αc Funds of Funds IV

This strategy combines the best of all αc's strategies.
31 December 2008  –  29 July 2021
Compare with
S&P 500 (US Large Cap) (SP500.X)

Performance

Annualized Return
21.27%
αc Funds of Funds IV
15.66%
S&P 500 (US Large Cap)
Sharpe Ratio
1.69
αc Funds of Funds IV
0.9
S&P 500 (US Large Cap)
Maximum Drawdown
-23.31%
αc Funds of Funds IV
-33.7%
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 $113,180 $62,407
Returns
Month-To-Date 3.59% 2.94%
Year-To-Date 11.94% 18.25%
3M 5.55% 5.54%
6M 11.32% 15.19%
Annual Return (1Y) 25.22% 38.8%
Annual Return (3Y) 21.04% 18.13%
Annual Return (5Y) 21.2% 17.33%
Annual Return (10Y) 20.14% 15.16%
Annual Return (All) 21.27% 15.66%
Enh Ann Return 18.97% 14.63%
Best Year 44.32% 32.31%
Worst Year 0% -4.56%
Risk
Annual Volatility 11.83% 18.02%
Max Drawdown -23.31% -33.7%
Sharpe Ratio 1.69 0.9
Sortino Ratio 2.43 1.26
Enhanced Sortino 2.54 1.64

  • 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 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 13 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 IV S&P 500 (US Large Cap) Won
2008 0% 0%  =
2009 44.32% 26.37%
2010 16.57% 15.06%
2011 13.38% 1.89%
2012 24.28% 15.99%
2013 28.96% 32.31%
2014 14.92% 13.46%
2015 8.99% 1.25%
2016 16.63% 12%
2017 28.67% 21.7%
2018 8.32% -4.56%
2019 29.14% 31.22%
2020 25.8% 18.37%
2021 11.94% 18.25%

αc Funds of Funds IV had 13 positive years and 0 negative years. That's a positive ratio of 100%.

S&P 500 (US Large Cap) had 12 positive years and 1 negative years. That's a positive ratio of 92%.

αc Funds of Funds IV had a better yearly return 77% 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 -4.8% 0.2% 7.5% 6.8% 6.7% -0.6% 8% 3.8% 4.4% -1.3% 4.2% 3.2% 38%
2010 -2.2% 2.4% 6.2% 2.6% -6.2% -1.2% -0.4% 3.7% 4.6% 3.4% -1.9% 5.2% 16.1%
2011 3.3% 2.5% 1.3% 3% -0.6% -2.1% 0.1% 1.6% 1.2% 2.8% 1% -1.4% 13.3%
2012 6.5% 3.5% 1.7% 0% -3.9% 3.6% 0.9% 3.5% 1.6% 0.5% 2.6% 1.8% 22.3%
2013 5.8% 0% 3.3% 2.1% 1.8% -1.3% 2.5% -1% 3.8% 4.7% 2% 2.2% 25.9%
2014 -1.7% 4.2% -0.1% 0.3% 2.5% 1.7% -0.9% 4.6% -2.7% 3.4% 2.4% 0.6% 14.3%
2015 1.5% 3.7% -0.7% 1.2% 0.8% -2.5% 4.5% -3.2% -0.7% 5.5% 1% -2.1% 9.1%
2016 -3.1% 4.9% 1.9% 0.7% 3.2% 0.6% 4.7% 0.3% 1% -0.7% 1.2% 1.3% 15.9%
2017 2.1% 3.6% 0.7% 2.6% 4.2% -0.3% 3.3% 1.9% 2% 2.6% 1.9% 0.8% 25.5%
2018 5.9% -1.6% -0.6% 0.9% 3.2% 0.6% 2% 3.9% -0.3% -6.9% 0.6% 0.8% 8.6%
2019 5.3% 1.1% 2.5% 3.5% -5.4% 6.2% 1.6% 1.6% 0.1% 3.4% 3.1% 3.3% 26%
2020 2.1% -3.9% -2.9% 6.1% 3.5% 3% 6.5% 5.6% -3.4% -2.9% 8% 2.4% 24.7%
2021 -2.4% 0.6% 1.9% 5.5% 0.7% 1.7% 3.6% 0% 0% 0% 0% 0% 11.7%
Pos 61.5% 84.6% 69.2% 100% 69.2% 53.8% 84.6% 83.3% 66.7% 66.7% 91.7% 83.3% 100%
Avg 1.4% 1.6% 1.7% 2.7% 0.8% 0.7% 2.8% 2.2% 1% 1.2% 2.2% 1.5% 19.3%

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
2020-02-20 2020-03-18 2020-07-06 -23.31% 137
2010-04-27 2010-07-29 2010-10-15 -10.75% 171
2018-08-31 2018-10-29 2019-02-15 -9.25% 168
2020-09-03 2020-09-23 2020-12-08 -8.27% 96
2015-12-07 2016-01-21 2016-03-29 -8.12% 113

The αc Funds of Funds IV took approximately 5 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.