αc Funds of Funds IV

New York Stock Exchange

This strategy combines the best of all αc's strategies.

19 September 2008  –  5 October 2022
Compare with
S&P 500 (US Large Cap) (SP500.X)

Performance

Annualized Return
17.39%
αc Funds of Funds IV
10.37%
S&P 500 (US Large Cap)
Sharpe Ratio
1.38
αc Funds of Funds IV
0.58
S&P 500 (US Large Cap)
Maximum Drawdown
-26.36%
αc Funds of Funds IV
-44.68%
S&P 500 (US Large Cap)

Metrics

Metric αc Funds of Funds IV S&P 500 (US Large Cap)
Initial Balance $10,000 $10,000
Final Balance $95,130 $39,999
Returns   [View more details]
Month-To-Date 1.96% 5.57%
Year-To-Date -24.34% -19.69%
3M -3.89% -0.68%
6M -19.72% -16.75%
Annual Return (3Y) 7.84% 10.39%
Annual Return (5Y) 10.58% 10.05%
Annual Return (All) 17.39% 10.37%
Risk   [View more details]
Annual Volatility 12.21% 20.58%
Max Drawdown -26.36% -44.68%
Sharpe Ratio 1.38 0.58
Sortino Ratio 1.96 0.82
Adjusted Sortino (S/√2) 1.38 0.58

  • 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 September 2008.
  • Final balance: The amount of capital we've accrued over time as of October 2022.
  • 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 14 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.
  • Adjusted Sortino Ratio: Sortino Ratio/√2. To allow for comparing the Sortino ratio to the Sharpe ratio, we multiply the risk measure of the Sortino ratio by the square root of 2 (which is the same as dividing the Sortino ratio by the square root of 2).
  • Ulcer Index: The Ulcer Index (UI) is a technical indicator that measures downside risk in terms of both the depth and duration of price declines.
  • Gain to Pain Ratio: The sum of all returns divided by the absolute value of the sum of all negative returns. In essence, the GPR shows the ratio of net returns to the losses incurred in getting those returns.

Annualized Returns

Annual Return 1y Annual Return 3y Annual Return 5y Annual Return 10y Annual Return 20y Annual Return
αc Funds of Funds IV -17.89% 7.84% 10.58% 14.82% 17.39% 17.39%
S&P 500 (US Large Cap) -10.69% 10.39% 10.05% 12.04% 10.37% 10.37%

Annual Returns

Year αc Funds of Funds IV S&P 500 (US Large Cap) Won
2008 3.43% -26.7%
2009 44.6% 26.37%
2010 16.8% 15.06%
2011 12.98% 1.89%
2012 24.83% 15.99%
2013 29.16% 32.31%
2014 15.06% 13.46%
2015 8.91% 1.25%
2016 16.8% 12%
2017 28.87% 21.7%
2018 8.04% -4.56%
2019 28.87% 31.22%
2020 25.99% 18.37%
2021 19.43% 28.74%
2022 -24.34% -19.69%

αc Funds of Funds IV had 14 positive years and 1 negative years. That's a positive ratio of 93%.

S&P 500 (US Large Cap) had 12 positive years and 3 negative years. That's a positive ratio of 80%.

αc Funds of Funds IV had a better yearly return 73% of the time compared to S&P 500 (US Large Cap).

