αc Multi-Asset Opportunities III

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
12.04%
αc Multi-Asset Opportunities III
10.45%
S&P 500 (US Large Cap)
Sharpe Ratio
1.25
αc Multi-Asset Opportunities III
0.65
S&P 500 (US Large Cap)
Maximum Drawdown
-24.68%
αc Multi-Asset Opportunities III
-55.2%
S&P 500 (US Large Cap)

Metrics

Metric αc Multi-Asset Opportunities III S&P 500 (US Large Cap)
Initial Balance $10,000 $10,000
Final Balance $1,733,771 $908,907
Returns
Month-To-Date 1.93% 2.94%
Year-To-Date 6.16% 18.25%
3M 2.8% 5.54%
6M 6.42% 15.19%
Annual Return (1Y) 9.19% 38.8%
Annual Return (3Y) 6.42% 18.13%
Annual Return (5Y) 5.74% 17.33%
Annual Return (10Y) 5.97% 15.16%
Annual Return (All) 12.04% 10.45%
Enh Ann Return 12.21% 11.98%
Best Year 45.88% 38.03%
Worst Year -9.1% -36.81%
Risk
Annual Volatility 9.41% 17.64%
Max Drawdown -24.68% -55.2%
Sharpe Ratio 1.25 0.65
Sortino Ratio 1.8 0.92
Enhanced Sortino 2.5 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 III S&P 500 (US Large Cap) Won
1976 14.38% 8.08%
1977 0.61% -11.68%
1978 17.61% 0.77%
1979 25.8% 11.67%
1980 0.77% 28.17%
1981 -8.2% -8.47%
1982 45.88% 19.3%
1983 14.52% 17.15%
1984 9.46% 3.69%
1985 21.66% 22.71%
1986 24.56% 9.31%
1987 11.86% 4.7%
1988 7.57% 16.22%
1989 11.29% 31.37%
1990 -9.1% -3.33%
1991 31.02% 30.19%
1992 10.89% 8.21%
1993 31.35% 8.75%
1994 -3.61% 0.4%
1995 26.25% 38.03%
1996 18.84% 22.55%
1997 3.52% 33.48%
1998 25.11% 28.69%
1999 29.83% 20.39%
2000 5.15% -9.73%
2001 -0.5% -11.75%
2002 -1.12% -21.59%
2003 23.94% 28.18%
2004 7.96% 10.7%
2005 18.93% 4.83%
2006 23.35% 15.85%
2007 24.72% 5.14%
2008 5.57% -36.81%
2009 31.23% 26.37%
2010 8.36% 15.06%
2011 0.7% 1.89%
2012 7.06% 15.99%
2013 8.27% 32.31%
2014 3.16% 13.46%
2015 5.62% 1.25%
2016 8.01% 12%
2017 12.45% 21.7%
2018 1.15% -4.56%
2019 14.25% 31.22%
2020 -2.37% 18.37%
2021 6.16% 18.25%

