αc Developed Markets

New York Stock Exchange
USD

The portfolio pursues a 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 a single ETF which is deemed to outperform the others, and rebalance once a month. During unfavorable market conditions we invest in fixed-income instruments.

The investment universe for the portfolio is comprised of region-based ETFs in the developed world.

1 July 1970  –  24 May 2024
Compare with
S&P 500 (US Large Cap) (SP500.X)

Performance

Annualized Return
15.39%
αc Developed Markets
10.57%
S&P 500 (US Large Cap)
Sharpe Ratio
1.19
αc Developed Markets
0.69
S&P 500 (US Large Cap)
Maximum Drawdown
-26.21%
αc Developed Markets
-55.19%
S&P 500 (US Large Cap)

Metrics

Metric αc Developed Markets S&P 500 (US Large Cap)
Initial Balance $10,000 $10,000
Final Balance $22,542,192 $2,261,607
Returns   [View more details]
Month-To-Date 5.61% 5.47%
Year-To-Date 11.79% 11.73%
3M 6.87% 6.81%
6M 17.45% 17.19%
Annual Return (3Y) 7.29% 9.7%
Annual Return (5Y) 15.84% 15.22%
Annual Return (All) 15.39% 10.57%
Risk   [View more details]
Annual Volatility 12.7% 16.48%
Max Drawdown -26.21% -55.19%
Sharpe Ratio 1.19 0.69
Sortino Ratio 1.74 0.97
Adjusted Sortino (S/√2) 1.23 0.69

  • 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 May 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 18.58% 7.29% 15.84% 12.71% 16.13% 15.39%
S&P 500 (US Large Cap) 30.65% 9.7% 15.22% 12.78% 10.12% 10.57%

Annual Returns

Year αc Developed Markets S&P 500 (US Large Cap) Won
1970 13.48% 21.43%
1971 25.1% 13.65%
1972 21.2% 21.7%
1973 -15.47% -16.74%
1974 10.62% -26.1%
1975 -4.32% 38.04%
1976 11.41% 22.52%
1977 20.27% -6.3%
1978 8.74% 7.69%
1979 2.38% 18.3%
1980 25.57% 31.11%
1981 6.62% -8.55%
1982 26.57% 19.25%
1983 13.9% 17.07%
1984 3.72% 3.67%
1985 74.86% 22.6%
1986 39.36% 9.3%
1987 9.27% 4.69%
1988 4.69% 16.27%
1989 34.7% 31.4%
1990 5.42% -3.35%
1991 20.35% 30.2%
1992 3.92% 8.21%
1993 19.91% 8.81%
1994 -4.84% 0.4%
1995 32.56% 38.05%
1996 17.32% 22.5%
1997 21.85% 33.48%
1998 22.49% 28.69%
1999 25.42% 20.39%
2000 -1.54% -9.74%
2001 2.33% -11.76%
2002 8.71% -21.58%
2003 34.97% 28.18%
2004 20.71% 10.7%
2005 0.27% 4.83%
2006 30.79% 15.85%
2007 13.26% 5.15%
2008 31.91% -36.79%
2009 37.6% 26.35%
2010 11.77% 15.06%
2011 8.02% 1.89%
2012 25.79% 15.99%
2013 21.69% 32.31%
2014 10.72% 13.46%
2015 -8.49% 1.23%
2016 14.22% 12%
2017 28.08% 21.71%
2018 5.56% -4.57%
2019 12.34% 31.22%
2020 34.45% 18.33%
2021 27.16% 28.73%
2022 -14.81% -18.18%
2023 17.15% 26.18%
2024 11.79% 11.73%

