Strategy: αc Multi-Asset Defensive

Investment Objective

Aggressive Long-Term Capital Appreciation

Annualized Return

15%

Time
Horizon

5+ years

Rebalancing Frequency

N/A

About

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.

Period: November 2004 - March 2021.

Compare with
Vanguard Global Equity Fund Investor Shares (VHGEX)
  • 🚀 Performance

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    αc Multi-Asset Defensive
    • Annualized Return: 14.95%
    • Sharpe: 1.05
    • Sortino: 1.52
    Vanguard Global Equity Fund Investor Shares
    • Annualized Return: 9.14%
    • Sharpe: 0.55
    • Sortino: 0.75
  • 📉 Downturns

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    αc Multi-Asset Defensive
    • Max Drawdown: -15.34%
    • Average recovery time of large downturns: 7 months
    Vanguard Global Equity Fund Investor Shares
    • Max Drawdown: -64.74%
    • Average recovery time of large downturns: 24 months
  • 📊 Historical annual returns

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    αc Multi-Asset Defensive
    • Positive year ratio: 94%
    • Outperformance ratio (vs. benchmark): 56%
    Vanguard Global Equity Fund Investor Shares
    • Positive year ratio: 78%
  • 📅 Historical monthly returns

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  • 🏦 Trades

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  • 🍰 Allocation

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