αc Funds of Funds I

This strategy combines the best of all αc's strategies. It is comprised of 3 different strategies: a short-term momentum strategy, a long-term momentum strategy and a risk-parity strategy.

Its investment objective is to beat large cap indices such as the S&P500 while taking as little risk as possible. The top drawdowns show the effective defensiveness of the strategy. These limited drawdowns are achieved thanks to a globally diversified portfolio holding multiple asset classes, while also taking an active investment approach to weather against changing market conditions.

The investment universe for the portfolio is comprised of multiple assets classes, ranging from large to mid-cap developing markets, emerging markets, commodities and fixed-income instruments.
This strategy combines the best of all αc's strategies. It is comprised of 3 different strategies: a...
31 December 1976  –  29 July 2021
Compare with
S&P 500 (US Large Cap) (SP500.X)

Performance

Annualized Return
13.09%
αc Funds of Funds I
10.45%
S&P 500 (US Large Cap)
Sharpe Ratio
1.53
αc Funds of Funds I
0.65
S&P 500 (US Large Cap)
Maximum Drawdown
-17.49%
αc Funds of Funds I
-55.2%
S&P 500 (US Large Cap)

Metrics

Metric αc Funds of Funds I S&P 500 (US Large Cap)
Initial Balance $10,000 $10,000
Final Balance $2,418,798 $840,969
Returns
Month-To-Date 3.12% 2.94%
Year-To-Date 7.71% 18.25%
3M 5.2% 5.54%
6M 7.47% 15.19%
Annual Return (1Y) 14.11% 38.8%
Annual Return (3Y) 13.83% 18.13%
Annual Return (5Y) 11.05% 17.33%
Annual Return (10Y) 11.15% 15.16%
Annual Return (All) 13.09% 10.45%
Enh Ann Return 12.87% 11.8%
Best Year 41.02% 38.03%
Worst Year -5.29% -36.81%
Risk
Annual Volatility 8.28% 17.78%
Max Drawdown -17.49% -55.2%
Sharpe Ratio 1.53 0.65
Sortino Ratio 2.25 0.91
Enhanced Sortino 2.76 1.37

  • 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 December 1976.
  • 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 45 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 Funds of Funds I S&P 500 (US Large Cap) Won
1976 0% 0%  =
1977 5.11% -11.68%
1978 14.39% 0.77%
1979 17.27% 11.67%
1980 12.54% 28.17%
1981 -3.08% -8.47%
1982 35.98% 19.3%
1983 10.12% 17.15%
1984 6.23% 3.69%
1985 41.02% 22.71%
1986 26.99% 9.31%
1987 7.46% 4.7%
1988 3.83% 16.22%
1989 20.8% 31.37%
1990 -1.15% -3.33%
1991 23.5% 30.19%
1992 7.08% 8.21%
1993 22.49% 8.75%
1994 -5.29% 0.4%
1995 29.96% 38.03%
1996 13.26% 22.55%
1997 12.77% 33.48%
1998 21.28% 28.69%
1999 17.07% 20.39%
2000 4.65% -9.73%
2001 0.1% -11.75%
2002 6.52% -21.59%
2003 23.49% 28.18%
2004 12.5% 10.7%
2005 9.34% 4.83%
2006 21% 15.85%
2007 16.88% 5.14%
2008 18.37% -36.81%
2009 20.97% 26.37%
2010 12.53% 15.06%
2011 14.46% 1.89%
2012 12.53% 15.99%
2013 6.69% 32.31%
2014 13.65% 13.46%
2015 -0.89% 1.25%
2016 10.16% 12%
2017 18.43% 21.7%
2018 1.39% -4.56%
2019 16.66% 31.22%
2020 15.39% 18.37%
2021 7.71% 18.25%

αc Funds of Funds I had 41 positive years and 4 negative years. That's a positive ratio of 91%.

S&P 500 (US Large Cap) had 37 positive years and 8 negative years. That's a positive ratio of 82%.

