αc Multi-Asset Defensive IV

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.

1 February 1977  –  3 December 2024
Compare with
S&P 500 (US Large Cap) (SP500.X)

Performance

Annualized Return
15.27%
αc Multi-Asset Defensive IV
11.02%
S&P 500 (US Large Cap)
Sharpe Ratio
0.55
αc Multi-Asset Defensive IV
0.69
S&P 500 (US Large Cap)
Maximum Drawdown
-67.61%
αc Multi-Asset Defensive IV
-55.19%
S&P 500 (US Large Cap)

Metrics

Metric αc Multi-Asset Defensive IV S&P 500 (US Large Cap)
Initial Balance $10,000 $10,000
Final Balance $9,010,945 $1,489,846
Returns   [View more details]
Month-To-Date 0.29% 0.23%
Year-To-Date 17.13% 27.86%
3M 5.3% 7.14%
6M 12.45% 14.88%
Annual Return (3Y) 2.53% 11.56%
Annual Return (5Y) 11.84% 15.87%
Annual Return (All) 15.27% 11.02%
Risk   [View more details]
Annual Volatility 31.49% 17.5%
Max Drawdown -67.61% -55.19%
Sharpe Ratio 0.55 0.69
Sortino Ratio 1.47 0.96
Adjusted Sortino (S/√2) 1.04 0.68

  • 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 February 1977.
  • Final balance: The amount of capital we've accrued over time as of December 2024.
  • 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 48 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 Multi-Asset Defensive IV 21.87 2.53 11.84 11.56 15.14 15.27
S&P 500 (US Large Cap) 32.91 11.56 15.87 13.2 10.55 11.02

Annual Returns

Year αc Multi-Asset Defensive IV S&P 500 (US Large Cap) Won
1977 3.82% -5.72%
1978 20.56% 7.69%
1979 11.19% 18.3%
1980 15.67% 31.11%
1981 -1.04% -8.55%
1982 32.37% 19.25%
1983 9.1% 17.07%
1984 7.68% 3.67%
1985 25.59% 22.6%
1986 13.06% 9.3%
1987 17.24% 4.69%
1988 19.97% 16.27%
1989 33.55% 31.4%
1990 -10.37% -3.35%
1991 20.25% 30.2%
1992 9.25% 8.21%
1993 35.51% 8.81%
1994 1.57% 0.4%
1995 13.7% 38.05%
1996 6.56% 22.5%
1997 13.63% 33.48%
1998 18.22% 28.69%
1999 31.42% 20.39%
2000 7.08% -9.74%
2001 6.47% -11.76%
2002 13.59% -21.58%
2003 51.33% 28.18%
2004 23.63% 10.7%
2005 21.48% 4.83%
2006 23.87% 15.85%
2007 32.46% 5.15%
2008 12.09% -36.8%
2009 42.48% 26.35%
2010 3.63% 15.06%
2011 11.88% 1.89%
2012 25.08% 15.99%
2013 17% 32.31%
2014 1.58% 13.46%
2015 -7.55% 1.23%
2016 23.57% 12%
2017 20.36% 21.71%
2018 3.81% -4.57%
2019 22.96% 31.22%
2020 37.3% 18.33%
2021 12.95% 28.73%
2022 -16.05% -18.18%
2023 10.62% 26.18%
2024 17.13% 27.86%

αc Multi-Asset Defensive IV had 44 positive years and 4 negative years. That's a positive ratio of 92%.

S&P 500 (US Large Cap) had 39 positive years and 9 negative years. That's a positive ratio of 81%.

