Strategy: αc Compound Portfolio II
Investment Objective
Aggressive Long-Term Capital Appreciation
Annualized Return
40.3%
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 | $566,632 | 40.3% | 21% | 97.1% | 0% | -31.9% | 1.72 | 2.52 | |
| $10,000 | $50,794 | 14.6% | 18.3% | 32.3% | -4.6% | -34.1% | 0.84 | 1.18 |
- 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 2008.
- 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 12 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 II
| Drawdown | Peak date | Valley date | Recovery date | Duration |
|---|---|---|---|---|
| -31.92% | 2020-02-19 | 2020-03-18 | 2020-06-03 | 76 days |
| -25.16% | 2018-09-21 | 2018-12-24 | 2019-03-21 | 130 days |
| -18.47% | 2011-07-08 | 2011-10-03 | 2012-01-18 | 139 days |
| -17.98% | 2015-12-04 | 2016-02-09 | 2016-07-20 | 164 days |
| -14.9% | 2010-04-26 | 2010-07-02 | 2010-09-29 | 113 days |
The αc Compound Portfolio II 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 |
|---|---|---|---|---|
| -34.1% | 2020-02-19 | 2020-03-23 | 2020-08-18 | 130 days |
| -27.13% | 2009-01-06 | 2009-03-09 | 2009-05-08 | 89 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 |
| -15.7% | 2010-04-23 | 2010-07-02 | 2010-11-04 | 140 days |
The S&P 500 (US Large Cap) took approximately 5 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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2008 | - | - | - | - | - | - | - | - | - | - | - | 0 |
| 2009 | -3.3% | 2.8% | 11.8% | 12% | 4.3% | 1.4% | 11.9% | 1% | 6.8% | 5% | 3.6% | 0.9% |
| 2010 | 0.2% | -0.3% | 8.3% | 7.4% | -4.5% | -6.9% | 2.2% | 1.1% | 12.2% | 6.1% | 6.5% | 0.6% |
| 2011 | 5.4% | 1% | 4.5% | 3.8% | 3.2% | -1% | 3.1% | -3.9% | -11.5% | 7.9% | 0.5% | 0.7% |
| 2012 | 18.8% | 5.5% | 3.5% | -0.8% | -4.1% | 4.9% | -1.1% | 8.2% | 2.4% | 1.3% | 6.5% | -0.7% |
| 2013 | 17.5% | 3.8% | 6.9% | 1.7% | 2.9% | 1% | 3.7% | 3.8% | 7.9% | 9.7% | 8.3% | 3.7% |
| 2014 | 0.7% | 2.8% | -1.1% | -1.9% | 4.2% | 0.8% | 1.5% | 5.8% | -2.3% | 4.6% | -1.4% | 0.2% |
| 2015 | 2.9% | 7.8% | -2.2% | 7.4% | 5% | 0.2% | 9.9% | -2.9% | -3.8% | 12% | 5.6% | -2% |
| 2016 | -7.7% | -0.7% | 5.1% | 0.3% | 6.6% | -3.6% | 7.1% | 0.4% | 1.9% | 1% | -0.1% | 0.4% |
| 2017 | 2.1% | 3.8% | 1.9% | 2.4% | 3.6% | 0 | 7% | 0.2% | 7% | 5.2% | -0.8% | 0.4% |
| 2018 | 9.9% | 3.4% | 1.3% | 5.4% | 8% | 5.4% | 3.1% | 5.5% | 0.8% | -11.5% | 0.7% | -8.6% |
| 2019 | 14.6% | 5.5% | 2.3% | 5.7% | -4.6% | 5.4% | 3.2% | 2.2% | -3.8% | 5.9% | 7.2% | 4.7% |
| 2020 | 5.7% | -3.1% | -7.9% | 13.1% | 9.3% | 10.4% | 4.4% | 3.6% | -3.8% | -3.6% | 9.8% | 0.1% |
| Pos | 83.3% | 75% | 75% | 83.3% | 75% | 72.7% | 91.7% | 83.3% | 58.3% | 83.3% | 75% | 75% |
| Avg | 5.6% | 2.7% | 2.9% | 4.7% | 2.8% | 1.6% | 4.7% | 2.1% | 1.2% | 3.6% | 3.9% | 0% |