αc Multi-Asset Opportunities

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 2 to 4 ETFs, weight them variably according to certain metrics, and usually rebalance once a quarter. Rebalance frequency may vary depending on certain market conditions.

The investment universe for the portfolio is comprised of multiple assets classes, ranging from large to mid-cap developing markets, emerging markets, commodities and fixed-income instruments.
The portfolio pursues a rather defensive strategy that seeks to achieve equity-like returns with low...
30 March 1976  –  16 July 2021
Compare with
S&P 500 (US Large Cap) (SP500.X)

Performance

Annualized Return
15.42%
αc Multi-Asset Opportunities
10.41%
S&P 500 (US Large Cap)
Sharpe Ratio
1.21
αc Multi-Asset Opportunities
0.65
S&P 500 (US Large Cap)
Maximum Drawdown
-28.32%
αc Multi-Asset Opportunities
-55.2%
S&P 500 (US Large Cap)

Metrics

Metric αc Multi-Asset Opportunities S&P 500 (US Large Cap)
Initial Balance $10,000 $10,000
Final Balance $6,647,049 $891,497
Returns
Month-To-Date 0.41% 0.77%
Year-To-Date 8.8% 15.75%
3M 3.84% 4.83%
6M 7.5% 13.95%
Annual Return (1Y) 8.8% 35.58%
Annual Return (3Y) 7.21% 17.53%
Annual Return (5Y) 8.2% 16.95%
Annual Return (10Y) 11.58% 14.79%
Annual Return (All) 15.42% 10.41%
Enh Ann Return 15.89% 11.93%
Best Year 59.91% 38.03%
Worst Year -11.68% -36.81%
Risk
Annual Volatility 12.55% 17.65%
Max Drawdown -28.32% -55.2%
Sharpe Ratio 1.21 0.65
Sortino Ratio 1.73 0.91
Enhanced Sortino 2.6 1.34

  • 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 March 1976.
  • 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 45 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 Multi-Asset Opportunities S&P 500 (US Large Cap) Won
1976 13.84% 8.3%
1977 7.17% -11.68%
1978 26% 0.77%
1979 34.79% 11.67%
1980 17.78% 28.17%
1981 -7.73% -8.47%
1982 52.51% 19.3%
1983 16.35% 17.15%
1984 9.54% 3.69%
1985 23.44% 22.71%
1986 23.01% 9.31%
1987 18.19% 4.7%
1988 9.73% 16.22%
1989 21.83% 31.37%
1990 -11.04% -3.33%
1991 42.34% 30.19%
1992 18.28% 8.21%
1993 31.18% 8.75%
1994 -11.68% 0.4%
1995 25.21% 38.03%
1996 14.18% 22.55%
1997 -2.03% 33.48%
1998 12.05% 28.69%
1999 11.04% 20.39%
2000 -0.25% -9.73%
2001 -7.63% -11.75%
2002 19.78% -21.59%
2003 47.81% 28.18%
2004 7.83% 10.7%
2005 23.95% 4.83%
2006 22.68% 15.85%
2007 31.26% 5.14%
2008 2.99% -36.81%
2009 59.91% 26.37%
2010 11.08% 15.06%
2011 39.45% 1.89%
2012 20.76% 15.99%
2013 2.39% 32.31%
2014 14.09% 13.46%
2015 -1.27% 1.25%
2016 8.92% 12%
2017 20.95% 21.7%
2018 0.28% -4.56%
2019 21.46% 31.22%
2020 -3.87% 18.37%
2021 8.8% 15.75%

αc Multi-Asset Opportunities had 38 positive years and 8 negative years. That's a positive ratio of 83%.

S&P 500 (US Large Cap) had 38 positive years and 8 negative years. That's a positive ratio of 83%.

αc Multi-Asset Opportunities had a better yearly return 57% of the time compared to S&P 500 (US Large Cap).