αc Multi-Asset Defensive IV had a better yearly return 63% 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
1977 - 1.5% 0.9% 0.4% 0.3% 0% -0.7% 1% 0.6% 0.2% -0.1% -0.5% 3.8%
1978 1.2% 0.8% -0.1% -1.3% 3.1% 0.8% 3.5% 1.8% 0.8% -2.4% -1.4% 12.7% 20.6%
1979 2.2% -1.4% 2% 0.8% -0.2% 1.9% 1.5% 3.2% 1.8% -5.4% 2% 2.5% 11.2%
1980 4.5% 0.2% -10.3% 1.5% 0.9% 3.8% 4.8% 1.6% 2.8% 2.4% 7.6% -4.1% 15.7%
1981 -3.7% -0.7% 0.2% -3.9% 0.4% -1.3% 0.1% 0.2% 0.2% 0.2% 8.1% -0.3% -1%
1982 1.4% 0.4% 2.1% 3% 1.3% 1% 0.4% 6% -0.2% 7% 2.3% 4.1% 32.4%
1983 7.1% -2.5% 0.7% 1.3% -0.1% 3.3% -2.5% 1.2% 1.6% -1.3% 1.9% -1.5% 9.1%
1984 1.5% -1.3% 0.2% 0.2% 0.2% 0.2% 0.2% 2.2% 0.7% 0.8% 0.9% 1.7% 7.7%
1985 3.9% 1.1% 1.1% 1.2% 3.6% 1.7% 0.9% 1.7% 1.4% 1.3% 3.6% 1.7% 25.6%
1986 0.8% 4.9% 8% 0.7% 2.5% 2.8% -2.4% 1.1% -5% 0.4% 3.1% -3.9% 13.1%
1987 0.7% 4.2% 4.5% 2.5% 0.6% 2.5% 3.5% 4.8% -2% -7.2% 1.6% 0.9% 17.2%
1988 2.7% 2.9% 6.8% 0.9% 0.5% 3% -1.5% -3.8% 3.1% 1.5% 0.9% 1.6% 20%
1989 1.2% -1.4% 4.2% 11.9% 2.6% 1.9% 1.1% 0.3% 5.9% -0.6% 0.6% 2.2% 33.6%
1990 -0% -1.4% -7.5% -0% 0.8% 1.1% 4.3% -11% -0.3% -0.2% 2.2% 2.2% -10.4%
1991 -4.5% 10.7% 3.2% 0.7% 6.1% -4% 2.4% 2.3% 0.5% 1.3% -2.8% 3.6% 20.3%
1992 4.5% 2.9% 0.9% -0.6% 2.4% -6.3% 1.7% 1.1% 1.1% -1.3% 0.3% 2.4% 9.3%
1993 0.3% 1.4% 2.8% 3.4% 5.3% 1% 2.3% 6.5% 1% 6.1% -0.1% 1% 35.5%
1994 3.7% -1.5% 1.4% -1.5% 0.2% -2.3% 1.9% 6.8% -1% -0.8% -5% 0.1% 1.6%
1995 1.8% 1.8% 0.6% 1.2% 2.5% -0.3% 3.9% -0.9% 0.8% -0.5% 1% 1.2% 13.7%
1996 2.8% -1.1% 1.6% 1.9% 0.8% 0.5% -5.6% -1.4% 3.9% 2.3% 2.9% -1.6% 6.6%
1997 5.9% 2% -3.8% -0.2% 6.1% 4.5% 6.3% -5.9% 1% -4.1% 1.2% 0.9% 13.6%
1998 1.2% -0.2% 4.2% 1.1% -1.7% 1.5% 0.2% 0.9% 3.4% 0.4% 4.3% 1.7% 18.2%
1999 3% -1.2% 3.7% 9.5% -3.3% 6.8% -3.3% -0.6% -1.2% 0.4% 3.9% 11.1% 31.4%
2000 -5.3% 4.3% 1.9% -4.4% 0.7% 1.3% 0.6% 1.6% 0.7% 1.7% 2.6% 1.5% 7.1%
2001 1.1% 1% 0.5% -2% 1.4% 0.1% 2.3% 1% 1.5% -2.1% -2% 3.9% 6.5%
2002 0.4% 1.5% -0.4% -2.6% 5.2% 0.2% 1.3% 3.8% 3.6% -2.4% 7% -4.2% 13.6%
2003 6.8% 1.8% -3% 0.6% 7.2% 3.7% 4.5% 4.5% 0.9% 7.8% 1.5% 6.4% 51.3%
2004 2.6% 3.2% 0.1% -5.1% 1.1% 2.9% -3.2% 2.9% 3.5% 2.5% 7.9% 3.8% 23.6%
2005 -1% 6.3% -4.6% 2.5% 1.7% 2.6% 5.3% 0.3% 5.3% -4.1% 1.8% 4.2% 21.5%
2006 8.1% -1.2% 1.7% 5.5% -7.6% 0% 1.8% 2.2% 1.1% 3.7% 4.2% 3% 23.9%
2007 0.6% -1.4% 3% 4.1% 4.7% 1.4% 0.9% 0.8% 8.6% 8.2% -6.5% 5% 32.5%
2008 4.5% 2.2% -1.4% -2.5% 3% -9.2% -3.2% 2.2% 0.6% 0.5% 11.6% 4.5% 12.1%
2009 -3.2% 2.1% 4.6% -2.1% 11.3% -0.8% 9.7% 1.7% 6.9% -2.1% 6.6% 2.5% 42.5%
2010 -5.2% 2.7% 6.3% 0.3% -7.7% 3% -1.8% -4.6% 4.6% 3.1% -2.5% 6.5% 3.6%
2011 2.6% 3.5% -0.5% 2.6% -2.2% -1.6% -1.3% 4.2% 7.9% 3.4% 1.1% -7.5% 11.9%
2012 8.7% 3.8% 0.3% -0.3% 1.9% -0.4% 0.7% 0.8% 3.5% -2% 1% 5.1% 25.1%
2013 2.4% 0.9% 3% 1.2% 3.2% -4% 0.8% -1.5% 1.1% 4.4% 2.5% 2.1% 17%
2014 -3.8% -0.7% 1.4% 0.2% 2.7% 2% -0.2% 3.9% -4.3% 0.3% 1% -0.5% 1.6%
2015 2.5% -1.6% -1.9% -3.2% -3.1% -0.6% 0.4% -0.2% 0.6% -0% -0.3% -0.3% -7.6%
2016 3.8% 8.7% -0.2% 2% -1.6% 8.3% 1.7% -0.6% 1% -0.8% -0.5% 0.1% 23.6%
2017 1.4% 2.1% 0.6% 1.4% 1.8% 0.6% 3.9% 1.6% 0.8% 2.1% 1.3% 1.3% 20.4%
2018 6.6% -4.5% 1.4% -1.6% 0.1% -2.6% -0.7% 1.9% -0.8% -1.2% 0.5% 5.1% 3.8%
2019 2.4% 1.7% 1.6% 2.9% -6.1% 6% -1% 10% -2.8% 1.6% 2.4% 3% 23%
2020 -3.3% 6% 5.1% 7.5% 6.6% 2.3% 6.4% 4.8% -3.2% -0.6% -3.7% 5% 37.3%
2021 1.2% 2% 1.9% 5.3% 1.1% 1.9% 2.1% 0.4% -4.7% 1.7% -1.3% 0.9% 13%
2022 -5.9% 2.3% -1.2% -2.2% -1.5% -2.2% -1.6% -1.1% -2.5% 0.8% 1.6% -3.7% -16.1%
2023 3.1% -4.4% 5.2% 2% -0.3% -0.6% 3.4% -1.9% -1.9% -0.1% 1.4% 4.8% 10.6%
2024 1.2% -0.1% 3.7% -4% 3.5% 2.6% 1.4% 2.6% 1.7% -2% 5.4% 0.3% 17.1%
Pos 78.7% 64.6% 75% 64.6% 75% 70.2% 70.8% 75% 72.9% 56.3% 75% 77.1% 91.7%
Avg 1.6% 1.3% 1.2% 0.9% 1.3% 0.9% 1.2% 1.3% 1.1% 0.5% 1.7% 1.9% 16%