αc Developed Markets 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 had a better yearly return 58% 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% 2.4% 0.3% 7.2% 13.5%
1971 3.8% 4.1% 3.1% 3.7% -1% 0.6% 4.5% -0.1% -2% -3.3% 3.2% 6.5% 25.1%
1972 5.9% 5.4% 2.7% 2% 1.7% -5.1% 0.1% 0.7% -1.3% 0.4% 5.3% 2.2% 21.2%
1973 1.1% -3.3% 2.7% 0.5% 1.4% 3.8% -5.3% -4.2% -3% -1.7% -7.4% -0.7% -15.5%
1974 0.5% 4.6% 1.3% -0.4% -1.5% -5.9% 6.2% -0% 1% 3.2% 1% 0.6% 10.6%
1975 -4.2% 11.8% -3.1% 7.2% -1.6% -6.4% 0.3% -6.5% -1.3% 0.3% 1.7% -1.1% -4.3%
1976 4.7% -2% 0.5% 1.1% -0.3% 0.9% 2.6% -0.5% 2.4% -2.9% 0.9% 3.7% 11.4%
1977 -0.5% 0.8% 0.8% 3.7% -0.7% 1.3% -1.5% 4.5% 4.3% 2.5% -1.7% 5.4% 20.3%
1978 -0.1% -0.2% 3.5% -1.5% 2.5% 0.7% -0.1% 3.6% 0.5% 4.1% -8.8% 5% 8.7%
1979 0.5% -1% 6.3% 1.3% -5% 2.4% 1.5% 3.1% 2% -8.3% -0.2% 0.6% 2.4%
1980 8.4% 0.4% -9.8% 1.5% 3.6% 7.2% 2.1% 1.7% 2.7% 2% 11% -5.9% 25.6%
1981 -4.4% 2.1% 3.7% -2.2% 0.6% -1.4% 0.1% 0.2% 0.2% 0.2% 8.1% -0.3% 6.6%
1982 1.4% -3.9% 2% 3% 0% 0.6% 0.4% 6% -0.2% 10.8% 4.2% 0.3% 26.6%
1983 3.4% 2.5% 3.5% 7.6% -2.2% 1.8% -3.8% -2.1% 1.3% -1.4% 2.3% 0.8% 13.9%
1984 4% 2.8% 2.6% -1.4% -7.3% 0.2% 0.2% 2.2% 1.4% 0.3% -1% 0.1% 3.7%
1985 7.6% 1.4% 0% 3.1% 5.2% 1.2% 9.4% 5.1% 1.6% 11.1% 7.8% 4.4% 74.9%
1986 1.9% 11.9% 8.2% 9.3% -8.8% 4.4% -0.9% 11.2% -6.3% 0.6% 2.3% 2.3% 39.4%
1987 4.4% 3.6% 4.9% 3.9% -0.6% 2.9% 5.3% 3.8% -2.3% -17% 1.3% 0.9% 9.3%
1988 2.7% 0.7% -0% 0.4% -1.7% -1% 0.2% -3.4% 1.8% 3.2% 1.3% 0.5% 4.7%
1989 3.6% -1.1% 0.7% 2.8% 3.6% -0.6% 9% 1.9% -0.4% -2.3% 2% 11.9% 34.7%
1990 -0.3% -2.4% 1.4% -2.7% 8.1% 5.6% 4.5% -10.4% -1.7% -0.2% 2.2% 2.2% 5.4%
1991 6.2% 7.1% 2.4% 0.2% 4.3% -4.6% 4.6% 2.3% -1.7% -1.9% -3.4% 3.9% 20.4%
1992 -1.9% 0.5% -2% 2.9% 4.3% -0.8% -3.7% -2% 1.2% 0.3% 3.4% 1.9% 3.9%
1993 0.1% 1.1% 2.2% -2.6% 1.3% -1.4% 0.4% 8.8% -0.2% 3.7% -2.2% 7.7% 19.9%
1994 4.7% -3.6% -3% 4.9% -4.1% -1.1% 1.7% 2.2% -4.1% 1.7% -4% 0.5% -4.8%
1995 3% 4.1% 2.8% 3% 4% 2% 3.2% -3.8% 4.8% -0.3% 4.5% 1.6% 32.6%
1996 3.6% 0.3% 1.7% 1.1% 2.3% 0.9% -4.5% 2.5% 2% 2.2% 7% -2.4% 17.3%
1997 2.6% 0.4% -4.4% 2% 6.8% 4.1% 7.9% -5.2% 4.8% -2.5% 1.3% 2.9% 21.9%
1998 1.3% 7.5% 7.2% 1.9% 2.4% 1.2% 1.9% -12.5% 2.7% 0.4% 1% 7% 22.5%
1999 3.5% -3.2% 4.2% 3.8% -2.3% 5.5% -3.1% -0.5% -1% 3.6% 3% 10.3% 25.4%
2000 -7.2% 5.3% 2.4% -5.1% -1.6% 2% 0.7% -0.1% -3.4% 2% 2.6% 1.5% -1.5%
2001 1.1% 1% 0.5% -2% 1.7% -0% 2.3% 1% 1.5% -2.1% -2% -0.4% 2.3%
2002 0.6% 1.8% -0.4% -1.7% 0.1% -3.4% 1.7% 3.8% 3.6% -2.4% 0.6% 4.5% 8.7%
2003 4.7% 1.8% -3% 0.6% 7.4% 1% 2% -0.2% -0.8% 4.9% 4.3% 8.2% 35%
2004 1.1% 2.9% -3.1% -0.8% 1.5% 1.6% -2.7% 3.1% 2% 2.4% 7.3% 4.2% 20.7%
2005 -1.9% 4.9% -2.6% -2.2% 0.3% 0.2% 3.8% -0.9% 0.1% -2.1% 0.9% 0.1% 0.3%
2006 4.5% -0.3% 4% 5.2% -2.9% 1% 1% 3.2% 1.1% 3.7% 3.8% 3.1% 30.8%
2007 1.6% -1.2% 3.7% 5.8% 2.1% -0.4% -2.8% 0.3% 5.2% 4.7% -3.8% -2.1% 13.3%
2008 4.4% 2.2% -1.4% -2.5% 3% 4% -0.3% 2.2% 0.6% 0.5% 11.6% 4.5% 31.9%
2009 -3.2% 2.1% 4.6% -2.1% 8.8% -3.2% 11.4% 5.5% 4.8% -2.6% 4.5% 3% 37.6%
2010 -3.6% 3.1% 6.1% 1.6% -8% 3.1% -1.8% 5.3% 3.3% 3.8% -7.8% 7.7% 11.8%
2011 2.3% 3.5% 0% 2.9% -2.9% -2.1% -4.6% 4.1% 7.9% 3.4% 1.8% -7.6% 8%
2012 3.9% 4.3% 3.2% -0.7% -6% 4.1% 1.2% 2.5% 2.6% 1.8% 2.5% 4.3% 25.8%
2013 4.3% -3.4% 3.2% 1.9% 2.4% -1.3% 5.2% -3% 3.2% 3.9% 1% 2.9% 21.7%
2014 -4.6% 4.7% 0.6% 1.2% 0.7% 2% -1.3% 4% -1.4% 2.4% 2.8% -0.3% 10.7%
2015 -3% 5.6% -1.6% 1% 0.2% -3.3% 2.7% -5.8% -1.8% -0% -0.3% -2.1% -8.5%
2016 -5% 8.3% -0.2% 1.1% 1.7% 0.4% 3.7% 0.1% 0% -1.7% 3.7% 2% 14.2%
2017 1.8% 3.9% 0.1% 4.2% 4.9% -0.5% 2.8% 0.1% 3.2% 0.5% 3% 1.2% 28.1%
2018 5.6% -3.6% -2.7% 0.5% -0% -0.2% 3.7% 3.2% 0.6% -6.9% 0.9% 5.1% 5.6%
2019 2.4% -0.5% 0.8% 4.1% -6.4% 6% -0.7% -1.7% 2% 2.2% 1.4% 2.7% 12.3%
2020 -0% -7.9% 5.4% 7.5% 2.3% 2.4% 5.3% 7% -3.7% -2.5% 10.9% 5% 34.5%
2021 -0.9% 2.6% 3.3% 5.6% 3.9% -1.4% 2.6% 3% -4.7% 7% -0.8% 4.6% 27.2%
2022 -5.3% 2.2% -1.2% -2.2% -1.5% -2.2% -1.6% -1.1% -2.5% 0.8% 1.6% -2.7% -14.8%
2023 9.6% -1.7% 2.5% 4.1% -5.1% 6.7% 3.3% -1.6% -4.7% -2.2% 1.6% 4.7% 17.2%
2024 1.6% 5.2% 3.2% -4% 5.6% - - - - - - - 11.8%
Pos 70.4% 70.4% 72.2% 70.4% 58.5% 60.4% 70.4% 62.3% 61.1% 63% 75.9% 79.6% 89.1%
Avg 1.5% 1.8% 1.4% 1.6% 0.5% 0.7% 1.5% 0.8% 0.5% 0.6% 1.8% 2.5% 16%

