αc Multi-Asset Opportunities II

New York Stock Exchange
USD

The portfolio pursues a rather defensive 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 2 to 4 ETFs, weight them variably according to certain metrics, and usually rebalance once a quarter. Rebalance frequency may vary depending on certain 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.

31 March 1976  –  2 December 2022
Compare with
S&P 500 (US Large Cap) (SP500.X)

Performance

Annualized Return
12.75%
αc Multi-Asset Opportunities II
10%
S&P 500 (US Large Cap)
Sharpe Ratio
1.17
αc Multi-Asset Opportunities II
0.63
S&P 500 (US Large Cap)
Maximum Drawdown
-38.31%
αc Multi-Asset Opportunities II
-55.2%
S&P 500 (US Large Cap)

Metrics

Metric αc Multi-Asset Opportunities II S&P 500 (US Large Cap)
Initial Balance $10,000 $10,000
Final Balance $2,713,287 $857,629
Returns   [View more details]
Month-To-Date 4.48% -0.19%
Year-To-Date -25.26% -13.34%
3M -3.39% 3.39%
6M -12.11% 0.19%
Annual Return (3Y) -7.78% 11.08%
Annual Return (5Y) -2.2% 10.91%
Annual Return (All) 12.75% 10%
Risk   [View more details]
Annual Volatility 10.72% 17.77%
Max Drawdown -38.31% -55.2%
Sharpe Ratio 1.17 0.63
Sortino Ratio 1.69 0.88
Adjusted Sortino (S/√2) 1.2 0.62

  • 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 1976.
  • Final balance: The amount of capital we've accrued over time as of December 2022.
  • 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 47 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.

Annualized Returns

Annual Return 1y Annual Return 3y Annual Return 5y Annual Return 10y Annual Return 20y Annual Return
αc Multi-Asset Opportunities II -27.21% -7.78% -2.2% 3.46% 10.96% 12.75%
S&P 500 (US Large Cap) -8.31% 11.08% 10.91% 13.26% 9.81% 10%

Annual Returns

Year αc Multi-Asset Opportunities II S&P 500 (US Large Cap) Won
1976 14.88% 8.08%
1977 -1.35% -11.68%
1978 17.09% 0.77%
1979 29.55% 11.67%
1980 7.56% 28.17%
1981 -11.26% -8.47%
1982 52.12% 19.3%
1983 11.34% 17.15%
1984 12.01% 3.69%
1985 28.68% 22.71%
1986 26.02% 9.31%
1987 10.4% 4.7%
1988 8.48% 16.22%
1989 17.58% 31.37%
1990 -9.98% -3.33%
1991 36.37% 30.19%
1992 12.05% 8.21%
1993 30.18% 8.75%
1994 -5.79% 0.4%
1995 30.37% 38.03%
1996 17.14% 22.55%
1997 5.62% 33.48%
1998 27.11% 28.69%
1999 26.69% 20.39%
2000 9.44% -9.73%
2001 -2.59% -11.75%
2002 6.48% -21.59%
2003 22.6% 28.18%
2004 8.46% 10.7%
2005 25.93% 4.83%
2006 25.26% 15.85%
2007 25.51% 5.14%
2008 23.15% -36.81%
2009 24.07% 26.37%
2010 10.71% 15.06%
2011 18.47% 1.89%
2012 4.23% 15.99%
2013 1.64% 32.31%
2014 14.62% 13.46%
2015 6.9% 1.25%
2016 9.43% 12%
2017 14.96% 21.7%
2018 0.15% -4.56%
2019 16.78% 31.22%
2020 -3.82% 18.37%
2021 5.94% 28.74%
2022 -25.26% -13.34%

αc Multi-Asset Opportunities II had 40 positive years and 7 negative years. That's a positive ratio of 85%.

S&P 500 (US Large Cap) had 38 positive years and 9 negative years. That's a positive ratio of 81%.

αc Multi-Asset Opportunities II had a better yearly return 51% of the time compared to S&P 500 (US Large Cap).