Table

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
1976 0% 0% 0% -0.4% -1% 2.9% 0.4% -0.5% 1.5% 2% 2.5% 5.9% 13.1%
1977 -2.2% 1.7% 1.4% 0.2% -0.4% 2.2% 0.2% -0.4% 0.7% 0.8% 2.1% 0.6% 7%
1978 1.3% 1.8% 1.6% 5% 3.8% 0.1% 4% 2.5% 1.4% 4% -7.2% 5.6% 23.4%
1979 4.8% 0.4% 2.4% 2.4% -0.7% 3.5% 2.6% 4.8% -1.5% -4.1% 5.3% 11% 30.1%
1980 12.2% -2.6% -17.8% 9.7% 3.2% 2.2% 3.7% 3.8% 3.9% -0.5% 3.4% -1.4% 18.1%
1981 0.1% -0.9% 1.4% -0.6% 1% -4.6% -2.6% -4.7% -3.2% 5% 6.6% -4.7% -7.9%
1982 0.3% 1.8% 2.4% 3.3% 0.8% -2.2% 4.6% 7.8% 6.5% 11% 6.4% 1% 42.3%
1983 6.8% -3% 3.1% 5.8% 4.3% 1.3% -1.7% -1.5% 2.1% -3.3% 3.3% -1.3% 15.5%
1984 1.7% -0.9% -1% 0.2% -3.3% 1.2% 1.6% 4.7% 0.7% 2.3% 0.5% 1.6% 9.2%
1985 5.5% -0.5% 1.5% 0.7% 2.9% 1.4% 1.9% -0.6% -2.2% 3.1% 3.4% 4.4% 21.1%
1986 1% 4.7% 4.4% 1.5% 3.3% 1.2% -0.9% 2.9% 3.9% -1.2% -0.2% 0.5% 20.9%
1987 1.1% 1% 0.9% 2.2% 0.9% 0.8% 2.6% 3.8% -0.9% 2.7% 1.9% 0.1% 16.9%
1988 0.4% 2.6% 2.4% 1.2% 1.5% 2% -2.8% -3.4% 4.9% -0.9% -1.9% 3.8% 9.4%
1989 2.5% 2.1% 4.3% 10.8% 4.1% -5.7% 0.4% -3.1% 0.4% 0.5% 1.7% 2.8% 19.9%
1990 -1.5% 1.2% -4.9% -3.4% 7.9% 2.1% 0.9% -10.1% -6.8% -1.1% 3.6% 1.8% -11.3%
1991 10% 10.2% 4.1% 1.1% 6.4% -4% -0.1% 0.1% 2.1% 0.5% 1.1% 5.3% 35.5%
1992 5.3% 2.2% -0.9% -0.4% 1.7% -2.3% 3.9% -1.1% 1.8% 2.1% 3% 1.9% 17%
1993 1.5% -0.6% 2.6% 1.5% 4.3% 1.7% 3.8% 0.9% 0% 2.8% 0.9% 8.4% 27.3%
1994 0.5% -0.4% -4.8% -2.1% 0.7% -0.5% 1.6% -0.3% -1.1% -1.7% -1.9% -2.1% -12.2%
1995 1% 4.6% 2.6% 1.9% 1.5% 5.3% 3.4% 1.1% 1.6% -0.3% 1.5% -1.4% 23.1%
1996 5.1% 0.6% 0.3% -2% -0.5% 2.2% -0.1% -1.3% 3% -0.5% 6.9% -0.1% 13.8%
1997 3% -2.8% -2.5% 2.2% 1% 2% 5.2% -5.6% 4.6% -6.5% -0.1% -1.7% -1.3%
1998 -2.6% 6.1% 2.8% 1.3% -7.6% -2.1% -0.9% -10.8% 12% 5% 6.1% 4% 12.9%
1999 5.7% -6.5% 5% 7.5% -2.3% 7.8% -2.6% 0.2% -0.6% -0% -1.3% -1.4% 11.6%
2000 -3.5% 10.1% 2.1% -5.2% -4% 4.3% -4% 5.3% -5.8% -2% -0.7% 4.4% 2.5%
2001 2.6% -4.7% -7% -2.8% 0.2% 0.8% 3.6% 2% 1.1% 1.6% -3.9% -0.9% -7.4%
2002 1% 2.5% 4.4% 0.8% 1.3% -5.8% 2.5% 5.5% 4.6% -3.3% -0.4% 5.9% 18.6%
2003 1.8% -0% -2.6% 7.6% 7.7% 2.6% 5.6% 5.3% -0.4% 5.2% 2.5% 5% 39.8%
2004 0.1% 0.7% 1.9% -6.7% 0.2% 0.4% -4.4% 0.6% 3.6% 2.2% 7.3% 2.4% 8.1%
