Strategy: αc Compound Portfolio III
Investment Objective
Aggressive Long-Term Capital Appreciation
Annualized Return
37.6%
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.
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αc Compound Portfolio III
- Annualized Return: 37.59%
- Sharpe: 1.66
- Sortino: 2.4
S&P 500 (US Large Cap)- Annualized Return: 14.82%
- Sharpe: 0.85
- Sortino: 1.2
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Chart
Metrics
Metric αc Compound Portfolio III S&P 500 (US Large Cap) Initial Balance $10,000 $10,000 Final Balance $487,103 $53,842 Returns Month-To-Date -0.73% 0.28% Year-To-Date -2.99% 2.02% 3M 0.64% 5.8% 6M 2.51% 10.1% Annualized Return (1Y) 38.18% 25.75% Annualized Return (3Y) 33.42% 14.48% Annualized Return (5Y) 38.3% 16.12% Annualized Return (10Y) 34.81% 13.49% Annualized Return (All) 37.59% 14.82% Enh Ann Return 33.61% 13.28% Best Year 77.14% 32.31% Worst Year -2.99% -4.56% Risk Annual Volatility 20.59% 18.2% Max Drawdown -32.36% -33.7% Sharpe Ratio 1.66 0.85 Sortino Ratio 2.4 1.2 Enhanced Sortino 2.9 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.
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αc Compound Portfolio III
- Max Drawdown: -32.36%
- 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
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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 III
start valley end Drawdown days 2020-02-20 2020-03-18 2020-06-03 -32.36% 104 2018-10-01 2018-12-24 2019-04-22 -26.75% 203 2015-12-07 2016-02-11 2016-05-24 -17.58% 169 2011-07-08 2011-10-03 2012-01-10 -16.08% 186 2010-04-27 2010-07-02 2010-10-21 -14.73% 177 The αc Compound Portfolio III 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.
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αc Compound Portfolio III
- Positive year ratio: 92%
- Outperformance ratio (vs. benchmark): 92%
S&P 500 (US Large Cap)- Positive year ratio: 92%
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Chart
Table
Year αc Compound Portfolio III S&P 500 (US Large Cap) Won 2008 0% 0% = 2009 71.6% 26.37% 2010 30.83% 15.06% 2011 11.63% 1.89% 2012 41.22% 15.99% 2013 77.14% 32.31% 2014 18.03% 13.46% 2015 35.64% 1.25% 2016 28.74% 12% 2017 40.64% 21.7% 2018 15.37% -4.56% 2019 59.78% 31.22% 2020 49.88% 18.37% 2021 -2.99% 2.02% αc Compound Portfolio III 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 III had a better yearly return 92% of the time compared to S&P 500 (US Large Cap).
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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 -5.4% 0.4% 12.9% 13% 3% 2% 11.7% 2.2% 6.5% 1.7% 4% 4.6% 57.1% 2010 -0.8% 1% 8.2% 5.4% -5.5% -5.5% 1.6% -0.4% 12.3% 5% 5.4% 1.8% 28.5% 2011 8.8% 1.7% 0.9% 3.1% 1.8% -2.5% 2.7% -3.3% -9.8% 8.7% 0.7% -0.2% 13.8% 2012 15.2% 5.9% 4.1% -1.7% -3.9% 4.8% -0.4% 7.2% 1.7% -0.6% 4.9% -0.6% 35.7% 2013 12.4% 3.9% 5.9% 1.5% 3.3% -0.1% 3.9% 2.9% 7% 8.1% 7.3% 3.2% 58.5% 2014 -0.9% 4.4% -0.4% -0.5% 3.9% 0.7% 0.4% 6.7% -2.3% 5% 1.1% -1.1% 17.6% 2015 1.4% 8% -2% 5.6% 3.8% -0.7% 7.3% -2.5% -3% 10.9% 5.3% -2.1% 32.1% 2016 -7.6% 0.6% 6.2% -0.3% 7.7% -2.5% 8% 1.7% 2.8% 1.1% 5.4% 3.2% 26.6% 2017 1.7% 3.9% 1.7% 1.8% 5.5% -0.5% 6.9% 2.2% 5.4% 6.4% 0.1% -0.3% 34.8% 2018 9.9% 2.3% -0% 3.4% 8.1% 3.3% 3.7% 7.2% 1% -11.4% -1.7% -9% 16.7% 2019 12% 5.1% 3.7% 5.4% -7% 7.8% 3.3% 1.8% -1.5% 6.5% 6.9% 5.1% 48.2% 2020 4.8% -3.1% -7.9% 12.2% 10.1% 7.8% 5.9% 7.5% -3.6% -4.2% 10.2% 3.7% 47.7% 2021 -3.2% 0.9% -0.7% 0 0 0 0 0 0 0 0 0 -2.6% Pos 61.5% 92.3% 61.5% 75% 75% 50% 91.7% 75% 58.3% 75% 91.7% 50% 92.3% Avg 3.7% 2.7% 2.5% 4.1% 2.6% 1.2% 4.6% 2.8% 1.4% 3.1% 4.1% 0.7% 31.9%