Other Return Metrics

Metric αc Multi-Asset Defensive IV S&P 500 (US Large Cap)
Cumulative Return 90009.45% 14798.46%
Enh Ann Return 15.91% 12.77%
Best Year 51.33% 38.05%
Worst Year -16.05% -36.8%
Best Month 12.7% 13.27%
Worst Month -11.02% -21.73%
Best Day 194.74% 14.52%
Worst Day -66.57% -20.46%
Win Ratio (Yearly) 91.67% 81.25%
Win Ratio (Quarterly) 78.12% 70.31%
Win Ratio (Monthly) 71.3% 63.83%
Win Ratio (Daily) 59.59% 54.19%

Annual Volatility

Annual Volatility 1y Annual Volatility 3y Annual Volatility 5y Annual Volatility 10y Annual Volatility 20y Annual Volatility
αc Multi-Asset Defensive IV 206.32 119.56 93.18 66.26 47.73 31.49
S&P 500 (US Large Cap) 12.16 17.53 20.94 17.63 19.02 17.5

Sharpe Ratio

Sharpe Ratio 1y Sharpe Ratio 3y Sharpe Ratio 5y Sharpe Ratio 10y Sharpe Ratio 20y Sharpe Ratio
αc Multi-Asset Defensive IV 0.73 0.39 0.41 0.37 0.45 0.55
S&P 500 (US Large Cap) 2.4 0.71 0.81 0.79 0.62 0.69

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 Multi-Asset Defensive IV

Start Valley End Days Drawdown
2021-08-05 2024-09-06 2024-09-19 1141 -67.61%
1990-02-08 1990-10-16 1991-05-22 468 -17.62%
2008-05-22 2008-07-23 2008-12-15 207 -16.88%
1980-02-14 1980-04-03 1980-08-14 182 -15.07%
1982-09-08 1982-10-04 1983-01-10 124 -14.95%

The αc Multi-Asset Defensive IV took approximately 14 months on average to recover from a major drawdown. The longest drawdown lasted 38 months.

S&P 500 (US Large Cap)

Start Valley End Days Drawdown
2007-10-10 2009-03-09 2012-08-16 1772 -55.19%
2000-03-27 2002-10-09 2006-10-26 2404 -47.52%
2020-02-20 2020-03-23 2020-08-10 172 -33.72%
1987-08-26 1987-10-19 1989-05-19 632 -33.08%
1980-12-01 1982-08-12 1982-10-13 681 -25.2%

The S&P 500 (US Large Cap) took approximately 38 months on average to recover from a major drawdown. The longest drawdown lasted 80 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 Multi-Asset Defensive IV S&P 500 (US Large Cap)
Sharpe Ratio 0.55 0.69
Sortino Ratio 1.47 0.96
Adjusted Sortino (S/√2) 1.04 0.68
Calmar Ratio 0.23 0.2
Omega Ratio 1.38 1.14
Gain to Pain Ratio 0.38 0.14
Ulcer Index 0.06 0.13
Kelly Criterion 16.56% 6.74%
Skew 75.21 -0.64
Kurtosis 7793.44 21.03
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