments.

1 November 2004  –  2 December 2022
Compare with
Vanguard Global Equity Fund Investor Shares (VHGEX)

Performance

Annualized Return
12.51%
αc Multi-Asset Defensive
7.28%
Vanguard Global Equity Fund Investor Shares
Sharpe Ratio
0.92
αc Multi-Asset Defensive
0.46
Vanguard Global Equity Fund Investor Shares
Maximum Drawdown
-17.95%
αc Multi-Asset Defensive
-64.74%
Vanguard Global Equity Fund Investor Shares

Metrics

Metric αc Multi-Asset Defensive Vanguard Global Equity Fund Investor Shares
Initial Balance $10,000 $10,000
Final Balance $84,446 $35,645
Returns   [View more details]
Month-To-Date 0.04% 0.22%
Year-To-Date -11.93% -18.48%
3M -1.1% 3.46%
6M -5.45% -2.27%
Annual Return (3Y) 5.45% 5.36%
Annual Return (5Y) 4.72% 6.06%
Annual Return (All) 12.51% 7.28%
Risk   [View more details]
Annual Volatility 13.8% 19.76%
Max Drawdown -17.95% -64.74%
Sharpe Ratio 0.92 0.46
Sortino Ratio 1.35 0.63
Adjusted Sortino (S/√2) 0.95 0.44

  • 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 November 2004.
  • Final balance: The amount of capital we've accrued over time as of December 2022.
  • 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 18 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 Multi-Asset Defensive -12.52% 5.45% 4.72% 6.47% 12.51% 12.51%
Vanguard Global Equity Fund Investor Shares -16.58% 5.36% 6.06% 9.4% 7.28% 7.28%

Annual Returns

Year αc Multi-Asset Defensive Vanguard Global Equity Fund Investor Shares Won
2004 13.82% 11.43%
2005 32.33% 11.77%
2006 31.23% 23.59%
2007 16.61% 8.23%
2008 11.84% -46.66%
2009 44.16% 32.98%
2010 11.61% 16.04%
2011 2.83% -8.9%
2012 10.32% 19.52%
2013 8.37% 27.65%
2014 5.19% 4.31%
2015 -0.34% -0.24%
2016 9.87% 6.57%
2017 16.3% 27.78%
2018 4.23% -9.15%
2019 5.09% 28.73%
2020 22.32% 22.38%
2021 4.81% 13.13%
2022 -11.93% -18.48%

αc Multi-Asset Defensive had 17 positive years and 2 negative years. That's a positive ratio of 89%.

Vanguard Global Equity Fund Investor Shares had 14 positive years and 5 negative years. That's a positive ratio of 74%.

αc Multi-Asset Defensive had a better yearly return 58% of the time compared to Vanguard Global Equity Fund Investor Shares.

Monthly Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2004 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 8.7% 4.7% 13.1%
2005 -0.5% 9.7% -7.9% 1.5% 2.5% 4% 7.7% 3.7% 7.1% 1.1% 0.4% 0.3% 28.8%
2006 9.7% -3.8% 2.2% 3.1% 0.2% 0.2% 0.7% 1.8% -0.9% 3.7% 6% 5.4% 28.3%
2007 0.1% -4% -2.3% 2% 4.9% 2.2% -1.4% 2.2% 10.7% 11.9% -7.7% -1.6% 18.9%
2008 3.4% 1.2% 1.3% -2.4% 0.3% -1% 0.7% 1.5% -0.1% 1.5% 1.1% 3.9% 11.7%
2009 -2.2% -5.2% 2.9% 7.7% 15.9% -2.3% 11% -1.3% 5.1% -3.6% 7.9% 3.3% 40.4%
2010 3.4% 0.9% 5.2% -0.2% -3.1% 2.9% 0.9% -4.9% 4.3% 1.8% -2.9% 3.2% 12.1%
2011 1% 1.3% 1.9% 1.3% -3.8% -2.8% -2.9% 1.4% 2.2% -1.3% 1.5% 3.1% 4%
2012 1.5% 2.9% -3.1% 0.3% 2.9% -0.4% -0.2% -1.2% 1.1% -1.8% 3.9% 4.4% 10.7%
2013 -0.7% -0.1% 3.7% 1.4% -1.9% 1.1% 0.2% -0.1% 0.2% 3.1% 2.1% -0.7% 8.3%
2014 1.9% 1.1% -0.3% -0.2% 2.2% 2.1% -1.3% 1.3% -2.3% -0.7% 1.3% 0.1% 5.3%
2015 4.3% -2.5% 0.2% -0.6% -0.4% 0% 0% -0.1% 1.6% -0.6% -0.5% -1.6% -0.2%
2016 3% 1.5% -0.1% 1.3% -0% 2.2% 1.3% 0.2% 2.5% -0.8% -1.7% 0.1% 10%
2017 -0.3% 0.1% -1.3% 1% 3.8% 1.1% 5.8% 2.4% -0% 2.5% -1% 1.3% 15.6%
2018 6.5% -2.4% 0.2% -0.2% 0.4% 0% -0.1% 0.4% -1.2% -2.1% 0.6% 2.4% 4.3%
2019 0.7% -1.1% 1.4% 4.1% -6.4% 1.8% 0.6% 1.8% -0.8% 0.4% -0.6% 3.3% 5.3%
2020 -6.7% 5.1% 3.7% 0.3% 2.8% 1.1% 6.8% 2.9% -3.4% 1% 4.9% 2.6% 21.7%
2021 2.4% 4.1% -0.1% 0.1% 0.1% 2.1% 1.5% -0.7% -4.8% 0.9% -0.1% -0.6% 5.1%
2022 -1.7% -0.4% -4.4% -0.9% 0.6% -0.6% 0.4% -4.4% -1.7% -0.1% 0.7% 0% -12.6%
Pos 66.7% 55.6% 55.6% 66.7% 66.7% 72.2% 72.2% 61.1% 50% 55.6% 63.2% 78.9% 89.5%
Avg 1.4% 0.5% 0.2% 1.1% 1.2% 0.8% 1.8% 0.4% 1.1% 0.9% 1.3% 1.8% 12.1%