2005 -3.2% 4% -3.1% 4% 3.1% 1.3% 3% 0.6% 5.5% -3.2% 6.2% 4.2% 22%
2006 9.2% -1.3% 2.6% 4.3% -4.2% -1.7% -2.4% 2.5% 2.2% 4.7% 4.6% 1% 21.7%
2007 0.4% 0.7% 1.5% 4% 4.9% 1.4% 2.1% 1.5% 5.7% 8.7% -5.7% 2.9% 28.7%
2008 -9.9% -1.2% -1.3% -2.7% -2.7% 2.6% -0.8% -1.2% 2.3% -6.3% 13.9% 12.9% 5%
2009 -1.8% -3.2% 5.7% 14.9% 8.2% 0.2% 9.3% 1.6% 7.2% -3.3% 6% 4.7% 50.5%
2010 -5.5% 3.8% 7.7% 2.1% -7.9% -3.4% -1.9% 7.5% -0.2% 3.7% 0% 6.3% 12.4%
2011 0.4% 2.6% 2.1% 5.2% -2% -1.9% 4.3% 9.7% 13.2% -3.8% 2% 3.3% 35.4%
2012 8.5% 5.5% 1.9% 0% -1.3% 0.4% 2.9% 0.7% 0.2% -1.6% 1% 1.1% 19.4%
2013 1.9% -0.1% 1% -1.2% 0.1% -5.8% -1% -1.3% 0.9% 4.9% 1.4% 1.9% 3.2%
2014 -4.1% 4.5% 0.3% 1.9% 3% 1% -1.7% 3.5% -3.3% 2.5% 3% 3.1% 13.7%
2015 5% -2.6% 0% -2.5% -1% -2.9% 4.6% -0.7% 1.9% 0.6% -2.9% -0.4% -0.6%
2016 5.5% 5.6% -0.5% -0.6% 1.1% -0.2% 3.5% -1.1% 0.8% -1.8% -3.9% 0.5% 9.4%
2017 3.4% 3.1% 1.6% 2% 2.3% -0.2% -0.2% 1.7% -0.3% 2.5% 2.2% 1.3% 19.3%
2018 6% -3.7% -2.3% -1.8% 2% 1% 0.7% 3.4% -1.5% -5.1% 1.1% 0.8% 1.1%
2019 1.8% -1.1% 2.9% 0.9% 1.6% 3% 0.1% 0.9% -0.5% 3.4% 2.5% 4.3% 19.8%
2020 0.8% -3.4% -6.9% 0.8% -1.8% 1.1% 9.8% 4.4% -4.1% -3.8% 1.7% -1.4% -1.5%
2021 -0.3% 0.3% 1.4% 4.3% -0.4% 3% 0.4% 0% 0% 0% 0% 0% 8.9%
Pos 77.8% 57.8% 71.1% 69.6% 65.2% 67.4% 65.2% 62.2% 66.7% 53.3% 73.3% 75.6% 84.8%
Avg 1.9% 1% 0.5% 1.7% 1% 0.4% 1.4% 0.9% 1.5% 0.6% 1.9% 2.4% 14.9%

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 Opportunities

start valley end Drawdown days
1980-01-22 1980-03-27 1982-08-06 -28.32% 927
2000-03-28 2001-05-24 2003-04-17 -23.85% 1115
2007-11-07 2008-10-31 2008-12-30 -22.38% 419
1997-10-10 1998-08-31 1998-12-21 -22.02% 437
2020-02-20 2020-03-20 - -21.59% 512

The αc Multi-Asset Opportunities took approximately 23 months on average to recover from a major drawdown.

S&P 500 (US Large Cap)

start valley end Drawdown days
2007-10-10 2009-03-09 2012-08-16 -55.2% 1772
2000-03-27 2002-10-09 2006-10-26 -47.5% 2404
2020-02-20 2020-03-23 2020-08-10 -33.7% 172
1987-08-26 1987-10-19 1989-05-19 -33.08% 632
1980-12-01 1982-08-12 1982-10-13 -25.09% 681

The S&P 500 (US Large Cap) took approximately 38 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.