Other Return Metrics

Metric αc Developed Markets S&P 500 (US Large Cap)
Cumulative Return 225321.92% 22516.07%
Enh Ann Return 15.51% 12.18%
Best Year 74.86% 38.05%
Worst Year -15.47% -36.79%
Best Month 11.89% 13.27%
Worst Month -17.02% -21.73%
Best Day 8.89% 14.52%
Worst Day -7.25% -20.46%
Win Ratio (Yearly) 89.09% 80%
Win Ratio (Quarterly) 73.15% 70.37%
Win Ratio (Monthly) 67.85% 63%
Win Ratio (Daily) 58.64% 54.78%

Annual Volatility

Annual Volatility 1y Annual Volatility 3y Annual Volatility 5y Annual Volatility 10y Annual Volatility 20y Annual Volatility
αc Developed Markets 10.96% 12.05% 14.68% 13.69% 14.71% 12.7%
S&P 500 (US Large Cap) 11.4% 17.26% 20.91% 17.52% 18.98% 16.48%

Sharpe Ratio

Sharpe Ratio 1y Sharpe Ratio 3y Sharpe Ratio 5y Sharpe Ratio 10y Sharpe Ratio 20y Sharpe Ratio
αc Developed Markets 1.61 0.64 1.08 0.94 1.09 1.19
S&P 500 (US Large Cap) 2.4 0.62 0.78 0.78 0.6 0.69

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

start valley end days Drawdown
1973-07-02 1974-07-05 1977-08-18 1508 -26.21%
1987-08-26 1988-08-22 1989-07-31 705 -22.1%
2015-05-15 2016-01-20 2016-12-13 578 -20.88%
2020-02-20 2020-03-18 2020-04-13 53 -17.92%
1998-07-21 1998-09-02 1999-04-07 260 -17.61%

The αc Developed Markets took approximately 21 months on average to recover from a major drawdown. The longest drawdown lasted 50 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.

Other Risk Metrics

Metric αc Developed Markets S&P 500 (US Large Cap)
Sharpe Ratio 1.19 0.69
Sortino Ratio 1.74 0.97
Adjusted Sortino (S/√2) 1.23 0.69
Calmar Ratio 0.59 0.19
Omega Ratio 1.26 1.15
Gain to Pain Ratio 0.26 0.15
Winckel Ratio 56.36 63.64
Ulcer Index 0.06 0.13
Kelly Criterion 12.23% 7.13%
Skew -0.13 -0.67
Kurtosis 7.16 24.09
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