αlphacubator

αc Funds of Funds V

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
18.92%
αc Funds of Funds V
15.66%
S&P 500 (US Large Cap)
Sharpe Ratio
1.75
αc Funds of Funds V
0.9
S&P 500 (US Large Cap)
Maximum Drawdown
-21.07%
αc Funds of Funds V
-33.7%
S&P 500 (US Large Cap)

Metrics

Metric αc Funds of Funds V S&P 500 (US Large Cap)
Initial Balance $10,000 $10,000
Final Balance $88,525 $62,407
Returns
Month-To-Date 3.49% 2.94%
Year-To-Date 7.62% 18.25%
3M 5.81% 5.54%
6M 8.25% 15.19%
Annual Return (1Y) 14.77% 38.8%
Annual Return (3Y) 19.34% 18.13%
Annual Return (5Y) 18.08% 17.33%
Annual Return (10Y) 18.05% 15.16%
Annual Return (All) 18.92% 15.66%
Enh Ann Return 17.33% 14.63%
Best Year 32.55% 32.31%
Worst Year 0% -4.56%
Risk
Annual Volatility 10.21% 18.02%
Max Drawdown -21.07% -33.7%
Sharpe Ratio 1.75 0.9
Sortino Ratio 2.53 1.26
Enhanced Sortino 2.84 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 V S&P 500 (US Large Cap) Won
2008 0% 0%  =
2009 30.36% 26.37%
2010 17.96% 15.06%
2011 17.2% 1.89%
2012 19.13% 15.99%
2013 20.69% 32.31%
2014 16.42% 13.46%
2015 11.93% 1.25%
2016 13.77% 12%
2017 23.5% 21.7%
2018 6.35% -4.56%
2019 32.55% 31.22%
2020 22.99% 18.37%
2021 7.62% 18.25%

αc Funds of Funds V 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 V had a better yearly return 85% 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 -6.2% -1.3% 6.8% 7.5% 4.4% 0.2% 5.4% 2.6% 3.8% -0.8% 4.4% 0.8% 27.6%
2010 -0.9% 1.8% 4.4% 3% -3.2% -1.4% 0.6% 2.7% 4.3% 2.1% 0.5% 3% 17%
2011 2.1% 2.1% 1.2% 3.2% 0.7% -2% 2.6% 1.8% -0.2% 2.6% 1% 1% 16.3%
2012 6.3% 2% 0.6% 0.8% -1.3% 2.2% 1.2% 3.2% 1.1% -0.4% 2% 0.1% 17.8%
2013 4.4% 1.4% 2.9% 2% -0% -2.2% 1.4% 0% 2.6% 4.2% 1.4% 1% 19.2%
2014 0.6% 3.5% -0.3% 0.4% 2.8% 1.4% -0.7% 4.4% -2.9% 3.1% 2.2% 1.1% 15.4%
2015 4.1% 1.1% -0.4% 0.5% 0.7% -2.1% 4.2% -1.7% -0.1% 6.4% 0.8% -1.6% 11.6%
2016 -1% 3.2% 2.4% 0.6% 2.5% 1.9% 4.2% -0.1% 0.9% -1.1% -1.3% 0.9% 13.2%
2017 2.1% 3.1% 0.6% 1.7% 3% -0.1% 2.6% 2.6% 1% 2.6% 1.3% 0.8% 21.3%
2018 4.1% -1.2% 0.5% 0.3% 3.8% 0.9% 0.8% 3.4% -0.9% -5.6% 0.8% -0.4% 6.6%
2019 5.6% 1.6% 3.2% 2.3% -2.9% 5.3% 2% 4% -1% 2.9% 2.9% 2.8% 28.5%
2020 3.5% -1.1% -4.6% 5.7% 3.6% 3% 6.6% 3.4% -2.8% -2.8% 5.4% 1.6% 22.4%
2021 -2.9% -1.1% 0.6% 4.7% -0.1% 3% 3.5% 0% 0% 0% 0% 0% 7.7%
Pos 69.2% 69.2% 76.9% 100% 61.5% 61.5% 92.3% 83.3% 50% 58.3% 91.7% 83.3% 100%
Avg 1.7% 1.2% 1.4% 2.5% 1.1% 0.8% 2.7% 2.2% 0.5% 1.1% 1.8% 0.9% 17.3%

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 V

start valley end Drawdown days
2020-02-20 2020-03-18 2020-06-30 -21.07% 131
2009-01-07 2009-03-09 2009-04-02 -11.01% 85
2018-08-31 2018-12-24 2019-02-12 -8.75% 165
2020-09-03 2020-10-30 2021-04-13 -7.19% 222
2010-04-27 2010-07-02 2010-09-21 -6.46% 147

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
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.