Strategy: αc Funds of Funds IV

Investment Objective

Aggressive Long-Term Capital Appreciation

Annualized Return

20.1%

Time
Horizon

5+ years

Rebalancing Frequency

N/A

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

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 $74,249 20.1% 11.8% 34.1% 0% -23.1% 1.61 2.29
$10,000 $40,200 13.6% 17.3% 32.3% -4.6% -34.1% 0.82 1.14

  • 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 2009.
  • 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 11 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 Funds of Funds IV

Drawdown Peak date Valley date Recovery date Duration
-23.08% 2020-02-19 2020-03-18 2020-07-06 99 days
-10.62% 2018-08-30 2018-12-24 2019-03-21 146 days
-10.4% 2010-04-26 2010-07-29 2010-10-12 122 days
-9.13% 2020-09-02 2020-09-23 - -
-8.52% 2015-12-01 2016-01-21 2016-03-29 86 days

The αc Funds of Funds IV took approximately 3 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
-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
-13.02% 2015-07-20 2016-02-11 2016-04-18 196 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
2009 - - - - - - - - - - - 0
2010 -3.4% 2.4% 6.1% 2.9% -5.7% -0.9% -0.7% 4.1% 5% 3.3% -1.1% 4%
2011 3% 3% 0.7% 3.5% -0.5% -2.2% 0.8% 3.3% 3.6% 2.5% 1.5% -1.3%
2012 6.2% 2.7% 1.3% -0.4% -3.9% 3.5% 0.8% 3.9% 1.8% 0 2.9% 1.3%
2013 5.8% 0.3% 3.5% 2.1% 1.8% -1.2% 2.7% -0.3% 4% 5.4% 3.4% 2.3%
2014 -1.6% 4.3% -0.2% 0.4% 2.4% 1.5% -0.4% 4.7% -2.2% 3.3% 2.3% 0.6%
2015 1.5% 3.6% -0.9% 1.4% 1% -2.3% 5.2% -3% -1.1% 6% 1.7% -2%
2016 -3.3% 4.8% 1.9% 0.4% 2.9% 0.6% 4.8% 0.2% 1.2% -0.9% 1.7% 1.9%
2017 2.2% 3.6% 0.8% 2.5% 4.4% -0.4% 3.2% 1.9% 2.2% 2.6% 1.5% 0.8%
2018 5.9% -1.6% -0.5% 1.2% 3.3% 1% 2.1% 4.2% -0.2% -7.7% 0.1% -0.2%
2019 5.3% 1.3% 2.2% 3.6% -5.6% 6% 1.4% 2% -0.6% 3.7% 3.4% 3.6%
2020 2% -4% -2.3% 5.5% 3.7% 3.8% 6% 5.7% -3.7% -3.1% 8% 0.2%
Pos 72.7% 81.8% 63.6% 90.9% 63.6% 54.5% 81.8% 81.8% 54.5% 70% 90.9% 72.7%
Avg 2.1% 1.9% 1.1% 2.1% 0.3% 0.9% 2.4% 2.4% 0.9% 1.5% 2.3% 1%