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.

30 June 1970  –  26 November 2021
Compare with
S&P 500 (US Large Cap) (SP500.X)

Performance

Annualized Return
15.97%
αc Developed Markets
10.32%
S&P 500 (US Large Cap)
Sharpe Ratio
1.23
αc Developed Markets
0.67
S&P 500 (US Large Cap)
Maximum Drawdown
-25.96%
αc Developed Markets
-55.2%
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 $20,467,781 $1,564,185
Returns
Month-To-Date -0.06% -0.06%
Year-To-Date 22.43% 23.97%
3M 2.57% 2.57%
6M 6.84% 10.24%
Annual Return (1Y) 27.61% 28.44%
Annual Return (3Y) 24.71% 21.86%
Annual Return (5Y) 20.34% 17.83%
Annual Return (10Y) 15.24% 16.64%
Annual Return (All) 15.97% 10.32%
Enh Ann Return 16.14% 12.02%
Best Year 75.1% 38.04%
Worst Year -14.76% -36.81%
Risk
Annual Volatility 12.68% 16.62%
Max Drawdown -25.96% -55.2%
Sharpe Ratio 1.23 0.67
Sortino Ratio 1.8 0.95
Adjusted Sortino (S/√2) 1.27 0.67
Ulcer Index 0.06 0.14
Gain to Pain Ratio 0.27 0.14

  • 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 June 1970.
  • Final balance: The amount of capital we've accrued over time as of November 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 51 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.

Chart

Table

Year αc Developed Markets S&P 500 (US Large Cap) Won
1970 11.16% 21.45%
1971 24.81% 13.65%
1972 20.1% 21.01%
1973 -14.76% -16.26%
1974 10.59% -26.1%
1975 9.25% 38.04%
1976 15.56% 24.33%
1977 15.74% -11.68%
1978 19.67% 0.77%
1979 7.72% 11.67%
1980 19.43% 28.17%
1981 6.97% -8.47%
1982 27.08% 19.3%
1983 13.72% 17.15%
1984 3.48% 3.69%
1985 75.1% 22.71%
1986 39.1% 9.31%
1987 8.62% 4.7%
1988 -0.41% 16.22%
1989 34.84% 31.37%
1990 3.95% -3.33%
1991 20.38% 30.19%
1992 4.28% 8.21%
1993 19.92% 8.75%
1994 -6.98% 0.4%
1995 33.04% 38.03%
1996 17.38% 22.55%
1997 21.85% 33.48%
1998 20.69% 28.69%
1999 25.36% 20.39%
2000 -1.4% -9.73%
2001 2.22% -11.75%
2002 8.13% -21.59%
2003 35.83% 28.18%
2004 20.74% 10.7%
2005 -4.15% 4.83%
2006 30.8% 15.85%
2007 13.24% 5.14%
2008 31.1% -36.81%
2009 37.6% 26.37%
2010 11.77% 15.06%
2011 8.01% 1.89%
2012 25.79% 15.99%
2013 21.69% 32.31%
2014 10.7% 13.46%
2015 -8.49% 1.25%
2016 14.23% 12%
2017 28.08% 21.7%
2018 5.56% -4.56%
2019 12.34% 31.22%
2020 33.61% 18.37%
2021 22.43% 23.97%

αc Developed Markets had 46 positive years and 6 negative years. That's a positive ratio of 88%.

S&P 500 (US Large Cap) had 42 positive years and 10 negative years. That's a positive ratio of 81%.

