αc U.S. Equities

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 those that rank in the top 2, weight them equally, and rebalance once a month at most. During unfavorable market conditions the portfolio invests in fixed income instruments.

The investment universe for the portfolio is comprised of U.S. equities only, mostly consisting of large-cap companies.

31 March 1987  –  24 November 2021
Compare with
S&P 500 (US Large Cap) (SP500.X)

Performance

Annualized Return
13.56%
αc U.S. Equities
10.59%
S&P 500 (US Large Cap)
Sharpe Ratio
0.91
αc U.S. Equities
0.63
S&P 500 (US Large Cap)
Maximum Drawdown
-33.22%
αc U.S. Equities
-55.2%
S&P 500 (US Large Cap)

Metrics

Metric αc U.S. Equities S&P 500 (US Large Cap)
Initial Balance $10,000 $10,000
Final Balance $822,890 $328,480
Returns
Month-To-Date 2.22% 2.22%
Year-To-Date 24.7% 26.8%
3M 5.67% 5.3%
6M 14.37% 12.73%
Annual Return (1Y) 33.26% 33.19%
Annual Return (3Y) 23.11% 23.47%
Annual Return (5Y) 20.13% 18.44%
Annual Return (10Y) 16.47% 17.24%
Annual Return (All) 13.56% 10.59%
Enh Ann Return 14.35% 12.63%
Best Year 42.8% 38.03%
Worst Year -16.36% -36.81%
Risk
Annual Volatility 15.21% 18.68%
Max Drawdown -33.22% -55.2%
Sharpe Ratio 0.91 0.63
Sortino Ratio 1.27 0.88
Adjusted Sortino (S/√2) 0.9 0.63
Ulcer Index 0.08 0.15
Gain to Pain Ratio 0.18 0.13

  • 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 1987.
  • 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 35 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 U.S. Equities S&P 500 (US Large Cap) Won
1987 -16.36% -13.56%
1988 1.24% 16.22%
1989 25.52% 31.37%
1990 -10.79% -3.33%
1991 29.91% 30.19%
1992 12.37% 8.21%
1993 12.04% 8.75%
1994 -5.58% 0.4%
1995 39.02% 38.03%
1996 22.78% 22.55%
1997 27.37% 33.48%
1998 18.28% 28.69%
1999 42.8% 20.39%
2000 1.81% -9.73%
2001 4.31% -11.75%
2002 3.97% -21.59%
2003 32.81% 28.18%
2004 10.68% 10.7%
2005 3.05% 4.83%
2006 12.6% 15.85%
2007 6.49% 5.14%
2008 22.57% -36.81%
2009 8.66% 26.37%
2010 18.08% 15.06%
2011 6.95% 1.89%
2012 7.23% 15.99%
2013 35.2% 32.31%
2014 13.45% 13.46%
2015 -4.86% 1.25%
2016 16.87% 12%
2017 24.97% 21.7%
2018 12.76% -4.56%
2019 6.46% 31.22%
2020 32.57% 18.37%
2021 24.7% 26.8%

αc U.S. Equities had 31 positive years and 4 negative years. That's a positive ratio of 89%.

S&P 500 (US Large Cap) had 28 positive years and 7 negative years. That's a positive ratio of 80%.