αc Funds of Funds I had a better yearly return 49% 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
1976 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0%
1977 -3.5% 0.3% 0.5% 1.5% -0.4% 1.4% -0.9% 1.6% 1.7% 0.9% 0.1% 2% 5%
1978 -0.1% 0.4% 1.7% 1.7% 1.6% -0.2% 4.2% 2.7% 1.1% 2.2% -5.6% 4.2% 13.5%
1979 2.1% 0.8% 2.8% 1.1% -0.9% 3.2% 1.8% 3.4% 0.7% -6.8% 3.7% 4.8% 16.1%
1980 6.7% -2.6% -11.3% 7.3% 3.8% 5.1% 0.1% 0.3% 1.6% -0.5% 5.7% -2.7% 12.6%
1981 -2.6% -0% 2.8% -3% 2.1% -3.2% -1.8% -2.5% -1.6% 3.5% 7.1% -3.3% -3%
1982 0.3% -1.3% 1.2% 3.7% -0.4% -1.2% 2.7% 8.2% 3.1% 10% 4.2% 1.2% 31.1%
1983 2.7% 0.1% 2% 6.2% -0.5% 1.7% -3.6% -1.2% 2.4% -1.6% 2.5% -0.7% 9.9%
1984 2% 0.3% 0.3% -0.7% -4.8% 0.8% 1.2% 3.9% 1.1% 1.6% -0.1% 0.6% 6.1%
1985 6.9% -0.6% 1.3% 1.8% 4.6% 1.2% 3.2% 2.5% -0.2% 5.7% 5.1% 3.6% 34.5%
1986 1.3% 8.7% 6.9% 3.4% -2.4% 2.6% -1.2% 6.7% -2.4% 0.4% 0.9% 0% 24%
1987 3.3% 2.1% 2.1% 0.7% -0.4% 1.8% 2.8% 2.1% -2.5% -5.8% 0.5% 0.9% 7.4%
1988 2% 2% -0.6% 0.2% -0.5% 0.7% -1.4% -2.5% 1.7% 1.6% -0.7% 1.2% 3.9%
1989 3% -1.5% 0.7% 4.5% 2.9% -0% 4.3% -0.9% 0% -0.1% 1% 5.3% 19.1%
1990 -1.5% -0.4% -1.4% -2.6% 7% 2.6% 2.3% -8.2% -2.8% -0.3% 3.1% 1.8% -0.9%
1991 5.5% 5.7% 2.1% 0.6% 3.4% -3.4% 2.3% 1.7% 0.8% 0% -0.8% 3.7% 21.4%
1992 -0.3% 1.2% -1.7% 1% 2.5% -0.9% 1.4% -1.3% 1.5% -0.2% 2.1% 1.6% 7%
1993 1.1% 1.7% 1.8% 0.2% 2.2% 1.1% 1.7% 4.1% -0.3% 2.9% -1.1% 5.3% 20.4%
1994 2.2% -2.6% -3.2% 1% -0.9% -0.9% 1.2% 0.9% -2.4% 0.8% -1.8% 0.5% -5.2%
1995 2.3% 3.8% 2.3% 2.2% 4% 2.5% 2.1% -0.3% 3% 0.6% 3% 1.1% 26.5%
1996 2.9% -0.9% 0.3% 1.4% 1.3% 0.4% -1.9% 0.4% 2.5% 2.6% 5.8% -2% 12.9%
1997 1.6% 0.8% -3.3% 2.2% 3.5% 2.5% 6.2% -4.6% 4.1% -3% 0.9% 1.9% 12.6%
1998 1.1% 3.6% 3.5% 1.5% -0.2% 3% 0.1% -8.6% 6.1% 2.9% 2.8% 4.4% 19.9%
1999 3.1% -4.3% 2.8% 3.9% -2.6% 4.2% -2.2% 0.1% 0.6% 2.7% 2% 5.9% 16.5%
2000 -3.6% 5.1% 2.5% -3.2% -0.8% 2.1% -1% 1.7% -2.7% 1.2% 1.7% 1.8% 5.2%
2001 2.7% -1.7% -2.6% -1.1% 0.7% 0.2% 2% 0.9% 1.3% 0.5% -2% -0.7% 0.3%
2002 0.4% 1.2% 0.5% -1.6% -0.4% -3.8% 0.8% 4.1% 2.5% -1.7% 0.5% 4% 6.6%
