αc Funds of Funds II

The same strategy as with αc Funds of Funds I is applied here, although we add an additional fixed allocation to bonds to make the portfolio even safer. The safety in this case is paid by the smaller achieved returns. The same strategy as with αc Funds of Funds I is applied here, although we add an additional fixed a...
31 December 1976  –  29 July 2021
Compare with
S&P 500 (US Large Cap) (SP500.X)

Performance

Annualized Return
9.63%
αc Funds of Funds II
10.45%
S&P 500 (US Large Cap)
Sharpe Ratio
1.78
αc Funds of Funds II
0.65
S&P 500 (US Large Cap)
Maximum Drawdown
-12.12%
αc Funds of Funds II
-55.2%
S&P 500 (US Large Cap)

Metrics

Metric αc Funds of Funds II S&P 500 (US Large Cap)
Initial Balance $10,000 $10,000
Final Balance $604,716 $840,969
Returns
Month-To-Date 1.98% 2.94%
Year-To-Date 3.23% 18.25%
3M 3.44% 5.54%
6M 3.41% 15.19%
Annual Return (1Y) 6.34% 38.8%
Annual Return (3Y) 9.65% 18.13%
Annual Return (5Y) 7% 17.33%
Annual Return (10Y) 7.19% 15.16%
Annual Return (All) 9.63% 10.45%
Enh Ann Return 9.31% 11.8%
Best Year 34.46% 38.03%
Worst Year -3.8% -36.81%
Risk
Annual Volatility 5.24% 17.78%
Max Drawdown -12.12% -55.2%
Sharpe Ratio 1.78 0.65
Sortino Ratio 2.64 0.91
Enhanced Sortino 3.81 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 II S&P 500 (US Large Cap) Won
1976 0% 0%  =
1977 3.62% -11.68%
1978 8.14% 0.77%
1979 9.54% 11.67%
1980 7.83% 28.17%
1981 1.61% -8.47%
1982 34.46% 19.3%
1983 11.28% 17.15%
1984 8.64% 3.69%
1985 31.3% 22.71%
1986 20.37% 9.31%
1987 -0.08% 4.7%
1988 1.09% 16.22%
1989 12.33% 31.37%
1990 3.58% -3.33%
1991 19.44% 30.19%
1992 7.17% 8.21%
1993 15.78% 8.75%
1994 -3.8% 0.4%
1995 23.99% 38.03%
1996 8.34% 22.55%
1997 11.19% 33.48%
1998 14.73% 28.69%
1999 8.19% 20.39%
2000 8.06% -9.73%
2001 4.21% -11.75%
2002 7.42% -21.59%
2003 13.32% 28.18%
2004 8.13% 10.7%
2005 5.78% 4.83%
2006 12.19% 15.85%
2007 11.7% 5.14%
2008 13.16% -36.81%
2009 11.75% 26.37%
2010 9.55% 15.06%
2011 11.09% 1.89%
2012 8.11% 15.99%
2013 2.31% 32.31%
2014 9.79% 13.46%
2015 -0.17% 1.25%
2016 6.26% 12%
2017 10.77% 21.7%
2018 0.79% -4.56%
2019 12.54% 31.22%
2020 11.48% 18.37%
2021 3.23% 18.25%

αc Funds of Funds II had 42 positive years and 3 negative years. That's a positive ratio of 93%.