Monthly Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
1976 0% 0% 0% -0.4% -0.7% 2.6% 0.7% -0.1% 1.9% 1.4% 4.1% 4.6% 14%
1977 -2.5% -1.2% 0.2% 0.3% -0.4% 0.8% -0.5% -0.2% 0.3% 1% 0.2% 0.7% -1.3%
1978 1% 1.5% 1.3% 5.2% 2.7% -0.3% 1.4% 1.8% -0.3% 3.6% -6.4% 5% 16%
1979 4.3% 1.2% 1.3% 0.5% -0.3% 4.7% 1.6% 4.4% -0.7% -5.1% 4.3% 10.7% 26.2%
1980 8% -3.8% -14.3% 11.2% 3.1% 2.2% -0.7% 1.6% 2.3% -1.6% 3% -1.5% 9%
1981 -0.9% -3.1% 1.4% -3.6% 2.8% -4.8% -3.4% -4.1% -1.7% 4.5% 6.7% -4.7% -11.8%
1982 0.1% 1.8% 2.4% 3.3% 0.8% -2.2% 4.6% 7.8% 6.5% 11.6% 5.7% 1% 42.1%
1983 3.4% -3.4% 1.6% 7.2% 2% 2.7% -4.1% -1.7% 3.2% -1.7% 2.6% -0.4% 11%
1984 1.6% -0.8% -0.9% -0.2% -3% 2.1% 0.4% 8.2% 0.4% 1.8% 0.6% 1.7% 11.4%
1985 9.1% -0.4% 0.1% 1.4% 2.9% 1.4% 0% 1.4% -0.8% 3.1% 3.4% 4.5% 25.3%
1986 0.6% 7.9% 6.9% 1% 2% 1.2% -1.3% 6.1% 0.1% -1.1% -0.2% 0.6% 23.4%
1987 1% 1% 0.8% 0.3% -0.2% 0% 1.9% 2.8% -2.6% 3% 2% 0% 10.1%
1988 3% 5.5% -0.6% 0.8% 0.8% 0.9% -3.1% -2.6% 3.7% -0.5% -2.1% 2.7% 8.4%
1989 1.7% 1.3% 3.9% 8.7% 2.7% -2.7% 0.8% -3.2% 0.3% 0.8% -1.2% 3.8% 16.4%
1990 -2.3% 1.9% -4.2% -3.6% 9.5% 0.8% 0.7% -10.1% -6.6% -0.4% 3.6% 1.7% -10.2%
1991 8.9% 7.8% 3.6% 0.6% 4.9% -4.8% 0.6% 1% 2.7% 0.9% -0% 6% 31.4%
1992 3.2% 2.5% -1.3% -0.6% 1.7% -2.5% 4.1% -1.1% 1.7% 0.5% 2% 1.5% 11.6%
1993 1.6% 1.7% 2.3% 0.1% 2.1% 3.1% 3.3% 1.5% 0.1% 3.6% 0.4% 7.1% 26.5%
1994 0.3% -1.6% -3.7% -1.3% 0.6% -0.5% 1.6% -0.3% -1.2% 0.4% -0.5% 0.5% -5.8%
1995 1.3% 4.7% 2.2% 2.1% 3.4% 4.1% 3% 1.8% 2% 0.6% 1.9% -0.1% 27.1%
1996 3.2% -0.6% -0.1% 3.9% 1.3% -0.8% 0.1% -1.3% 2.8% 2.6% 6.8% -1.6% 16.3%
1997 1.6% 1% -2.6% 1.7% 1% 1.8% 6% -5.6% 4.4% -5.6% 0.7% 1.8% 5.9%
1998 0.2% 2.1% 1.8% 1.5% -2.6% 5.3% -0.5% -10.7% 10.8% 6.9% 6.3% 4.8% 25.3%
1999 4.5% -6.6% 3.8% 6.3% -3% 6.1% -2% 1.3% 0.4% 2.3% 3.5% 8.4% 24.8%
2000 -2.1% 8.3% 1.7% -2.7% -0.3% 2% -2.9% 1.4% -2.7% 1.5% 3% 2.5% 10%
2001 6% -4.4% -6.1% -2.9% 0.2% 0.8% 2.3% 2.2% 3% 1.7% -3.8% -1% -2.1%
2002 0.2% 1.2% 2.6% -3.5% -2.1% -5.7% 2.4% 5.5% 4.3% -3.3% -0.4% 5.9% 7%
2003 1.8% -0% -2.1% 5.1% 7.7% 0.1% 0.3% 4.4% 1% -1% 1.3% 2.4% 21%
2004 -0.8% 1.9% 2.8% -6.5% 0.2% 0.9% -3.6% 0.7% 2.3% 2.5% 4.6% 3.7% 8.5%
2005 0.3% 3.5% -2.9% 4.3% 3.1% 2.2% 0.2% 2.1% 4.2% -2.9% 4.7% 5% 23.5%
2006 7.2% -0.9% 0.5% 4.1% -1.9% -1.4% 2.8% 3.1% 1.9% 3.4% 4.4% 0% 23.2%
2007 -1% 1.7% 0.3% 2.3% 3.3% 0.6% 2.3% 1.5% 5.1% 7.3% -1.8% 1.7% 23.7%
2008 4.9% 1.5% -0.8% -0.6% 0.3% -1.9% -1.4% -1.2% 2.3% -6.3% 13.9% 12% 21.9%
2009 -5.7% -0.7% 4.1% 9.6% 6.5% -0.6% 2.2% 2.2% 2.5% -2.7% 4.2% 1% 23.4%
2010 -2.1% 3.1% 4.1% 1.6% -3.7% 0% -2% 7.5% -0.2% 0.9% -1.6% 3% 10.9%
2011 -1.4% 2.1% 2.6% 2.8% -0.3% -1.8% 1.6% 4.4% 6.5% -4.3% 2% 3.4% 18.1%
2012 0.7% -0.2% -2.1% 1.4% -1.3% 1.1% 1.9% 1.4% 1.2% -1.3% 0.7% 0.7% 4.5%
2013 0.8% -0.1% 1.2% 2.6% -0.4% -2.5% -1.5% -1.3% 0.7% 2.8% -0.7% 0.3% 2.2%
2014 0.4% 3.5% -0.5% 0.3% 2.6% 2.3% -2.3% 3.4% -4.2% 2.4% 3% 3.3% 14%
2015 6.1% -2.7% 1.2% -2.8% -1% -3% 5.3% -0.7% 2% 5.6% -0.8% -1.8% 7.4%
2016 2.8% 5.7% -0.4% 1% -0.1% 4.1% 2.7% -1.1% 0.4% -1.9% -3.9% 0% 9.6%
2017 2.6% 2.9% 0.4% 1.8% 2.3% -0.3% -0.4% 3.4% -2.3% 0.8% 1.8% 1.3% 14.2%
2018 2.1% -3.5% 1% -1.2% 1.7% -0.8% -1.9% 1.3% -2.9% -2.9% 1.8% 5.9% 0.5%
2019 1.2% -1.1% 3.1% 0.9% -2.7% 4.5% 1.7% 5% -1.2% 1.1% 1% 2.3% 15.8%
2020 1.6% -0.8% -5% -1.6% -1.8% 0.3% 7.2% 1.9% -3.2% -2.4% 1.7% -1.2% -2.2%
2021 -3.1% -1.6% -0.3% 4.2% -0.3% 3.2% 3.7% 1.2% -3.9% 2.4% 2.8% -2% 6.5%
2022 -4.7% 1.9% -0.9% -10.2% -1% -6.6% 1.5% -4.6% -8.2% -6% 7.1% 4.5% -27.4%
Pos 76.1% 56.5% 60.9% 68.1% 57.4% 61.7% 66% 63.8% 66% 61.7% 72.3% 80.9% 85.1%
Avg 1.5% 0.9% 0.2% 1.2% 1% 0.4% 0.8% 0.9% 0.8% 0.6% 2% 2.4% 12.5%

