Strategy: αc Funds of Funds V
Investment Objective
Aggressive Long-Term Capital Appreciation
Annualized Return
17.2%
Time
Horizon
5+ years
Rebalancing Frequency
N/A
About
This strategy combines the best of all αc's strategies.
Period: December 2009 - March 2021.
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αc Funds of Funds V
- Annualized Return: 17.21%
- Sharpe: 1.63
- Sortino: 2.31
S&P 500 (US Large Cap)- Annualized Return: 13.85%
- Sharpe: 0.84
- Sortino: 1.17
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Chart
Metrics
Metric αc Funds of Funds V S&P 500 (US Large Cap) Initial Balance $10,000 $10,000 Final Balance $59,003 $42,608 Returns Month-To-Date -0.87% 0.28% Year-To-Date -4.84% 2.02% 3M -3.2% 5.8% 6M -3.8% 10.1% Annualized Return (1Y) 10.45% 25.75% Annualized Return (3Y) 15.56% 14.48% Annualized Return (5Y) 16.8% 16.12% Annualized Return (10Y) 17.16% 13.49% Annualized Return (All) 17.21% 13.85% Enh Ann Return 15.34% 12.09% Best Year 31.9% 32.31% Worst Year -4.84% -4.56% Risk Annual Volatility 10.05% 17.24% Max Drawdown -20.91% -33.7% Sharpe Ratio 1.63 0.84 Sortino Ratio 2.31 1.17 Enhanced Sortino 2.85 1.46
- 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 March 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 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.
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αc Funds of Funds V
- Max Drawdown: -20.91%
- Average recovery time of large downturns: 5 months
S&P 500 (US Large Cap)- Max Drawdown: -33.7%
- Average recovery time of large downturns: 7 months
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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 V
start valley end Drawdown days 2020-02-20 2020-03-18 2020-07-02 -20.91% 133 2018-08-31 2018-12-24 2019-03-21 -11.89% 202 2020-09-03 2020-10-30 - -7.58% 181 2010-04-27 2010-07-02 2010-09-21 -6.51% 147 2018-01-29 2018-02-08 2018-03-09 -6.3% 39 The αc Funds of Funds V 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 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 2015-07-21 2016-02-11 2016-04-18 -13.02% 272 The S&P 500 (US Large Cap) took approximately 7 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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αc Funds of Funds V
- Positive year ratio: 92%
- Outperformance ratio (vs. benchmark): 83%
S&P 500 (US Large Cap)- Positive year ratio: 92%
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Chart
Table
Year αc Funds of Funds V S&P 500 (US Large Cap) Won 2009 0% 0% = 2010 17.25% 15.06% 2011 15.74% 1.89% 2012 17.39% 15.99% 2013 25.77% 32.31% 2014 16.01% 13.46% 2015 13.61% 1.25% 2016 14.55% 12% 2017 22.7% 21.7% 2018 4.42% -4.56% 2019 31.9% 31.22% 2020 21.29% 18.37% 2021 -4.84% 2.02% αc Funds of Funds V had 11 positive years and 1 negative years. That's a positive ratio of 92%.
S&P 500 (US Large Cap) had 11 positive years and 1 negative years. That's a positive ratio of 92%.
αc Funds of Funds V had a better yearly return 83% of the time compared to S&P 500 (US Large Cap).
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Table
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD 2009 0 0 0 0 0 0 0 0 0 0 0 0 0 2010 -1.9% 1.8% 4.4% 3.3% -3% -1.3% 0.2% 3.5% 4.5% 1.9% 1.3% 1.7% 16.4% 2011 2% 2.1% 1.2% 3.1% 0.8% -2.1% 2.4% 1.7% -0.6% 1.7% 1.2% 1.2% 15.1% 2012 6.2% 2% 0.6% 0.3% -1.6% 2.4% 1.1% 3.4% 1.2% -1% 2.3% -0.3% 16.4% 2013 4.5% 1.4% 2.9% 1.9% 0.1% -1.9% 1.6% 0.4% 3.3% 4.9% 2.8% 1.4% 23.4% 2014 0.5% 3.5% -0.3% 0.3% 2.7% 1.5% -0.9% 4.5% -2.9% 3% 2.1% 1.2% 15.1% 2015 4.1% 1% -0.4% 0.6% 0.9% -2% 4.9% -1.7% -0.5% 6.7% 1.4% -1.6% 13.2% 2016 -1.1% 3.2% 2.4% 0.5% 2.3% 2.1% 4.2% -0.1% 0.9% -1.2% -0.7% 1.3% 13.9% 2017 2% 3.1% 0.6% 1.7% 3% -0.2% 2.5% 2.6% 0.9% 2.8% 1% 0.7% 20.6% 2018 4.2% -1.2% 0.5% 0.5% 4% 1% 0.9% 3.7% -0.7% -6.6% 0.3% -1.7% 4.9% 2019 5.5% 1.6% 3.2% 2.4% -3.1% 5.5% 1.9% 3.9% -1.3% 2.9% 3.1% 2.7% 28% 2020 3.5% -1.1% -4.5% 5.1% 3.3% 3.4% 6.1% 3.2% -2.8% -3.1% 5.4% 1.7% 21.1% 2021 -2.9% -1.1% -0.9% 0 0 0 0 0 0 0 0 0 -4.8% Pos 75% 75% 66.7% 100% 72.7% 54.5% 90.9% 81.8% 45.5% 63.6% 90.9% 72.7% 91.7% Avg 2.2% 1.3% 0.8% 1.8% 0.8% 0.8% 2.3% 2.3% 0.2% 1.1% 1.8% 0.8% 15.3%