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 II had a better yearly return 38% 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 -1.7% 0.2% 0.3% 0.8% -0.1% 0.8% -0.3% 0.9% 0.9% 0.5% 0.1% 1.1% 3.6%
1978 0% 0.3% 0.9% 0.9% 0.9% 0% 2.2% 1.4% 0.7% 1.2% -2.7% 2.2% 7.8%
1979 1.1% 0.5% 1.5% 0.6% -0.4% 1.7% 1% 1.8% 0.4% -3.3% 1.9% 2.5% 9.1%
1980 3.4% -1.2% -5.6% 3.7% 2% 2.6% 0.2% 0.3% 0.9% -0.1% 2.9% -1.3% 7.7%
1981 -1% 0.2% 1.6% -1.3% 1.3% -1.3% -0.6% -1% -0.6% 2% 3.8% -1.4% 1.6%
1982 1.5% 0.6% 2% 3.1% 0.9% 0.6% 2.5% 5.3% 2.7% 6% 3.2% 1.7% 29.7%
1983 1.9% 0.5% 1.5% 3.6% 0.3% 1.3% -1.3% -0.1% 1.7% -0.4% 1.7% 0.1% 10.8%
1984 1.5% 0.6% 0.6% 0.1% -1.9% 0.8% 1.1% 2.4% 1% 1.2% 0.4% 0.7% 8.3%
1985 4.4% 0.5% 1.5% 1.8% 3.2% 1.4% 2.5% 2.1% 0.7% 3.7% 3.3% 2.6% 27.3%
1986 1.3% 4.9% 4% 2.3% -0.6% 1.9% 0% 3.9% -0.6% 0.8% 0.9% -0% 18.6%
1987 1.9% 1% 0.4% -1.6% -0.8% 1.2% 1% 0.3% -2.8% -1.5% 0.2% 0.7% 0.1%
1988 2.4% 1.3% -1.2% -0.5% -1.1% 1.3% -1.3% -1.5% 1.6% 1.2% -1.2% 0.3% 1.2%
1989 1.8% -1.5% 0.1% 2.9% 2.3% 1.1% 2.9% -1.6% -0.1% 0.9% 0.5% 2.5% 11.7%
1990 -1.5% 0% -0.9% -1.8% 4.9% 2.1% 1.8% -4.7% -1% 0.6% 2.6% 1.6% 3.6%
1991 3.3% 3.2% 1.4% 0.8% 2% -1.7% 1.8% 1.9% 1.4% 0.5% -0% 3.4% 17.9%
1992 -0.8% 0.9% -1.1% 0.9% 2.2% 0.2% 1.7% -0.2% 1.4% -0.7% 1% 1.6% 7%
1993 1.4% 1.9% 1.1% 0.5% 1.1% 1.5% 1.2% 2.9% 0.1% 1.6% -1% 2.7% 14.7%
1994 1.8% -2.2% -2.8% 0.1% -0.4% -0.5% 1.5% 0.5% -1.9% 0.4% -1% 0.8% -3.7%
1995 2.1% 3% 1.5% 1.8% 4% 1.6% 0.9% 0.5% 2% 1% 2.3% 1.2% 21.7%
1996 1.7% -1.3% -0.3% 0.5% 0.6% 0.8% -0.8% 0.1% 2.1% 2.4% 3.8% -1.4% 8.2%
1997 0.9% 0.4% -2.2% 1.8% 2.2% 1.8% 4.5% -2.7% 2.8% -0.8% 0.6% 1.5% 10.8%
1998 1% 1.8% 1.9% 1% 0.4% 1.9% 0.2% -3.4% 4% 1.2% 1.7% 2.4% 13.9%
1999 2% -3% 1.7% 2.1% -1.7% 2.1% -1.3% 0% 0.9% 1.5% 1% 2.7% 8.1%
2000 -1.8% 3.1% 2% -2.1% -0.2% 1.9% -0.1% 1.8% -1% 0.9% 1.6% 1.8% 8%
2001 2.2% -0.4% -1.1% -0.8% 0.7% 0.4% 2.1% 1% 1.1% 1.2% -1.9% -0.4% 4.3%
2002 0.3% 1.3% -0.7% 0.3% 0.2% -1.7% 0.7% 2.9% 2% -1.2% 0.3% 3% 7.3%
2003 1.1% 1.2% -1.1% 1.9% 4.4% -0.1% -1.9% 1.3% 1.8% 0.2% 1.3% 2.7% 12.6%
2004 0.5% 1.6% 0.5% -3.4% 0.2% 1% -0.7% 1.9% 1.1% 1.5% 1.8% 2% 8%
2005 0% 1.3% -1.6% 1.5% 1.3% 1.1% -0.7% 1% 0.2% -1.6% 1.5% 1.7% 5.7%
2006 2% -0% 0.1% 1.6% -1.1% -0.1% 1.6% 2.2% 1.2% 1.8% 2.3% 0% 11.7%
2007 0.1% 1.2% 0.5% 2% 0.4% -0.4% 0.6% 1.2% 2.5% 2.9% 0.2% 0% 11.3%
2008 2.7% 0.5% -0.3% -0.4% -0.2% 0.2% -0.2% 0.6% -0.7% -3.6% 6.8% 7.4% 12.8%
2009 -3.6% -1% 2.8% 1.5% 3.1% -0.4% 3.3% 2.3% 2.3% -0.9% 2.8% -0.8% 11.4%
2010 -0.2% 1.4% 1.9% 1.5% -1.3% 1.6% -0% 3.3% 0.9% 0.9% -2.1% 1.5% 9.3%
2011 -0.1% 1.5% 0.4% 2.3% 0.3% -1.2% 0.8% 2.9% 2.8% 0.4% 0.6% 0.1% 10.7%
2012 1.6% 0.6% -0.3% 0.9% -0.5% 1.1% 1.6% 0.8% 0.9% -0.1% 0.8% 0.5% 7.9%
2013 0.5% -0.2% 1% 1.5% -1.2% -2.1% 1% -1.3% 1.3% 1.9% -0.3% 0.1% 2.4%
2014 0.4% 2% -0.1% 0.8% 1.4% 1% -0.8% 2.4% -1.6% 1.5% 1.7% 0.8% 9.4%
2015 2.3% -0.3% 0.1% -0.6% -0.4% -2% 2% -1.5% 0.5% 1.4% -0.6% -0.9% -0%
2016 0.6% 3.3% 0.7% 0.6% 0.3% 2.5% 1.7% -0.4% 0% -1.5% -2% 0.5% 6.2%
2017 1.1% 1.9% 0% 1.7% 1.8% -0.1% 0.7% 1.4% -0.3% 0.4% 0.9% 0.9% 10.3%
2018 0.8% -2.2% 0.1% -0.7% 0.8% -0.1% 0.3% 1.3% -0.9% -2.5% 0.9% 3% 0.9%
2019 1.6% -0.3% 2.2% 0.8% -0.3% 3% 0.3% 2.9% -0.3% 0.8% 0.5% 0.8% 11.9%
2020 2% -0.6% -0.6% 2.8% 0.6% 1% 3.6% 1% -1.4% -1.5% 3.2% 0.9% 11.4%
2021 -1.4% -1.1% -0.3% 2.5% 0.8% 0.7% 2% 0% 0% 0% 0% 0% 3.3%
Pos 80% 68.9% 64.4% 77.8% 64.4% 71.1% 71.1% 75% 70.5% 68.2% 77.3% 84.1% 95.6%
Avg 1% 0.6% 0.3% 0.9% 0.7% 0.7% 0.9% 0.9% 0.7% 0.5% 1.1% 1.2% 9.3%

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 II

start valley end Drawdown days
2020-03-09 2020-03-18 2020-04-24 -12.12% 46
1980-01-22 1980-03-27 1980-08-08 -8.8% 199
2008-09-18 2008-10-10 2008-11-25 -8.14% 68
1987-08-26 1987-10-20 1989-05-12 -7.84% 625
1994-02-03 1994-11-22 1995-03-14 -7.22% 404

The αc Funds of Funds II 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.