Strategy: αc Compound Portfolio II
Investment Objective
Aggressive Long-Term Capital Appreciation
Annualized Return
39.2%
Time
Horizon
5+ years
Rebalancing Frequency
N/A
About
A buy-and-hold portfolio consisting of a number of stable companies with high long-term growth.
Period: December 2008 - March 2021.
-
αc Compound Portfolio II
- Annualized Return: 39.23%
- Sharpe: 1.69
- Sortino: 2.47
S&P 500 (US Large Cap)- Annualized Return: 14.82%
- Sharpe: 0.85
- Sortino: 1.2
-
Chart
Metrics
Metric αc Compound Portfolio II S&P 500 (US Large Cap) Initial Balance $10,000 $10,000 Final Balance $562,690 $53,842 Returns Month-To-Date -0.86% 0.28% Year-To-Date -3.87% 2.02% 3M 0.01% 5.8% 6M 1.9% 10.1% Annualized Return (1Y) 34.44% 25.75% Annualized Return (3Y) 34.44% 14.48% Annualized Return (5Y) 34.98% 16.12% Annualized Return (10Y) 36.42% 13.49% Annualized Return (All) 39.23% 14.82% Enh Ann Return 34.43% 13.28% Best Year 96.43% 32.31% Worst Year -3.87% -4.56% Risk Annual Volatility 20.96% 18.2% Max Drawdown -31.88% -33.7% Sharpe Ratio 1.69 0.85 Sortino Ratio 2.47 1.2 Enhanced Sortino 2.89 1.62
- 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 December 2008.
- Final balance: The amount of capital we've accrued over time as of March 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 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.
-
αc Compound Portfolio II
- Max Drawdown: -31.88%
- Average recovery time of large downturns: 6 months
S&P 500 (US Large Cap)- Max Drawdown: -33.7%
- Average recovery time of large downturns: 6 months
-
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
start valley end Drawdown days 2020-02-20 2020-03-18 2020-06-03 -31.88% 104 2018-09-24 2018-12-24 2019-03-21 -25.16% 178 2011-07-11 2011-10-03 2012-01-18 -18.5% 191 2015-12-07 2016-02-09 2016-07-20 -17.97% 226 2010-04-27 2010-07-02 2010-09-29 -14.94% 155 The αc Compound Portfolio II took approximately 6 months on average to recover from a major drawdown.
S&P 500 (US Large Cap)
start valley end Drawdown days 2020-02-20 2020-03-23 2020-08-10 -33.7% 172 2009-01-07 2009-03-09 2009-05-08 -27.13% 121 2018-09-21 2018-12-24 2019-04-12 -19.34% 203 2011-05-02 2011-10-03 2012-02-03 -18.61% 277 2010-04-26 2010-07-02 2010-11-04 -15.7% 192 The S&P 500 (US Large Cap) took approximately 6 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.
-
αc Compound Portfolio II
- Positive year ratio: 92%
- Outperformance ratio (vs. benchmark): 85%
S&P 500 (US Large Cap)- Positive year ratio: 92%
-
Chart
Table
Year αc Compound Portfolio II S&P 500 (US Large Cap) Won 2008 0% 0% = 2009 73.77% 26.37% 2010 36.13% 15.06% 2011 12.75% 1.89% 2012 51.91% 15.99% 2013 96.43% 32.31% 2014 14.52% 13.46% 2015 45.96% 1.25% 2016 10.13% 12% 2017 37.5% 21.7% 2018 23.38% -4.56% 2019 59.22% 31.22% 2020 47.9% 18.37% 2021 -3.87% 2.02% αc Compound Portfolio II had 12 positive years and 1 negative years. That's a positive ratio of 92%.
S&P 500 (US Large Cap) had 12 positive years and 1 negative years. That's a positive ratio of 92%.
αc Compound Portfolio II had a better yearly return 85% 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 2008 0 0 0 0 0 0 0 0 0 0 0 0 0 2009 -3.4% 2.8% 11.9% 11.9% 4.3% 1.5% 11.8% 0.9% 6.8% 4.9% 3.6% 0.9% 58.2% 2010 0.2% -0.3% 8.3% 7.3% -4.4% -6.9% 2.2% 1.2% 12.2% 6% 6.5% 0.6% 32.6% 2011 5.3% 1% 4.5% 3.7% 3.2% -1% 3% -4% -11.5% 7.8% 0.5% 0.7% 14.6% 2012 18.7% 5.5% 3.5% -0.9% -4.1% 4.9% -1.2% 8.2% 2.4% 1.2% 6.5% -0.4% 43.2% 2013 17.5% 3.8% 6.9% 1.6% 2.9% 1% 3.5% 3.8% 7.9% 9.6% 8.3% 3.7% 69.4% 2014 0.6% 2.8% -1.1% -1.9% 4.2% 0.9% 1.5% 5.8% -2.3% 4.6% -1.4% 0.2% 14.8% 2015 2.9% 7.8% -2.2% 7.4% 5% 0.3% 9.9% -2.9% -3.8% 12% 5.6% -2% 39.7% 2016 -7.7% -0.7% 5.1% 0.3% 6.6% -3.6% 7.1% 0.4% 1.9% 1% -0.2% 0.4% 10.9% 2017 2.1% 3.8% 1.9% 2.4% 3.6% -0% 7% 0.2% 7.1% 5.2% -0.8% 0.4% 32.6% 2018 9.9% 3.4% 1.3% 5.4% 8% 5.4% 3.1% 5.5% 0.8% -11.5% 0.7% -8.6% 23.4% 2019 14.6% 5.5% 2.5% 5.7% -4.6% 5.4% 3.2% 2.2% -3.8% 5.9% 7.2% 4.7% 47.9% 2020 5.7% -3% -7.9% 13.2% 9.4% 10.4% 4.4% 3.6% -3.7% -3.6% 9.8% 4% 46.3% 2021 -3.6% 0.6% -0.9% 0 0 0 0 0 0 0 0 0 -3.5% Pos 76.9% 76.9% 69.2% 83.3% 75% 66.7% 91.7% 83.3% 58.3% 83.3% 75% 75% 92.3% Avg 4.8% 2.5% 2.6% 4.7% 2.8% 1.5% 4.6% 2.1% 1.2% 3.6% 3.9% 0.4% 33.1%