αc Multi-Asset Defensive III

New York Stock Exchange
USD

The portfolio pursues a rather defensive 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.

We use a systematic approach to constructing the portfolio by ranking ETFs in the investment universe using a number of technical indicators and proprietary formulas. We then select one single asset according to certain calculations, and rebalance once a month.

The investment universe for the portfolio is comprised of multiple assets classes, ranging from large to mid-cap developing markets, emerging markets and fixed-income instruments.

31 January 1977  –  26 November 2021
Compare with
S&P 500 (US Large Cap) (SP500.X)

Performance

Annualized Return
16.09%
αc Multi-Asset Defensive III
10.63%
S&P 500 (US Large Cap)
Sharpe Ratio
1.43
αc Multi-Asset Defensive III
0.66
S&P 500 (US Large Cap)
Maximum Drawdown
-21.04%
αc Multi-Asset Defensive III
-55.2%
S&P 500 (US Large Cap)

Metrics

Metric αc Multi-Asset Defensive III S&P 500 (US Large Cap)
Initial Balance $10,000 $10,000
Final Balance $8,048,551 $927,654
Returns
Month-To-Date -2.13% -0.06%
Year-To-Date 11.72% 23.97%
3M -3.69% 2.57%
6M 0.06% 10.24%
Annual Return (1Y) 15.76% 28.44%
Annual Return (3Y) 22.17% 21.86%
Annual Return (5Y) 16.96% 17.83%
Annual Return (10Y) 14.01% 16.64%
Annual Return (All) 16.09% 10.63%
Enh Ann Return 16.53% 12.31%
Best Year 44.47% 38.03%
Worst Year -5.94% -36.81%
Risk
Annual Volatility 10.83% 17.75%
Max Drawdown -21.04% -55.2%
Sharpe Ratio 1.43 0.66
Sortino Ratio 2.12 0.93
Adjusted Sortino (S/√2) 1.5 0.65
Ulcer Index 0.05 0.13
Gain to Pain Ratio 0.31 0.13

  • 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 January 1977.
  • Final balance: The amount of capital we've accrued over time as of November 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.
  • 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.

Chart

Table

Year αc Multi-Asset Defensive III S&P 500 (US Large Cap) Won
1977 7.15% -7.07%
1978 4.96% 0.77%
1979 10.65% 11.67%
1980 20.05% 28.17%
1981 -3.04% -8.47%
1982 41.76% 19.3%
1983 7.55% 17.15%
1984 6% 3.69%
1985 28.6% 22.71%
1986 16.84% 9.31%
1987 14.46% 4.7%
1988 18.92% 16.22%
1989 39.05% 31.37%
1990 4.32% -3.33%
1991 35.48% 30.19%
1992 11.65% 8.21%
1993 28.08% 8.75%
1994 -1.58% 0.4%
1995 19.6% 38.03%
1996 7.21% 22.55%
1997 20.25% 33.48%
1998 18.4% 28.69%
1999 28.2% 20.39%
2000 7.32% -9.73%
2001 10.98% -11.75%
2002 7.19% -21.59%
2003 44.47% 28.18%
2004 21.07% 10.7%
2005 24.51% 4.83%
2006 25.62% 15.85%
2007 24.84% 5.14%
2008 15.66% -36.81%
2009 16.2% 26.37%
2010 -4.06% 15.06%
2011 36.69% 1.89%
2012 19.33% 15.99%
2013 17.43% 32.31%
2014 6.61% 13.46%
2015 -5.94% 1.25%
2016 8.87% 12%
2017 19.77% 21.7%
2018 7.48% -4.56%
2019 12.78% 31.22%
2020 36.17% 18.37%
2021 11.72% 23.97%

