αc Funds of Funds III

This strategy combines the best of all αc's strategies.
31 December 1976  –  29 July 2021
Compare with
S&P 500 (US Large Cap) (SP500.X)

Performance

Annualized Return
15.23%
αc Funds of Funds III
10.45%
S&P 500 (US Large Cap)
Sharpe Ratio
1.48
αc Funds of Funds III
0.65
S&P 500 (US Large Cap)
Maximum Drawdown
-19.3%
αc Funds of Funds III
-55.2%
S&P 500 (US Large Cap)

Metrics

Metric αc Funds of Funds III S&P 500 (US Large Cap)
Initial Balance $10,000 $10,000
Final Balance $5,579,669 $840,969
Returns
Month-To-Date 3.28% 2.94%
Year-To-Date 10.4% 18.25%
3M 5.07% 5.54%
6M 9.68% 15.19%
Annual Return (1Y) 19.16% 38.8%
Annual Return (3Y) 13.93% 18.13%
Annual Return (5Y) 12.26% 17.33%
Annual Return (10Y) 12.29% 15.16%
Annual Return (All) 15.23% 10.45%
Enh Ann Return 15.01% 11.8%
Best Year 50.28% 38.03%
Worst Year -6.15% -36.81%
Risk
Annual Volatility 9.88% 17.78%
Max Drawdown -19.3% -55.2%
Sharpe Ratio 1.48 0.65
Sortino Ratio 2.17 0.91
Enhanced Sortino 2.89 1.37

  • 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 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 Funds of Funds III S&P 500 (US Large Cap) Won
1976 0% 0%  =
1977 7.8% -11.68%
1978 18.86% 0.77%
1979 16.25% 11.67%
1980 13.24% 28.17%
1981 -1.61% -8.47%
1982 39.3% 19.3%
1983 12.87% 17.15%
1984 6.33% 3.69%
1985 50.28% 22.71%
1986 32.63% 9.31%
1987 10.49% 4.7%
1988 3.92% 16.22%
1989 23.87% 31.37%
1990 -3.19% -3.33%
1991 26.82% 30.19%
1992 7.79% 8.21%
1993 26.79% 8.75%
1994 -6.15% 0.4%
1995 31.76% 38.03%
1996 17.34% 22.55%
1997 12.76% 33.48%
1998 24.05% 28.69%
1999 25.05% 20.39%
2000 3.89% -9.73%
2001 0.11% -11.75%
2002 6.96% -21.59%
2003 29.37% 28.18%
2004 14.61% 10.7%
2005 9.94% 4.83%
2006 27.49% 15.85%
2007 19.54% 5.14%
2008 27.53% -36.81%
2009 31.17% 26.37%
2010 11.18% 15.06%
2011 12.66% 1.89%
2012 14.56% 15.99%
2013 11.34% 32.31%
2014 12.71% 13.46%
2015 -0.7% 1.25%
2016 12.08% 12%
2017 21.42% 21.7%
2018 2.98% -4.56%
2019 14.98% 31.22%
2020 13.25% 18.37%
2021 10.4% 18.25%

αc Funds of Funds III had 41 positive years and 4 negative years. That's a positive ratio of 91%.

S&P 500 (US Large Cap) had 37 positive years and 8 negative years. That's a positive ratio of 82%.

