αc U.S. Equities
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
-
0.91αc U.S. Equities
-
0.63S&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% |
| Annualized Return (1Y) | 38.97% | 37.35% |
| Annualized Return (3Y) | 19.16% | 17.98% |
| Annualized Return (5Y) | 19.28% | 17.26% |
| Annualized Return (10Y) | 15.76% | 15.08% |
| Annualized 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.