αc U.S. Equities had a better yearly return 51% 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
1987 0% 0% 0% -1.6% 0.4% 3.5% 3.7% 4.2% -2.3% -24.4% 1.6% 0.9% -14.8%
1988 3.9% 0.5% -2.9% -1.8% -2.3% 3.4% -0.4% -3.1% 3.6% 0.7% -2.2% 2.2% 1.6%
1989 6.3% -1.5% 2% 5.2% 4.2% -1.5% 6.7% 2.6% 0.1% -3% 1.1% 1.1% 23.3%
1990 -7.6% -1.1% -0.3% -2.8% 4.5% 1.6% -2.8% -11% 0.6% 2.1% 4.6% 2% -10.6%
1991 1.1% 10.3% 4.4% 0.4% 4.3% -5.3% 5.1% 3.6% -0.7% 2.2% -3.7% 5.8% 27%
1992 2.5% 1.7% -3.4% -0.7% 0.8% -2.6% 3.6% -2.6% 2.3% 2% 5.6% 2.8% 12.2%
1993 1.5% -1.3% 2.5% -3.3% 4.3% 0.4% -0.1% 4.6% 1% 2.1% -2.2% 2.1% 11.8%
1994 3.2% -1.8% -5.4% -1% -0.5% -0.8% 2.9% -0.7% -0.3% 2% -3.6% 0.6% -5.2%
1995 1.8% 4.5% 3% 3.1% 3.2% 5.1% 5.3% 1.1% 3.2% -0.5% 3.3% 0.6% 33.4%
1996 2% 2.4% 0.5% 4.8% 3.5% -2.3% -6.7% 3.9% 6.6% 1.1% 6.7% -1% 21.3%
1997 6.6% -2.2% -5.4% 4.6% 8.5% 3.7% 9.2% -3.1% 5.8% -4.4% 2.5% -0% 25.8%
1998 2.1% 8.2% 4.4% 1.4% -3.2% 5.2% -1.1% -17.1% 6.1% -1.7% 6.4% 9.2% 18.5%
1999 9.5% -6.2% 5.9% 3.6% -2.6% 7.3% -2.4% 1.9% -1.1% 0.8% 7.1% 14.3% 37.9%
2000 -4% 9.9% 2.2% -10.3% -7.4% 9.8% -3.4% 9.2% -9.4% 2.7% 3% 2.5% 5.9%
2001 0.3% 1.8% -0.6% -2.6% 0.2% 0.8% 3.6% 2% 0.9% 5.1% -5.1% -1.8% 4.7%
2002 1.2% 1.2% -3.9% -7% 0.3% 1.8% 2.9% 4.3% 4% -2.8% -1% 3.5% 4.5%
2003 -0.4% 3% -1.1% 0.9% 7.2% 1.5% 4.4% 3.2% -1.2% 7% 1.2% 3.6% 29.5%
2004 2.5% -0.3% -1.6% -2.7% 2.4% 2.5% -5.7% 3.1% 0.9% 1.5% 4.4% 3.6% 10.9%
2005 -3.8% 0.8% -2.2% -2.9% 5.3% -0.2% 4.9% -1.2% 0.4% -1.6% 4.5% -0.6% 3.6%
2006 3.6% -0.4% 1.9% 0.3% -4.5% -0.1% -1.5% 3.3% 3% 4% 2.3% 0.4% 12.6%
2007 1.7% -2% 0.7% 4.3% 3.3% -0.9% -2.7% 1.7% 3.9% 3.7% -5.6% -1.5% 7.6%
2008 2.6% 0.4% 1% -1.8% -2.1% 1.8% 0.3% 1.8% 0.3% -3.6% 12.1% 8.9% 21.3%
2009 -8.5% -1% 5.3% -5% -2.7% 0.7% 7% 2.6% 4.7% -2.8% 5.4% 3.8% 9.8%
2010 -4.5% 3.7% 6.6% 2.1% -8.1% 3% -0.2% 7.1% -1.8% 3.9% -0.2% 6.4% 18%
2011 2.1% 3.2% -0% 3.1% -1.2% -1.9% -1.3% -5.9% 7.9% -3.3% 1.8% 3.1% 9.1%
2012 0.1% 3% 3.7% -1.1% -6.6% 4% 0.8% 3.3% 2.1% -3.2% 0.8% 0.6% 7.9%
2013 4.6% 1% 3.6% 1.9% 3.1% -1.4% 5.8% -2% 4.1% 4.3% 3.3% 2.7% 30.8%
2014 -2.6% 4.8% -0.9% -0.6% 2.7% 3% -1.1% 4.4% -1.7% 2.7% 3.1% -0.7% 13.4%
2015 -2.6% 6.4% -1.4% 0.9% 2% -1.8% 2.5% -6.5% -1.2% -0.5% -0.4% -1.8% -3.8%
2016 2.6% 2.9% 0.1% -0.6% 2.7% -0.9% 5.1% 0.6% 1% -2.1% 3.1% 1.5% 16.3%
2017 3.1% 3.9% 0.8% 1.7% 2% -0.2% 2.7% 0.8% 1.5% 3% 2.6% 0.8% 22.6%
2018 6.6% -2.7% -2.7% 0.2% 3.9% 0.8% 2.9% 4.5% -0.2% -8.1% 2.4% 5.5% 13.2%
2019 0.5% -1.3% 0.7% 4.4% -7.2% 0.2% 0.3% -2.1% 1.2% 2.9% 4.1% 3.3% 7%
2020 1% -7.3% 9.5% 1.8% -1.7% 3.2% 6.2% 8.5% -4.6% -2.5% 11.4% 4.8% 31.1%
2021 0.3% 1.8% 2.3% 5.4% -0.5% 3.9% 1.7% 3.5% -5% 7.1% 2.2% 0% 23%
Pos 76.5% 61.8% 58.8% 54.3% 60% 62.9% 62.9% 68.6% 65.7% 57.1% 74.3% 79.4% 88.6%
Avg 1.2% 1.4% 0.9% 0.1% 0.5% 1.3% 1.7% 0.9% 1% -0.1% 2.4% 2.6% 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 U.S. Equities

start valley end Drawdown days
1987-08-26 1987-10-26 1991-04-02 -33.22% 1315
2000-03-27 2000-05-23 2001-11-01 -25.57% 584
1998-07-21 1998-08-31 1999-01-20 -22.24% 183
2011-05-02 2011-08-19 2012-02-09 -17.79% 283
2008-12-31 2009-06-10 2009-09-16 -17.33% 259

The αc U.S. Equities took approximately 17 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
2018-09-21 2018-12-24 2019-04-12 -19.34% 203

The S&P 500 (US Large Cap) took approximately 35 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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