αc Multi-Asset Opportunities III 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 III had a better yearly return 50% 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% 0.1% 0.1% 2.4% 0.8% -0.3% 1.8% 2.3% 2.6% 3.9% 13.5%
1977 -1.3% -1% -0% 0.3% -0.5% 0.5% -0.2% -0.7% 0.5% 1.7% 0.1% 1.5% 0.7%
1978 1.3% 1.5% 1.4% 4.9% 3.5% -0% 0.4% 0.5% 0.4% 4.3% -6.9% 5.5% 16.4%
1979 2.5% 1.4% 0.1% 2.2% -1% 3.3% 2.4% 4.6% -1.6% -2.5% 3.1% 9.3% 23.3%
1980 11.3% -1.6% -13.6% 1.7% 0.3% 0.3% 0.3% 1.9% 2.8% -1.1% 2.4% -2.3% 2.4%
1981 0.9% 0.5% 0.6% -0.9% 1% -4.5% -0.7% -1.6% -1.6% -0.3% -0.6% -1% -8.4%
1982 2.4% 2.4% 2.7% 2.5% 2.3% 2.5% 2.4% 2.3% 2.3% 8.5% 7.4% 0.9% 37.8%
1983 4.6% -4.5% 2.2% 5.8% 3.9% 2.9% -2% -1.8% 2% -1% 2.3% -0.2% 13.8%
1984 0.9% 1% 1% 0.8% -1% 0.7% -0.4% 4.2% -0.1% 0.2% 0.4% 1.5% 9.1%
1985 8.7% 1.6% -0.3% 1.2% 0.6% 1.6% 1.6% 0.8% -0.8% 1.7% 1.6% 1.6% 19.7%
1986 1% 4.8% 4.5% 1.6% 3.4% 1.3% -0.4% 3% 4% -1% -0.3% 0.6% 22.2%
1987 1.2% 0.8% 1.1% 0.5% 0.2% 0.6% 2.1% 3% -2.2% 2.3% 2% -0.2% 11.4%
1988 3.2% 4.8% -0.3% 1% 1% 0.4% -2.6% -2.7% 3.2% -0.8% -1.7% 2.2% 7.5%
1989 3% -1% 0.7% 8.1% 2.6% -3.8% 0.8% -2.3% 0.5% 0.2% -1.3% 3.8% 10.8%
1990 0.4% 1.6% -5% -1.9% 6.8% 1.4% 1.2% -9.1% -6.6% -0.5% 2% 1.2% -9.3%
1991 8.4% 7.9% 3.7% 0.6% 5.1% -4.5% 0.6% -0% 2.1% 1.3% 2.1% 0.8% 27.2%
1992 3.4% 2.5% -1.1% 0.3% 1.1% -2.4% 2.7% -1% 1.6% 0.3% 1.8% 1.2% 10.5%
1993 1.3% 1.8% 1.9% 2.8% 3.2% 1.7% 3.2% 0.6% 0% 3.4% 0.9% 7% 27.4%
1994 -0% -0.9% -3.2% -1.2% 1% -0.1% 0.9% 0.2% -0.2% 0.4% -0.8% 0.3% -3.6%
1995 1.1% 4.4% 2.2% 1.9% 2.2% 4% 3.3% 1.5% 1.7% 0.2% 1.6% -0.5% 23.9%
1996 3.4% 0.4% 0.2% 4.3% 1.4% -1% 0.7% -0.2% 1.7% 1.4% 6.3% -1.1% 17.6%
1997 2.2% 1.1% -1.8% 1.1% 0.9% 1.2% 4.5% -5.1% 4% -6.2% 0.4% 1.6% 3.9%
1998 0.1% 2.5% 1.9% 1.3% -2.8% 4.8% -0.2% -11.7% 10.3% 7.2% 6.1% 5% 23.7%
1999 4.5% -5.6% 4.1% 6.3% -2.8% 6.3% -2% 1.4% 0.5% 2.4% 3.7% 8.6% 27.2%
2000 -2.4% 7.7% 1.1% -2.4% -0.1% 1.9% -3.4% 1.2% -2.1% 0.6% 1.6% 1.8% 5.9%
2001 5.6% -4.6% -5.7% -0.4% 0.7% 0.5% 1.1% 1.6% 3% -0.5% -1.6% 0.1% -0.2%
2002 -0% 1.2% 3.2% -4% -1.9% -6.2% 0.6% 1.7% 1.5% -1.1% 0.2% 4.2% -0.6%
2003 2.2% -1.1% -1.3% 5% 6.3% 0.6% 2.5% 4.1% -0% 0.3% 1.3% 2.2% 21.9%
2004 -1.1% 1.5% 2.6% -4.3% 0.1% 0.7% -3.8% -0.2% 2.1% 2.2% 5.2% 3.1% 8%
2005 -0.7% 3.9% -3.1% 2.2% 0.8% 0.9% 1.1% 1.3% 5% -2.6% 4.5% 4.4% 17.6%
2006 7.6% -1.2% 1.5% 4.9% -2% -1.8% 2% 1.6% 1% 3.4% 4% 0.6% 21.6%
2007 0.1% 0.3% 1.3% 2.4% 3.6% 0.8% 1.6% 1.4% 5.2% 7% -3% 1.9% 23.1%
2008 5.1% 1.7% -2.1% 1.3% 1.2% -3.6% -0.9% -2.5% 0% -6.7% 5.8% 7% 6.3%
2009 -2.4% -0.6% 3.1% 12.1% 7.6% -0.6% 2.3% 1.2% 1.2% -2.1% 4.2% 2.4% 28.8%
2010 -2.5% 3.3% 4.9% 0.8% -5.1% -1.6% -0.7% 2.7% 1.6% 2.7% -1.3% 3.9% 8.7%
2011 -0.5% 1.6% 2.5% 2.6% -1% -1.2% -0.1% -1.2% -2.7% -0.1% -0.3% 1.4% 1.1%
2012 1.9% 1.5% 0.3% -0.1% -4.1% 1.8% 1% 1.8% 2.1% -1.2% 0.4% 1.5% 7.2%
2013 1.7% -0.3% 1.3% 1.3% 1.3% -2% 0.8% -0.8% 1.1% 2.8% 0.1% 0.7% 8.3%
2014 -1.2% 3.5% -0.8% -0.2% 2% 2.5% -2.6% 2.2% -3.7% 0.8% 0.8% 0.1% 3.3%
2015 0.8% 1.1% 0.7% -0.7% 0.3% -1.1% 1.3% -0.3% 0.8% 5.3% -0.7% -1.7% 5.7%
2016 0.4% 4.3% 0.3% 1.1% -0.3% 2.4% 2.2% -0.9% 1% -0.7% -2.1% 0.2% 8.2%
2017 2.4% 2.5% 0.6% 1.6% 1.9% -0.5% 0.6% 0.9% -0.6% 0.8% 1.2% 0.4% 11.8%
2018 2.9% -2.9% 0.4% -0.8% 1.2% -1% -0.4% 0.6% -0.6% -0.6% 0.5% 2% 1.3%
2019 1.6% -0.3% 0.9% 1.7% -4.3% 4.6% 1.7% 2.2% -0.4% 1.5% 1.1% 3.3% 13.6%
2020 -0.2% -2.7% -7.9% -0.1% 0.7% 0.7% 6.5% 3.3% -3.5% 0.3% 1.2% 0.1% -0.7%
2021 -1.7% -0.2% 1% 3.6% -0.3% 1.8% 1.9% 0% 0% 0% 0% 0% 6.2%
Pos 73.3% 66.7% 68.9% 73.9% 69.6% 63% 67.4% 60% 66.7% 62.2% 73.3% 84.4% 87%
Avg 1.9% 1% 0.2% 1.6% 0.9% 0.4% 0.8% 0.2% 0.9% 0.8% 1.3% 2% 11.6%

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 III

start valley end Drawdown days
1980-01-22 1981-11-23 1982-10-20 -24.68% 1002
2020-02-20 2020-03-18 - -20.7% 525
1990-07-17 1990-10-16 1991-02-27 -18.16% 225
1998-07-21 1998-08-31 1998-11-02 -15.86% 104
2008-03-18 2008-11-03 2009-04-02 -14.99% 380

The αc Multi-Asset Opportunities III took approximately 15 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.