Other Return Metrics

Metric αc Multi-Asset Opportunities II S&P 500 (US Large Cap)
Cumulative Return 27032.87% 8476.29%
Enh Ann Return 13.53% 11.65%
Best Year 52.12% 38.03%
Worst Year -25.26% -36.81%
Best Month 13.85% 13.27%
Worst Month -14.25% -21.73%
Best Day 5.14% 14.52%
Worst Day -5.82% -20.46%
Win Ratio (Yearly) 85.11% 80.85%
Win Ratio (Quarterly) 72.19% 70.05%
Win Ratio (Monthly) 65.95% 62.39%
Win Ratio (Daily) 56.6% 53.94%

Annual Volatility

Annual Volatility 1y Annual Volatility 3y Annual Volatility 5y Annual Volatility 10y Annual Volatility 20y Annual Volatility
αc Multi-Asset Opportunities II 18.96% 16.51% 13.81% 12.03% 12.43% 10.72%
S&P 500 (US Large Cap) 24.04% 24.79% 21.41% 17.33% 19.13% 17.77%

Sharpe Ratio

Sharpe Ratio 1y Sharpe Ratio 3y Sharpe Ratio 5y Sharpe Ratio 10y Sharpe Ratio 20y Sharpe Ratio
αc Multi-Asset Opportunities II -1.57 -0.41 -0.09 0.34 0.9 1.17
S&P 500 (US Large Cap) -0.24 0.55 0.59 0.81 0.59 0.63

3-Year Rolling Sharpe Ratio

The rolling Sharpe Ratio gives a clue about the continued consistency or stability of the risk-adjusted returns.

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 Multi-Asset Opportunities II

start valley end Drawdown days
2021-12-06 2022-10-24 - -38.31% 361
1980-01-22 1980-03-27 1982-09-21 -27.32% 973
1990-07-17 1990-10-16 1991-02-13 -19.54% 211
2020-02-20 2020-03-18 2021-12-03 -18.46% 652
2001-02-02 2002-06-25 2003-02-04 -16.1% 732

The αc Multi-Asset Opportunities II took approximately 20 months on average to recover from a major drawdown. The longest drawdown lasted 32 months.

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. The longest drawdown lasted 80 months.

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.

Other Risk Metrics

Metric αc Multi-Asset Opportunities II S&P 500 (US Large Cap)
Sharpe Ratio 1.17 0.63
Sortino Ratio 1.69 0.88
Adjusted Sortino (S/√2) 1.2 0.62
Calmar Ratio 0.33 0.18
Omega Ratio 0.33 0.18
Gain to Pain Ratio 0.24 0.13
Winckel Ratio 59.57 63.83
Ulcer Index 0.06 0.13
Kelly Criterion 11% 6.07%
Skew -0.28 -0.6
Kurtosis 6.04 20.28
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