αc U.S. Equities

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.
The portfolio pursues a strategy that seeks to achieve equity-like returns with lower volatility and...
31 March 1987  –  28 July 2021
Compare with
S&P 500 (US Large Cap) (SP500.X)

Performance

Annualized Return
13.47%
αc U.S. Equities
10.46%
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 $766,812 $305,059
Returns
Month-To-Date 2.11% 2.52%
Year-To-Date 16.2% 17.76%
3M 4.9% 5.08%
6M 11.38% 14.54%
Annual Return (1Y) 38.97% 37.35%
Annual Return (3Y) 19.16% 17.98%
Annual Return (5Y) 19.28% 17.26%
Annual Return (10Y) 15.76% 15.08%
Annual Return (All) 13.47% 10.46%
Enh Ann Return 14.09% 12.36%
Best Year 42.8% 38.03%
Worst Year -16.36% -36.81%
Risk
Annual Volatility 15.25% 18.74%
Max Drawdown -33.22% -55.2%
Sharpe Ratio 0.91 0.63
Sortino Ratio 1.26 0.87
Enhanced Sortino 1.53 1.39

  • 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 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 34 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 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 16.2% 17.76%

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% 2.1% 0% 0% 0% 0% 0% 15.7%
Pos 76.5% 61.8% 58.8% 54.3% 60% 62.9% 62.9% 67.6% 67.6% 55.9% 73.5% 79.4% 88.6%
Avg 1.2% 1.4% 0.9% 0.1% 0.5% 1.3% 1.7% 0.8% 1.2% -0.3% 2.4% 2.6% 13.5%

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 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.