Strategy: αc Compound Portfolio I

Investment Objective

Aggressive Long-Term Capital Appreciation

Annualized Return

21.3%

Time
Horizon

5+ years

Rebalancing Frequency

N/A

A buy-and-hold portfolio consisting of a number of stable companies with high long-term growth.

About

The portfolio pursues a 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.

Performance

Portfolio + Compare with Initial Balance Final Balance Annual Return Annual Volatility Best Year Worst Year Max Drawdown Sharpe Ratio Sortino Ratio
$10,000 $121,202 21.3% 18.2% 44.9% -6.4% -38.3% 1.15 1.65
$10,000 $32,104 9.4% 21% 32.3% -36.8% -52.3% 0.54 0.75

  • 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 2007.
  • Final balance: The amount of capital we've accrued over time as of December 2020.
  • 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 13 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.

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 Compound Portfolio I

Drawdown Peak date Valley date Recovery date Duration
-38.25% 2020-02-13 2020-03-18 - -
-29.11% 2008-09-19 2009-03-09 2009-08-21 241 days
-16.24% 2018-09-18 2018-12-24 2019-02-12 106 days
-11.69% 2008-02-01 2008-03-17 2008-05-30 86 days
-11.39% 2015-07-29 2016-02-09 2016-05-25 216 days

The αc Compound Portfolio I took approximately 4 months on average to recover from a major drawdown.

S&P 500 (US Large Cap)

Drawdown Peak date Valley date Recovery date Duration
-52.3% 2007-12-31 2009-03-09 2011-04-29 870 days
-34.1% 2020-02-19 2020-03-23 2020-08-18 130 days
-19.35% 2018-09-20 2018-12-24 2019-04-12 147 days
-18.61% 2011-04-29 2011-10-03 2012-02-03 201 days
-13.02% 2015-07-20 2016-02-11 2016-04-18 196 days

The S&P 500 (US Large Cap) took approximately 10 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.

Annual Returns

Monthly Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2007 - - - - - - - - - - - 0
2008 -1.2% -4.8% -1.4% 5.5% 2.6% -8.8% 5.9% 0 4.4% -10.7% 1.3% 2.3%
2009 -7.7% -10.5% 7.5% 8.5% 0.8% -1.5% 5.2% 8.7% 6% -3.4% 1.7% 6.9%
2010 1.9% 3.1% 6.7% 1.1% -6.4% 1.6% 2.9% 0.3% 4.8% 2.1% 0.8% 4.5%
2011 2.6% 5.6% 4.2% 1.6% 0 1.6% 0.9% 0.4% -4.7% 6.8% 1.5% 2%
2012 5.3% 6.4% -1.1% 3.6% -3.6% 4.8% -2.5% 4.9% 2.4% 2.5% 0.6% 1.9%
2013 3.8% 4.9% 4.3% 1% 4.9% -0.2% 3.2% 1.7% 3.1% 4.9% 0.6% 5.8%
2014 1.6% 5.3% 5% -3.2% 2.2% 3.6% -1.9% 5.7% 0.1% 5.6% 6.4% 1.3%
2015 1.5% 6% 3.6% -1% 1.8% -1.2% 5.6% -3.1% -3.5% 2.6% 2% -0.7%
2016 -2.1% 2.4% 1.7% -0.8% 5% 0.4% 3.6% 4.2% 1% -0.5% 2% 0
2017 -4.1% 6.4% -2.8% 3% 2.6% -1.6% 3.8% 5.2% 0.8% 6% 4.6% -1.6%
2018 6.3% -2.8% 2.6% 3.1% 5.1% 0.3% 3.1% 1.7% 1.3% -8% 3.3% -5.8%
2019 8.2% 7% 0.3% 5.3% -5.3% 8.6% 0.4% 5.4% 0.7% 0.1% 6.4% -0.5%
2020 6.1% -6.7% -19.5% 3.4% 10.4% -3.2% 2% 3.4% -2.5% -4% 19.1% 1.2%
Pos 69.2% 69.2% 69.2% 76.9% 75% 53.8% 84.6% 91.7% 76.9% 61.5% 100% 66.7%
Avg 1.7% 1.7% 0.9% 2.4% 1.7% 0.3% 2.5% 3.2% 1.1% 0.3% 3.9% 1.4%