Other Return Metrics

Metric αc Multi-Asset Defensive Vanguard Global Equity Fund Investor Shares
Cumulative Return 744.46% 256.45%
Enh Ann Return 12.14% 10.84%
Best Year 44.16% 32.98%
Worst Year -11.93% -46.66%
Best Month 15.94% 12.67%
Worst Month -7.91% -21.75%
Best Day 7.06% 11.49%
Worst Day -8.13% -10.98%
Win Ratio (Yearly) 89.47% 73.68%
Win Ratio (Quarterly) 76.71% 69.86%
Win Ratio (Monthly) 63.76% 63.76%
Win Ratio (Daily) 53.92% 54.72%

Annual Volatility

Annual Volatility 1y Annual Volatility 3y Annual Volatility 5y Annual Volatility 10y Annual Volatility 20y Annual Volatility
αc Multi-Asset Defensive 4.78% 11.79% 10.18% 9.24% 13.8% 13.8%
Vanguard Global Equity Fund Investor Shares 25.74% 24.45% 20.82% 16.99% 19.76% 19.76%

Sharpe Ratio

Sharpe Ratio 1y Sharpe Ratio 3y Sharpe Ratio 5y Sharpe Ratio 10y Sharpe Ratio 20y Sharpe Ratio
αc Multi-Asset Defensive -2.75 0.51 0.5 0.72 0.92 0.92
Vanguard Global Equity Fund Investor Shares -0.57 0.34 0.39 0.61 0.46 0.46

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 Multi-Asset Defensive

start valley end Drawdown days
2021-07-27 2022-10-20 - -17.95% 493
2007-11-01 2007-11-26 2008-12-16 -15.35% 411
2011-04-27 2011-11-25 2012-02-03 -12.51% 282
2009-06-02 2009-06-22 2009-07-20 -11.66% 48
2005-03-08 2005-03-29 2005-06-17 -11.57% 101

The αc Multi-Asset Defensive took approximately 9 months on average to recover from a major drawdown. The longest drawdown lasted 16 months.

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 2020-07-29 -33.23% 160
2021-11-17 2022-10-14 2022-12-01 -32.98% 379
2018-01-29 2018-12-24 2019-07-01 -19.69% 518
2015-05-22 2016-02-11 2016-12-08 -18.76% 566

The Vanguard Global Equity Fund Investor Shares took approximately 26 months on average to recover from a major drawdown. The longest drawdown lasted 75 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 Multi-Asset Defensive Vanguard Global Equity Fund Investor Shares
Sharpe Ratio 0.92 0.46
Sortino Ratio 1.35 0.63
Adjusted Sortino (S/√2) 0.95 0.44
Calmar Ratio 0.7 0.11
Omega Ratio 0.7 0.11
Gain to Pain Ratio 0.22 0.09
Winckel Ratio 52.63 68.42
Ulcer Index 0.05 0.2
Kelly Criterion 9.61% 4.6%
Skew -0.09 -0.43
Kurtosis 10.11 10.42
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