Monthly Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
2008 0% 0% 0% 0% 0% 0% 0% 0% -2% -8.1% 7.1% 7.2% 3.8%
2009 -4.5% 0.2% 7.5% 6.8% 6.7% -0.6% 8% 3.7% 4.4% -1.4% 4.3% 3.2% 38.2%
2010 -2.2% 2.4% 6.1% 2.6% -5.9% -1.2% -0.4% 3.7% 4.6% 3.4% -1.9% 5.2% 16.4%
2011 3.3% 2.4% 1.1% 2.9% -0.6% -2.1% 0.1% 1.6% 1.2% 2.8% 1% -1.4% 12.9%
2012 6.5% 3.4% 1.9% -0% -3.7% 3.4% 0.9% 3.8% 1.6% 0.5% 2.6% 1.9% 22.8%
2013 5.8% 0.2% 3.3% 2.1% 1.9% -1.4% 2.5% -0.7% 3.5% 4.8% 2.1% 2.2% 26.1%
2014 -1.7% 4.2% -0.1% 0.3% 2.5% 1.7% -0.9% 4.6% -2.6% 3.4% 2.4% 0.6% 14.4%
2015 1.5% 3.5% -0.8% 1.3% 0.8% -2.4% 4.5% -3.2% -0.7% 5.5% 1% -2.1% 9.1%
2016 -3.1% 4.9% 1.9% 0.7% 3.1% 0.5% 4.7% 0.2% 1.1% -0.7% 1.2% 1.5% 16.1%
2017 2.1% 3.6% 0.7% 2.6% 4.2% -0.3% 3.3% 1.9% 2.4% 2.6% 1.9% 0.8% 25.6%
2018 5.8% -1.5% -0.6% 0.8% 3.2% 0.6% 2% 4% -0.3% -7.2% 0.6% 0.8% 8.4%
2019 5.3% 1.1% 2.5% 3.5% -5.5% 6.2% 1.6% 1.6% 0% 3.4% 3.1% 3.3% 25.8%
2020 2.1% -3.9% -2.9% 6.1% 3.5% 3.2% 6.6% 5.7% -3.5% -2.9% 8% 2.4% 24.8%
2021 -2.4% 0.6% 2% 5.5% 0.7% 2.1% 3.4% 2.5% -4.2% 5.8% 0.7% 1.6% 18.3%
2022 -6.4% 0.8% -1% -8.2% -1.6% -6.6% 4.6% -3.6% -6.6% 2% 0% 0% -27%
Pos 57.1% 85.7% 64.3% 85.7% 64.3% 50% 85.7% 78.6% 53.3% 66.7% 92.9% 85.7% 93.3%
Avg 0.9% 1.6% 1.5% 1.9% 0.7% 0.2% 2.9% 1.8% -0.1% 0.9% 2.4% 1.9% 15.7%

Other Return Metrics

Metric αc Funds of Funds IV S&P 500 (US Large Cap)
Cumulative Return 851.3% 299.99%
Enh Ann Return 18.4% 12.45%
Best Year 44.6% 32.31%
Worst Year -24.34% -26.7%
Best Month 8.04% 12.7%
Worst Month -8.19% -16.52%
Best Day 4.52% 14.52%
Worst Day -5.73% -10.94%
Win Ratio (Yearly) 93.33% 80%
Win Ratio (Quarterly) 84.48% 75.86%
Win Ratio (Monthly) 72.35% 67.06%
Win Ratio (Daily) 56.48% 55.35%

Annual Volatility

Annual Volatility 1y Annual Volatility 3y Annual Volatility 5y Annual Volatility 10y Annual Volatility 20y Annual Volatility
αc Funds of Funds IV 14.4% 14.85% 13.24% 11.6% 12.21% 12.21%
S&P 500 (US Large Cap) 22.12% 24.13% 20.92% 17.1% 20.58% 20.58%

Sharpe Ratio

Sharpe Ratio 1y Sharpe Ratio 3y Sharpe Ratio 5y Sharpe Ratio 10y Sharpe Ratio 20y Sharpe Ratio
αc Funds of Funds IV -1.29 0.58 0.83 1.25 1.38 1.38
S&P 500 (US Large Cap) -0.4 0.53 0.56 0.75 0.58 0.58

3-Year Rolling Sharpe Ratio

The rolling Sharpe Ratio gives a clue about the continued consistency or stability of the risk-adjusted returns.

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 IV

start valley end Drawdown days
2021-12-28 2022-09-27 - -26.36% 281
2020-02-20 2020-03-18 2020-07-06 -23.22% 137
2008-09-22 2008-10-27 2008-12-16 -11.97% 85
2010-04-27 2010-07-29 2010-10-13 -10.52% 169
2018-08-31 2018-10-29 2019-02-19 -9.68% 172

The αc Funds of Funds IV took approximately 6 months on average to recover from a major drawdown. The longest drawdown lasted 9 months.

S&P 500 (US Large Cap)

start valley end Drawdown days
2008-09-22 2009-03-09 2010-04-13 -44.68% 568
2020-02-20 2020-03-23 2020-08-10 -33.7% 172
2022-01-04 2022-09-30 - -24.37% 274
2018-09-21 2018-12-24 2019-04-12 -19.34% 203
2011-05-02 2011-10-03 2012-02-03 -18.61% 277

The S&P 500 (US Large Cap) took approximately 10 months on average to recover from a major drawdown. The longest drawdown lasted 19 months.

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.

Other Risk Metrics

Metric αc Funds of Funds IV S&P 500 (US Large Cap)
Sharpe Ratio 1.38 0.58
Sortino Ratio 1.96 0.82
Adjusted Sortino (S/√2) 1.38 0.58
Calmar Ratio 0.66 0.23
Omega Ratio 0.66 0.23
Gain to Pain Ratio 0.27 0.12
Winckel Ratio 66.67 66.67
Ulcer Index 0.05 0.09
Kelly Criterion 11.94% 6.14%
Skew -0.54 -0.08
Kurtosis 3.97 15.05
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