αc Developed Markets had a better yearly return 56% 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
1970 0% 0% 0% 0% 0% 0% 1.1% 1% 1% -0.5% 1% 7.2% 10.6%
1971 3.8% 3.5% 3.8% 3.7% -1.1% 0.7% 4.5% -0.1% -2% -3.3% 3.1% 6.4% 22.2%
1972 5.9% 5.4% 2.7% 2% 1.7% -5% -0.2% 0.8% -0.7% -0.4% 5.3% 1.6% 18.4%
1973 1.7% -3.3% 2.6% 0.5% 1.4% 3.8% -5.3% -4.2% -3% -1.7% -7.3% -0.4% -15.6%
1974 0.5% 4.6% 1.3% -0.4% -1.5% -5.9% 6.2% -0% 1% 3.2% 1% 0.6% 11.2%
1975 -4.2% 12.6% -3.1% 7.2% -1.6% 4% 0.4% -3.8% -4.1% 0.4% 0.4% 2.1% 9.2%
1976 4.4% -2% 4.5% 1.1% -0.4% 0.9% 1% 1% 2.4% -2.1% -0.1% 4% 14.6%
1977 -5% 1.5% 0.8% 3.7% -0.7% 1.3% -1.5% 4.5% 4.3% 2.5% -1.7% 5.4% 14.7%
1978 -0.1% -0.2% 3.5% -1.5% 0.4% 1% 7.6% 3.5% 4.1% 4.7% -8.8% 5% 18.1%
1979 0.4% 1.8% 6.4% 1.3% -5% 2.9% 2.1% 3.4% 1.3% -9.3% 2.2% 0.9% 7.6%
1980 8.5% 0.4% -14.6% 1.8% 3.6% 7.2% 2.1% 1.7% 2.7% 2% 11% -5.9% 19.9%
1981 -4.4% 2.1% 3.7% -2.2% 0.6% -1.5% 0.1% 0.2% 0.2% 0.2% 8.5% -0.3% 7.2%
1982 1.4% -3.9% 2.2% 3% -0.1% 0.5% 0.4% 6.3% -0.1% 10.8% 4.2% 0.3% 25.6%
1983 3.4% 2.5% 3.5% 7.6% -2.3% 1.8% -3.8% -2.2% 1.4% -1.4% 2.3% 0.8% 13.5%
1984 4% 2.8% 2.6% -1.4% -7.3% 0.1% 0.2% 2.1% 1.2% 0.3% -1% 0.2% 3.7%
1985 7.6% 1.4% 0% 3.2% 5.2% 1.2% 9.4% 5.1% 1.6% 11.1% 7.8% 4.4% 56.3%
1986 1.9% 11.9% 8.2% 9.3% -8.8% 4.4% -0.9% 11.2% -6.3% 0.6% 2% 2.4% 33.2%
1987 4.4% 3.6% 4.9% 3.9% -0.6% 2.9% 5.4% 3.8% -2.3% -16.8% 1% 0.3% 8.7%
1988 0.1% 0.4% 0.1% 0.7% -1.7% -1% 0.2% -3.4% -0.3% 2.9% 1.3% 0.5% -0.2%
1989 3.6% -1.1% 0.7% 2.8% 3.9% -0.6% 9% 1.9% -0.4% -2.3% 2% 11.7% 30.5%
1990 -0.3% -2.4% 1.4% -2.7% 8.1% 5.4% 4.5% -10.4% -1.6% -0.2% 1.3% 1.9% 4.3%
1991 6.6% 7.1% 2.4% 0.2% 4.3% -4.6% 4.6% 2.3% -1.7% -1.9% -3.4% 3.6% 19.5%
1992 -1.5% 0.5% -2% 2.9% 4.3% -0.8% -3.7% -2% 1.2% 0.3% 3.4% 1.9% 4.7%
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% 18.8%
1994 4.7% -3.6% -3% 4.9% -4.1% -1.1% -0% 2% -4.1% 1.7% -4% 0.1% -6.6%
1995 3.4% 4.1% 2.8% 3% 4% 2% 3.2% -3.8% 4.8% -0.3% 4.4% 1.6% 29%
1996 3.6% 0.3% 1.7% 1.1% 2.3% 0.9% -4.5% 2.5% 2% 2.2% 7% -2.3% 16.8%
1997 2.6% 0.4% -4.4% 2% 6.8% 4.1% 7.9% -5.2% 4.8% -2.5% 1.3% 2.9% 21.5%
1998 1.3% 7.5% 7.2% 1.9% 2.4% 1.2% 1.9% -12.5% 2.4% 0.4% 0.1% 6.7% 20.2%
1999 3.5% -3.2% 4.2% 3.8% -2.3% 5.5% -3.1% -0.5% -1% 3.6% 3% 10.2% 24%
2000 -7.2% 5.3% 2.4% -5.1% -1.6% 2% 0.3% 0.3% -3.4% 2.1% 2.6% 1.6% 0.2%
