αc Multi-Asset Opportunities II

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.
The portfolio pursues a rather defensive strategy that seeks to achieve equity-like returns with low...
31 March 1976  –  29 July 2021
Compare with
S&P 500 (US Large Cap) (SP500.X)

Performance

Annualized Return
13.66%
αc Multi-Asset Opportunities II
10.45%
S&P 500 (US Large Cap)
Sharpe Ratio
1.28
αc Multi-Asset Opportunities II
0.65
S&P 500 (US Large Cap)
Maximum Drawdown
-27.35%
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 $3,323,018 $908,907
Returns
Month-To-Date 3.47% 2.94%
Year-To-Date 5.23% 18.25%
3M 5.45% 5.54%
6M 6.67% 15.19%
Annual Return (1Y) 3.36% 38.8%
Annual Return (3Y) 6.82% 18.13%
Annual Return (5Y) 5.13% 17.33%
Annual Return (10Y) 8.18% 15.16%
Annual Return (All) 13.66% 10.45%
Enh Ann Return 13.82% 11.98%
Best Year 52.31% 38.03%
Worst Year -10.1% -36.81%
Risk
Annual Volatility 10.4% 17.64%
Max Drawdown -27.35% -55.2%
Sharpe Ratio 1.28 0.65
Sortino Ratio 1.86 0.92
Enhanced Sortino 2.4 1.33

  • 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 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 Multi-Asset Opportunities II S&P 500 (US Large Cap) Won
1976 15% 8.08%
1977 -0.09% -11.68%
1978 17.12% 0.77%
1979 24.9% 11.67%
1980 6.05% 28.17%
1981 -9.54% -8.47%
1982 52.31% 19.3%
1983 11.02% 17.15%
1984 9.08% 3.69%
1985 28.54% 22.71%
1986 26.07% 9.31%
1987 10.61% 4.7%
1988 8.28% 16.22%
1989 12.54% 31.37%
1990 -10.1% -3.33%
1991 33.83% 30.19%
1992 11.65% 8.21%
1993 34.28% 8.75%
1994 -5.76% 0.4%
1995 30.35% 38.03%
1996 17.14% 22.55%
1997 5.62% 33.48%
1998 27.11% 28.69%
1999 26.55% 20.39%
2000 9.68% -9.73%
2001 -2.64% -11.75%
2002 6.54% -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 5.23% 18.25%

αc Multi-Asset Opportunities II had 40 positive years and 6 negative years. That's a positive ratio of 87%.

S&P 500 (US Large Cap) had 38 positive years and 8 negative years. That's a positive ratio of 83%.

αc Multi-Asset Opportunities II had a better yearly return 52% 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% -0.3% -0.7% 2.7% 0.6% 0% 1.9% 2.2% 3.3% 4.6% 14.1%
1977 -2.6% -1.2% 0.2% 0.5% -0.2% 1% -0.5% -0.2% 0.3% 1.3% 0.4% 0.9% -0%
1978 1% 1.5% 1.3% 4.8% 3.2% -0.3% 1.3% 1.8% -0.3% 3.6% -6.5% 5% 16%
1979 3.1% 0.9% 0.4% 1.8% -0.3% 4.3% 2.1% 4.4% -2% -5.2% 4.2% 9.5% 22.6%
1980 9% -3.8% -14.2% 11.1% 3.2% 2.2% -1.2% 0.6% 2% -2.1% 2.6% -1.2% 7.6%
1981 0.4% -0.9% 1.4% -2.9% 3% -5.4% -3.1% -4.7% -3.2% 4.5% 6.7% -4.7% -9.8%
1982 0.2% 1.8% 2.4% 3.3% 0.8% -2.2% 4.6% 7.8% 6.5% 10.9% 6.4% 1% 42.2%
1983 3.3% -3.3% 1.6% 6.7% 2.4% 2.8% -3.9% -2% 3.3% -1.7% 2.7% -0.7% 10.7%
1984 1.6% -0.9% -1% 0.1% -3.1% 0.9% 1.8% 4.7% 0.7% 1.9% 0.5% 1.6% 8.7%
1985 9.2% -0.4% 0.1% 1.4% 2.9% 1.4% 0.5% 1.1% -1.2% 3% 3.4% 4.4% 25.2%
1986 0.6% 7.9% 6.9% 1% 1.5% 1.8% -1.3% 4% 2.2% -1% -0.2% 0.6% 23.4%
1987 1.1% 1% 0.8% 0.1% -0.2% 0.7% 1.7% 2.8% -2.6% 3.1% 1.9% -0% 10.3%
1988 3.6% 4.8% -0.6% 0.8% 0.8% 0.9% -3.1% -2.6% 3.8% -0.5% -2.1% 2.7% 8.2%
1989 3.3% -1.3% 0.9% 8.3% 2.8% -2.8% 0.6% -3.2% 0.3% 0.9% -1.2% 3.8% 12%
1990 -1.3% 1.2% -5.1% -3.2% 7.9% 1.8% 1.2% -10.1% -6.6% -0.4% 3.6% 1.6% -10.3%
1991 8.9% 7.8% 3.6% 0.6% 4.9% -4.8% 0.5% 1% 2.7% 1.2% 1.9% 1.8% 29.4%
1992 2.8% 2.5% -1.3% -0.6% 1.7% -2.5% 4.1% -1.1% 1.7% 0.5% 2% 1.4% 11.3%
1993 1.6% 2.2% 1.8% 2.8% 3.2% 2.4% 3.5% 1.4% 0% 3.6% 0.4% 7.1% 29.6%
1994 0.3% -1.6% -3.7% -1.3% 0.6% -0.5% 1.6% -0.3% -1.3% 0.4% -0.5% 0.4% -5.7%
1995 1.3% 4.6% 2.2% 2% 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% 8.3% 24.6%
2000 -1.9% 8.3% 1.7% -2.7% -0.3% 2% -2.9% 1.4% -2.7% 1.5% 3% 2.5% 10.2%
2001 6% -4.4% -6.1% -2.9% 0.2% 0.8% 2.3% 2.2% 3% 1.7% -3.8% -1% -2.2%
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% 7.1%
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% -0.4% 3% 3.5% 0% 0% 0% 0% 0% 5.4%
Pos 80% 53.3% 62.2% 71.7% 58.7% 63% 65.2% 66.7% 68.9% 62.2% 73.3% 80% 87%
Avg 1.8% 0.8% 0.1% 1.5% 1% 0.5% 0.8% 0.8% 1.1% 0.7% 1.9% 2.3% 13.2%

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
1980-01-22 1980-03-27 1982-09-23 -27.35% 975
1990-07-17 1990-10-16 1991-02-15 -19.46% 213
2020-02-20 2020-03-18 - -18.46% 525
2001-02-02 2002-06-25 2003-02-04 -16.1% 732
1998-07-21 1998-08-31 1998-10-30 -14.87% 101

The αc Multi-Asset Opportunities II 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
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.