αc Funds of Funds III had a better yearly return 56% 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% 0% 0% 0% 0% 0% 0% 0% 0% 0%
1977 -3.6% 0.2% 0.5% 2.1% -0.4% 1.1% -1% 2.1% 2.3% 1.9% -0.6% 3.2% 7.5%
1978 0.4% 0.6% 2.4% 1.7% 1.8% 0.3% 4.4% 2.6% 1.9% 4.1% -7.5% 5.2% 17.4%
1979 1.8% 1.3% 3.5% 1.6% -2.7% 3.6% 2.1% 3.8% -0.3% -7.2% 3.2% 5.1% 15.2%
1980 8.8% -1.8% -13.9% 6.4% 3.5% 4.7% 0.5% 1.1% 2.3% -0% 6.7% -3.6% 13.5%
1981 -2% 0.6% 2.6% -2.5% 1.8% -3.5% -1.5% -2.3% -1.5% 2.3% 7.5% -2.5% -1.4%
1982 0.8% -1.1% 2.3% 3.1% 0.4% -0.9% 2.5% 7.1% 3.2% 10.8% 5.3% 0.7% 33.7%
1983 3.4% -0.1% 2.5% 7.2% -0% 2.2% -3.9% -2% 2.3% -1.5% 2.5% 0.1% 12.4%
1984 2.8% 1% 0.8% -0.6% -5.2% 0.5% 1% 3.5% 1% 1.1% -0.3% 0.9% 6.2%
1985 8.4% 0.4% 0.1% 2.3% 4% 1.3% 4.9% 3.1% 0.2% 7% 5.6% 4.4% 40.8%
1986 1.2% 9.9% 7.5% 5.2% -3.6% 3.1% -1.1% 7.5% -2.3% -0.2% 0.8% 1.5% 28.4%
1987 2.7% 2.3% 2.9% 2% -0.4% 1.8% 3.6% 3.2% -2.5% -6.8% 1.5% 0.2% 10.2%
1988 1.8% 2.6% -0.3% 0.7% -0.5% -0.1% -1.5% -3% 1.7% 1.2% -0.4% 1.6% 4%
1989 3.5% -1.2% 0.8% 5.5% 3.4% -1.5% 4.8% -0.6% -0.1% -0.7% 0.4% 7.8% 21.7%
1990 -0.8% -0.6% -1.7% -2.9% 8% 3.6% 2.9% -10.3% -4.1% -0.3% 2.4% 1.8% -3%
1991 7.7% 7.4% 2.9% 0.5% 4.4% -4.5% 2.6% 1.6% 0.5% -0.4% -0.8% 2.7% 24.2%
1992 0.7% 1.5% -1.7% 1.2% 3% -1.7% 0.2% -1.6% 1.5% 0.4% 2.6% 1.6% 7.8%
1993 0.8% 1.7% 2% 0.1% 2.3% 0.6% 1.9% 5.2% -0.1% 3.6% -1% 7.2% 23.9%
1994 2.5% -2.6% -3.3% 1.8% -1.7% -0.8% 0.8% 0.8% -2.7% 1.1% -2.3% 0.3% -6.1%
1995 2.4% 4.4% 2.5% 2.5% 3.7% 3% 3.1% -1% 3.4% 0.2% 3.2% 0.7% 28%
1996 3.4% -0.1% 0.7% 2.5% 1.7% 0.1% -2.2% 0.6% 2.4% 2.4% 6.9% -2% 16.5%
1997 2.1% 0.7% -3.5% 1.9% 3.9% 3% 6.9% -5.5% 4.6% -4.4% 0.8% 2.3% 12.9%
1998 0.7% 4.8% 4.5% 1.7% -0.1% 3.3% 0.7% -11.7% 6.7% 3.5% 3.2% 5.7% 22.4%
1999 4% -4.8% 3.9% 5% -2.6% 5.8% -2.5% 0.4% -0.3% 3% 3.1% 8.5% 23.4%
2000 -4.7% 6.9% 2% -3.9% -0.9% 2% -1.3% 0.8% -3.1% 1.8% 2.8% 2% 4.8%
2001 3.5% -1.6% -2.8% -2.5% 0.9% 0.4% 2.3% 1.6% 2.3% -0.3% -2.9% -0.7% 0.4%