2003 2.1% 1% -2.1% 2.9% 6.9% -0% -0.4% 2% 1.2% 1.3% 2.2% 4.5% 21.4%
2004 0.5% 2% 0.4% -4.1% 0.8% 1.2% -2.3% 2.1% 1.8% 2.2% 4.3% 3.2% 12.1%
2005 -0.4% 2.9% -2.1% 1.2% 1.7% 1.3% -0.4% 0.9% 1.3% -2.2% 2.6% 2.3% 9.2%
2006 4.2% -0.2% 1% 3.4% -1.9% -0.1% 1.8% 2.7% 1.4% 2.8% 3.6% 0.7% 19.5%
2007 0.3% 0.7% 1.2% 3.3% 1.7% -0.3% 0.1% 1.1% 4.4% 4.8% -1.5% 0% 16.4%
2008 3.2% 1.2% -0.7% -1.1% 0.8% 0.6% -0.7% 0.4% 0.4% -4.9% 10.6% 8.1% 17.4%
2009 -5.3% -0.9% 4.5% 2.4% 5.5% -1.2% 5.5% 3.3% 3.5% -2.1% 4.4% 0.2% 19.9%
2010 -1.9% 2.5% 3.7% 2% -3.8% 1.5% -0.9% 5.4% 1.8% 1.6% -3.3% 3.6% 12.3%
2011 -0.2% 2.7% 1% 3.1% -0.7% -1.9% -0.1% 4.2% 4.9% 0.6% 1.5% -1.2% 14.1%
2012 2.5% 1.3% -0% 0.9% -2.1% 2.2% 1.8% 1.6% 1.4% -0.2% 1.3% 1.3% 12.1%
2013 1.7% -1.1% 1.8% 2% -0.4% -2.5% 1.8% -1.7% 1.5% 2.9% -0.3% 0.8% 6.8%
2014 -0.7% 3.6% -0% 0.9% 1.6% 2% -1.5% 3.6% -2.7% 2.1% 2.6% 1.5% 13%
2015 2.6% 0.4% -0.2% -1% -0.5% -3% 3.2% -2.7% 0.1% 2.8% -0.8% -1.5% -0.6%
2016 -0.1% 5.7% 0.5% 0.9% 0.5% 3% 2.9% -0.7% -0% -2.2% -1.4% 0.7% 10%
2017 2% 3.1% 0.1% 2.4% 2.8% -0.2% 1.1% 1.9% -0% 0.6% 2% 1.3% 17.1%
2018 2.8% -3.3% -0.4% -0.6% 1% -0.4% 0.7% 1.9% -1.1% -4.3% 1.4% 3.9% 1.7%
2019 2.3% -0.4% 2.3% 1.8% -2.5% 4.9% 0.5% 2.9% -0% 1.3% 1% 1.7% 15.6%
2020 1.9% -2.8% -0.7% 3.9% 0.6% 1.3% 5.9% 2.9% -2.7% -2.4% 5.3% 1.6% 15.2%
2021 -2.1% -0.6% 0.5% 4.3% 1.6% 0.6% 3.1% 0% 0% 0% 0% 0% 7.7%
Pos 71.1% 62.2% 66.7% 77.8% 55.6% 62.2% 66.7% 72.7% 68.2% 63.6% 72.7% 84.1% 91.1%
Avg 1.3% 0.9% 0.6% 1.4% 0.8% 0.7% 1.1% 1.1% 0.9% 0.6% 1.7% 1.8% 12.5%

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 Funds of Funds I

start valley end Drawdown days
1980-01-22 1980-03-27 1980-09-17 -17.49% 239
2020-02-20 2020-03-18 2020-07-08 -16.1% 139
1990-08-02 1990-10-16 1991-02-05 -12.6% 187
1998-07-21 1998-08-31 1998-12-07 -12.22% 139
1980-12-01 1981-09-28 1982-08-05 -12.08% 612

The αc Funds of Funds I took approximately 9 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
1980-12-01 1982-08-12 1982-10-13 -25.09% 681

The S&P 500 (US Large Cap) took approximately 38 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.