2001 1.1% 1% 0.5% -2.1% 1.6% -0% 2.3% 1% 1.5% -2.3% -2% -0.4% 2.4%
2002 0.3% 1.5% -0.4% -1.7% 0.1% -3.4% 1.7% 3.7% 3.6% -2.4% 0.6% 4.5% 8.4%
2003 4.7% 2.5% -3% 0.6% 7.4% 1% 2% -0.2% -0.8% 4.9% 4.3% 8.2% 31.4%
2004 1.1% 2.9% -3.1% -0.8% 1.5% 1.6% -2.7% 3.1% 2% 2.4% 7.3% 4.2% 19.7%
2005 -1.9% 4.9% -2.6% -2.2% 0.3% 0.2% -0.6% -1.1% 0% -2.1% 0.9% 0.1% -3.7%
2006 4.5% -0.3% 4% 5.2% -2.9% 1% 1% 3.2% 1.1% 3.7% 3.8% 3.1% 27.9%
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% 14.4%
2008 3.6% 2.2% -1.3% -2.5% 3% 4% -0.3% 2.2% 0.6% 0.5% 11.6% 4.5% 28%
2009 -3.2% 2% 4.6% -2.1% 8.8% -3.2% 11.3% 5.5% 4.8% -2.6% 4.5% 3% 34.1%
2010 -3.6% 3.1% 6.1% 1.5% -7.9% 3% -1.8% 5.3% 3.3% 3.8% -7.8% 7.7% 12.6%
2011 2.3% 3.5% 0% 2.9% -2.9% -2.1% -4.6% 4.1% 7.9% 3.4% 1.8% -7.6% 9.5%
2012 3.9% 4.3% 3.2% -0.7% -6% 4.1% 1.2% 2.5% 2.6% 1.8% 2.5% 4.3% 23.9%
2013 4.3% -3.4% 3.2% 1.9% 2.4% -1.3% 5.2% -3% 3.2% 3.9% 1% 2.9% 20.4%
2014 -4.6% 4.7% 0.5% 1.2% 0.6% 2% -1.3% 3.9% -1.4% 2.4% 2.7% -0.3% 10.9%
2015 -3% 5.6% -1.6% 1% 0.2% -3.3% 2.7% -5.9% -1.7% -0% -0.3% -2.1% -7.7%
2016 -5% 8.2% -0.2% 1.1% 1.7% 0.3% 3.6% 0.1% 0% -1.7% 3.7% 2% 14.2%
2017 1.8% 3.9% 0.1% 4.1% 4.9% -0.5% 2.8% 0.1% 3.2% 0.5% 3% 1.2% 25.1%
2018 5.6% -3.6% -2.7% 0.5% -0% -0.2% 3.7% 3.2% 0.6% -6.9% 0.9% 5.1% 6.4%
2019 2.4% -0.5% 0.8% 4.1% -6.4% 6% -0.7% -1.7% 1.9% 2.2% 1.4% 2.6% 12.3%
2020 -0% -7.9% 5.4% 7.5% 2.3% 2.4% 5.3% 7% -3.7% -2.5% 10.9% 4.3% 31.3%
2021 -0.9% 2.6% 3.3% 5.6% 3.9% -1.4% 2.6% 3% -4.7% 7% -0.1% 0% 21%
Pos 70.6% 72.5% 74.5% 72.5% 58.8% 62.7% 67.3% 67.3% 61.5% 59.6% 75% 82.4% 90.4%
Avg 1.4% 1.9% 1.4% 1.7% 0.5% 0.8% 1.5% 1% 0.7% 0.6% 1.8% 2.5% 15.5%

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 Drawdown days
1973-07-02 1974-07-05 1975-06-20 -25.96% 718
1987-08-26 1988-08-22 1989-10-06 -24.5% 772
2015-05-15 2016-01-20 2016-12-13 -20.88% 578
1980-02-14 1980-04-03 1980-09-16 -20.39% 215
2020-02-20 2020-03-18 2020-04-13 -17.92% 53

The αc Developed Markets took approximately 16 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
1973-02-01 1974-12-31 1976-08-24 -39.16% 1300
2020-02-20 2020-03-23 2020-08-10 -33.7% 172
1987-08-26 1987-10-19 1989-05-19 -33.08% 632

The S&P 500 (US Large Cap) took approximately 42 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.

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