αc Multi-Asset Defensive

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.
The portfolio pursues a rather defensive strategy that seeks to achieve equity-like returns with low...
1 November 2004  –  29 July 2021
Compare with
Vanguard Global Equity Fund Investor Shares (VHGEX)

Performance

Annualized Return
14.85%
αc Multi-Asset Defensive
9.22%
Vanguard Global Equity Fund Investor Shares
Sharpe Ratio
1.05
αc Multi-Asset Defensive
0.55
Vanguard Global Equity Fund Investor Shares
Maximum Drawdown
-15.35%
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 $101,745 $43,783
Returns
Month-To-Date 2.02% 0.92%
Year-To-Date 11.21% 13.28%
3M 4.32% 2.39%
6M 3.66% 9.09%
Annual Return (1Y) 19.66% 36.31%
Annual Return (3Y) 12.63% 15.99%
Annual Return (5Y) 11.76% 16.22%
Annual Return (10Y) 9.86% 11.84%
Annual Return (All) 14.85% 9.22%
Enh Ann Return 13.32% 12.69%
Best Year 44.16% 32.98%
Worst Year -0.34% -46.66%
Risk
Annual Volatility 14.24% 19.48%
Max Drawdown -15.35% -64.74%
Sharpe Ratio 1.05 0.55
Sortino Ratio 1.53 0.76
Enhanced Sortino 1.53 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 November 2004.
  • 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 17 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 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 11.21% 13.28%

αc Multi-Asset Defensive had 17 positive years and 1 negative years. That's a positive ratio of 94%.

Vanguard Global Equity Fund Investor Shares had 14 positive years and 4 negative years. That's a positive ratio of 78%.

αc Multi-Asset Defensive had a better yearly return 56% of the time compared to Vanguard Global Equity Fund Investor Shares.

Table

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% -7.6% -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% 2% 0% 0% 0% 0% 0% 10.9%
Pos 70.6% 58.8% 58.8% 70.6% 64.7% 76.5% 70.6% 68.8% 56.3% 56.3% 64.7% 82.4% 94.4%
Avg 1.6% 0.5% 0.5% 1.2% 1.2% 0.9% 1.9% 0.7% 1.6% 1% 1.4% 2% 13.8%

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
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
2007-02-22 2007-03-30 2007-07-05 -9.59% 133

The αc Multi-Asset Defensive took approximately 7 months on average to recover from a major drawdown.

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
2018-01-29 2018-12-24 2019-07-01 -19.69% 518
2015-05-22 2016-02-11 2016-12-08 -18.76% 566
2006-05-10 2006-06-13 2006-10-16 -14.17% 159

The Vanguard Global Equity Fund Investor Shares took approximately 24 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.