αc Multi-Asset Defensive 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 Multi-Asset Defensive III had a better yearly return 62% 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
1977 0% -0.3% 0.9% 0.8% 1.1% 1.7% -0.1% 1.7% -0.3% -1% 1.1% 1.4% 6.9%
1978 -0.8% -0% -0.3% 0% 0.7% 1.1% 1.7% 2.9% -0.2% -0.2% 1.5% -1.4% 4.9%
1979 2.1% -2.5% 1.7% 0.4% -0.4% 3% 1.3% 3.6% 0.6% -3.6% 3.1% 1% 10.2%
1980 -6.8% -0.6% -10.3% 13.8% 5.7% 3.8% 4.8% 1.6% 2.8% 2.4% 7.6% -4.1% 18.7%
1981 -3.7% -4.6% 3.1% -5.3% 6.4% -2.1% -3.2% -4.1% -1.7% 7.7% 11% -4.9% -3%
1982 0.3% 1.8% 2.4% 3.3% 0.8% -2.2% 4.6% 7.8% 6.5% 8.5% -0.3% 2.5% 34.9%
1983 -2.9% 5% -0.7% 3.7% -0.4% 3.4% -2.5% 1.2% 1.6% -1.3% 2% -1.4% 7.4%
1984 1.7% -1.9% -2.1% -1.2% -5.4% 1.6% 7.4% 2.5% 0.6% 0.7% 0.8% 1.5% 5.9%
1985 4% 1.1% 1.1% 1.2% 3.7% 1.6% 0.9% 1.7% 1.3% 3.6% 3.7% 1.7% 25.3%
1986 0.8% 4.9% 7.9% 0.7% 2.5% 2.8% -2.4% 3.9% -5.4% 0.8% 3.7% -3.9% 15.9%
1987 1% 2.9% 4.5% 2.5% 0.6% 2.5% 3.5% 4.8% -2% -7.2% 0.2% 0.9% 13.8%
1988 3.9% 3.3% 6.8% -1.1% 0.1% 3% -1.5% -3.9% 3.2% 1.5% 0.9% 1.6% 17.5%
1989 1.1% -1.4% 4.1% 11.8% 2.6% 5.2% 1.4% 1.2% 5.9% -0.6% -0.4% 3.1% 33.2%
1990 0.1% -1.3% -0.3% -2.8% 4.5% 3.1% 4.3% -11% 0% 2.1% 4.6% 2% 4.6%
1991 1.1% 13% 3.2% 0.7% 6.1% -4% 1.8% 2.8% 1.5% 2.1% -2.8% 6.4% 30.7%
1992 4.4% 2.9% 0.9% -1.4% 2.7% -5.6% 3.5% 0.7% 1.4% -1.9% 0.5% 3.4% 11.2%
1993 0.3% 1.4% 2.8% 3.4% -1.1% 2.9% 2.3% 6.5% 1% 6.1% -0.1% -0.1% 24.9%
1994 4% -1.5% -3.8% -1.3% -0.5% -1.1% 2% 7.4% -1.1% -0.7% -5.1% 0.7% -1.3%
1995 2.6% 2.8% 0.7% 1.7% 3.1% -0.3% 4% -0.9% 0.5% 0% 1.3% 2.7% 18.1%
1996 3.2% -1.1% 1.6% 1.9% 0.8% 0.4% -5.6% -2.4% 4.6% 2.2% 2.9% -1.2% 7.3%
1997 5.9% 2% -3.8% 0.9% 7% 4.5% 6.3% -5.9% 1.9% -2.9% 1.9% 1.6% 18.9%
1998 1.4% -0.7% 4% 1.1% -1.7% 1.3% -0.5% 4.8% 3.3% -1.7% 4.2% 1.7% 17.4%
1999 3.1% -4% 3.5% 9.6% -3.3% 6.8% -3.3% -1.2% -1.3% 1.2% 4.3% 11% 25.4%
2000 -5.3% 3.1% 2.2% -4.4% -0.1% 1.8% 1.5% 2.6% -0.9% 1.6% 3% 2.5% 7.5%
2001 0.3% 1.8% -0.6% -2.6% 1.3% 0.1% 3.6% 2% 0.9% 5.1% -5.1% 4% 11%
2002 0.4% 0.7% -3.9% -2.5% 0.4% 1.8% 2.7% 5.5% 4.3% -3.7% 6.5% -4.5% 7.6%
