Strategy: αc Funds of Funds V
Investment Objective
Aggressive Long-Term Capital Appreciation
Annualized Return
18.4%
Time
Horizon
5+ years
Rebalancing Frequency
N/A
This strategy combines the best of all αc's strategies.
About
The portfolio pursues a 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.
Performance
| Portfolio + Compare with | Initial Balance | Final Balance | Annual Return | Annual Volatility | Best Year | Worst Year | Max Drawdown | Sharpe Ratio | Sortino Ratio |
|---|---|---|---|---|---|---|---|---|---|
| $10,000 | $63,308 | 18.4% | 10% | 32.1% | 0% | -20.9% | 1.74 | 2.47 | |
| $10,000 | $40,200 | 13.6% | 17.3% | 32.3% | -4.6% | -34.1% | 0.82 | 1.14 |
- 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 December 2020.
- 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.
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
| Drawdown | Peak date | Valley date | Recovery date | Duration |
|---|---|---|---|---|
| -20.94% | 2020-02-19 | 2020-03-18 | 2020-07-06 | 99 days |
| -11.88% | 2018-08-30 | 2018-12-24 | 2019-03-21 | 146 days |
| -7.66% | 2020-09-02 | 2020-10-30 | - | - |
| -6.55% | 2010-04-26 | 2010-07-02 | 2010-09-21 | 107 days |
| -6.34% | 2018-01-26 | 2018-02-08 | 2018-03-09 | 31 days |
The αc Funds of Funds V took approximately 3 months on average to recover from a major drawdown.
S&P 500 (US Large Cap)
| Drawdown | Peak date | Valley date | Recovery date | Duration |
|---|---|---|---|---|
| -34.1% | 2020-02-19 | 2020-03-23 | 2020-08-18 | 130 days |
| -19.35% | 2018-09-20 | 2018-12-24 | 2019-04-12 | 147 days |
| -18.61% | 2011-04-29 | 2011-10-03 | 2012-02-03 | 201 days |
| -15.7% | 2010-04-23 | 2010-07-02 | 2010-11-04 | 140 days |
| -13.02% | 2015-07-20 | 2016-02-11 | 2016-04-18 | 196 days |
The S&P 500 (US Large Cap) took approximately 5 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.
Annual Returns
Monthly Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2009 | - | - | - | - | - | - | - | - | - | - | - | 0 |
| 2010 | -1.9% | 1.8% | 4.4% | 3.3% | -3.1% | -1.4% | 0.2% | 3.5% | 4.5% | 1.9% | 1.3% | 1.7% |
| 2011 | 1.8% | 2.6% | 0.7% | 3.7% | 0.8% | -2.1% | 3.1% | 3.5% | 1.9% | 1.6% | 1.2% | 1.3% |
| 2012 | 5.7% | 1.2% | -0.1% | 0.3% | -1.7% | 2.4% | 1.1% | 3.4% | 1.2% | -1% | 2.3% | -0.5% |
| 2013 | 4.4% | 1.5% | 2.8% | 2% | 0.1% | -1.8% | 1.6% | 0.4% | 3.3% | 5% | 3.1% | 1.4% |
| 2014 | 0.6% | 3.6% | -0.4% | 0.4% | 2.8% | 1.2% | -0.2% | 4.5% | -2.5% | 3% | 2.1% | 1.2% |
| 2015 | 4% | 1.1% | -0.5% | 0.7% | 0.8% | -2.1% | 4.8% | -1.7% | -0.5% | 6.7% | 1.4% | -1.7% |
| 2016 | -1.1% | 3.2% | 2.4% | 0.3% | 2.2% | 2% | 4.3% | -0.1% | 1% | -1.3% | -0.7% | 1.3% |
| 2017 | 2.2% | 3.1% | 0.6% | 1.6% | 3.2% | -0.2% | 2.5% | 2.6% | 0.9% | 2.7% | 0.9% | 0.8% |
| 2018 | 4.2% | -1.3% | 0.6% | 0.8% | 3.7% | 1% | 1% | 3.7% | -0.7% | -6.6% | 0.3% | -1.7% |
| 2019 | 5.5% | 1.6% | 3.2% | 2.4% | -3.2% | 5.6% | 2% | 4.1% | -1.5% | 3.1% | 3% | 2.8% |
| 2020 | 3.4% | -1.1% | -4.5% | 5% | 3.2% | 3.3% | 6% | 3.2% | -2.9% | -3.1% | 5.3% | -0.5% |
| Pos | 81.8% | 81.8% | 63.6% | 100% | 72.7% | 54.5% | 90.9% | 81.8% | 54.5% | 63.6% | 90.9% | 63.6% |
| Avg | 2.6% | 1.6% | 0.8% | 1.9% | 0.8% | 0.7% | 2.4% | 2.5% | 0.4% | 1.1% | 1.8% | 0.6% |