2002 0.3% 1.4% 1.1% -2.6% -1.1% -4.8% 2% 4.6% 3.9% -2.9% 0.1% 5.2% 7.2%
2003 3.2% 1.4% -2.6% 2.9% 7.5% 0.5% 1.2% 2% 0.2% 1.9% 2.8% 5.3% 26.2%
2004 0.2% 2.4% -0.1% -3.7% 0.9% 1.2% -3.2% 1.8% 2.2% 2.5% 5.9% 4% 14.1%
2005 -0.8% 4.2% -2.7% 1.1% 1.7% 1.2% -0.2% 0.5% 2% -2.5% 2.7% 2.5% 9.8%
2006 5.6% -0.5% 2% 4.6% -2.4% -0.1% 1.9% 3.1% 1.5% 3.5% 4.1% 1.5% 25%
2007 0.3% 0.2% 2.1% 4% 2.7% 0.1% -0.3% 0.9% 5.2% 6% -2.7% -0.2% 19.1%
2008 4.3% 1.8% -0.9% -1.5% 1.6% 1.3% -0.8% 0.4% 1.6% -3% 12.7% 8.1% 25.1%
2009 -4.4% 0.6% 4.8% 3.7% 7.3% -1.7% 6.6% 3.9% 3.6% -2.6% 4.4% 2% 28.3%
2010 -2.9% 3.1% 5.2% 1.6% -5.9% 1.4% -1.9% 6.4% 1.6% 2.3% -4.7% 5.2% 11.5%
2011 0.4% 2.7% 1.3% 2.9% -1.6% -1.9% -1.5% 4.1% 6.6% -0.5% 1.9% -2% 12.9%
2012 2.2% 2% 0.5% 0.4% -3.7% 2.8% 1.5% 1.9% 1.9% 0.2% 1.6% 2.5% 14.1%
2013 2.5% -1.7% 2.1% 2.2% 1% -1.9% 1.8% -2.1% 1.9% 3.3% 0.2% 1.6% 11.2%
2014 -2.1% 4.1% -0% 0.8% 1.6% 2.2% -1.8% 3.7% -2.8% 2.3% 2.9% 1.5% 12.3%
2015 1.6% 1.5% -0.2% -0.9% -0.4% -3.2% 4% -3.3% 0.1% 2.8% -0.6% -1.9% -0.3%
2016 -1% 7% -0.3% 1.1% 0.8% 2.2% 3.2% -0.5% 0.2% -1.8% -0.1% 1% 12%
2017 2.2% 3.4% 0.2% 3% 3.6% -0.4% 1.2% 1.8% 0.4% 0.6% 2.4% 1.2% 19.6%
2018 3.9% -3.6% -0.8% -0.3% 0.8% -0.5% 0.9% 2.3% -1.1% -4.9% 1.3% 5.5% 3.4%
2019 1.8% -0.8% 2% 2.5% -4.5% 5.3% 0.5% 1.6% 0.5% 1.7% 1.2% 2.4% 14.3%
2020 0.8% -4.4% -0.3% 2.8% 0.3% 1.4% 6.2% 4.4% -3.4% -2.5% 6.3% 1.6% 13.6%
2021 -2% 0.4% 1.4% 4.9% 1.8% 0.3% 3.3% 0% 0% 0% 0% 0% 10.2%
Pos 77.8% 68.9% 64.4% 77.8% 60% 66.7% 66.7% 72.7% 70.5% 59.1% 72.7% 84.1% 91.1%
Avg 1.5% 1.3% 0.7% 1.6% 0.8% 0.7% 1.2% 1% 1% 0.7% 1.9% 2.3% 14.5%

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 Funds of Funds III

start valley end Drawdown days
1980-01-22 1980-04-03 1980-10-06 -19.3% 258
2020-02-20 2020-03-18 2020-07-29 -18.46% 160
1998-07-21 1998-08-31 1998-12-23 -15.91% 155
1990-07-18 1990-10-16 1991-02-06 -15.73% 203
2006-05-11 2006-06-13 2006-09-22 -12.22% 134

The αc Funds of Funds III took approximately 6 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.