2003 1.6% 3.1% -1.4% 1% 5.7% 2.5% 4.3% 4.3% 0.7% 7.6% 1.3% 7.1% 37.2%
2004 2.4% 3% -0.1% -5.2% 0.1% 1.1% -3% 3.6% 3.4% 2.4% 7.7% 4.6% 19.5%
2005 -1.1% 6.2% -4.6% 4.3% 3.1% 2.9% 5.3% 0.2% 5.3% -4.1% 1.1% 4.3% 22.4%
2006 8.1% -1.2% 1.7% 5.5% -7.6% 1.1% 2.2% 2.1% 1.1% 3.6% 4.2% 3% 23.4%
2007 0.6% -1.5% 3.1% 4.1% 4.7% 1.3% 0.8% 1% 8.7% 8.2% -6.5% -1.3% 23.4%
2008 2.1% -0.5% 2.1% -2.5% -2.7% -8.9% -3.1% 2.7% 1.5% -1.9% 14.3% 13.6% 16.2%
2009 -13.1% -1.5% 4% -7% 10.9% -0.8% 9.7% 1.7% 6.9% -2.1% 6.5% 2.5% 17%
2010 -5.2% 0.8% 6.2% 0.2% -8.6% 3.8% -0.9% -4.9% -0.3% 1.9% -2.5% 6.5% -3.2%
2011 2.7% 3.5% -0.5% 2.6% -2.2% -1.6% -1.3% 11.1% 13.2% -3.8% 5% 4.5% 33.5%
2012 -0.3% 3% 0.3% -0.2% 8.8% -1.7% 1.1% 0.3% 3.1% -2% 1% 5.1% 18.6%
2013 2.3% 0.9% 3% 4.8% 3.7% -4.2% -2.3% -1.3% 0.7% 4.4% 2.5% 2.1% 16.9%
2014 -3.8% -0.2% 1.8% 0.2% 2.7% 2% -0.2% 3.9% -4.3% 1.8% 0.9% 2.1% 7%
2015 9.8% -6.1% -2% -4.1% -3.3% -3.7% 4.5% -0.7% 2% -0.4% -0.9% -0.3% -5%
2016 5.6% 3.1% -0.1% 2.3% -1.6% 6.2% 2.1% -0.7% 1% -0.8% -7.4% -0.5% 9.5%
2017 0.8% 2.1% 0.6% 1.4% 1.8% 0.6% 3.9% 1.6% 0.8% 2.1% 1.2% 1.3% 18.3%
2018 6.6% -4.5% 3.3% -2.1% 2% 0.6% -1.4% 1.1% -2.5% -2.9% 1.8% 5.9% 7.9%
2019 0.4% 1.5% 1.6% 2.9% -6.1% 0.7% 0% 10.4% -2.7% -1.1% 2.3% 3% 12.7%
2020 -3.3% 7.5% 6.4% 1.2% 7.6% 1.1% 6% 4.8% -3.2% -0.6% 1.9% 2.7% 33.6%
2021 1.2% 2% 1.9% 5.2% 1.1% 1.9% 2.1% 0.1% -4.3% 2.3% -2.1% 0% 11.9%
Pos 75% 57.8% 66.7% 66.7% 66.7% 73.3% 66.7% 75.6% 68.9% 53.3% 75.6% 75% 91.1%
Avg 0.9% 1.1% 1.2% 1.1% 1.3% 0.9% 1.5% 1.7% 1.3% 0.8% 1.9% 2.2% 15.5%

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 Multi-Asset Defensive III

start valley end Drawdown days
2007-11-01 2008-07-25 2008-12-04 -21.04% 399
2008-12-31 2009-05-01 2009-08-21 -19.42% 233
2015-02-02 2015-06-26 2016-07-01 -19.36% 515
1979-12-18 1980-03-26 1980-06-06 -18.6% 171
1980-12-01 1981-09-30 1982-04-28 -18.24% 513

The αc Multi-Asset Defensive III took approximately 12 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.

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