αc Funds of Funds V (CH)
This strategy combines the best of all αc's strategies.
17 September 2009 – 29 July 2021
Compare with
S&P 500 (US Large Cap) (SP500.X)
Performance
- Annualized Return
-
20.07%αc Funds of Funds V (CH)
-
14.88%S&P 500 (US Large Cap)
- Sharpe Ratio
-
1.65αc Funds of Funds V (CH)
-
0.9S&P 500 (US Large Cap)
- Maximum Drawdown
-
-22.03%αc Funds of Funds V (CH)
-
-33.7%S&P 500 (US Large Cap)
Metrics
| Metric | αc Funds of Funds V (CH) | S&P 500 (US Large Cap) |
|---|---|---|
| Initial Balance | $10,000 | $10,000 |
| Final Balance | $87,699 | $51,880 |
| Returns | ||
| Month-To-Date | 3.33% | 2.94% |
| Year-To-Date | 7.34% | 18.25% |
| 3M | 5.64% | 5.54% |
| 6M | 8.02% | 15.19% |
| Annualized Return (1Y) | 14.47% | 38.8% |
| Annualized Return (3Y) | 19.65% | 18.13% |
| Annualized Return (5Y) | 18.71% | 17.33% |
| Annualized Return (10Y) | 20.16% | 15.16% |
| Annualized Return (All) | 20.07% | 14.88% |
| Enh Ann Return | 18.19% | 14.02% |
| Best Year | 35.18% | 32.31% |
| Worst Year | 4.94% | -4.56% |
| Risk | ||
| Annual Volatility | 11.47% | 17.05% |
| Max Drawdown | -22.03% | -33.7% |
| Sharpe Ratio | 1.65 | 0.9 |
| Sortino Ratio | 2.4 | 1.26 |
| Enhanced Sortino | 2.65 | 1.7 |
- 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 September 2009.
- 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 12 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 (CH) | S&P 500 (US Large Cap) | Won |
|---|---|---|---|
| 2009 | 4.94% | 5.05% | |
| 2010 | 21.56% | 15.06% | |
| 2011 | 23.04% | 1.89% | |
| 2012 | 19.26% | 15.99% | |
| 2013 | 13% | 32.31% | |
| 2014 | 29.93% | 13.46% | |
| 2015 | 21.68% | 1.25% | |
| 2016 | 15.47% | 12% | |
| 2017 | 19.03% | 21.7% | |
| 2018 | 8.16% | -4.56% | |
| 2019 | 35.18% | 31.22% | |
| 2020 | 21.57% | 18.37% | |
| 2021 | 7.34% | 18.25% |
αc Funds of Funds V (CH) 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 (CH) had a better yearly return 69% 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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2009 | 0% | 0% | 0% | 0% | 0% | 0% | 0% | 0% | 0.5% | -0.8% | 4.4% | 0.8% | 5% |
| 2010 | -0.2% | 4.8% | 5.3% | 4.3% | 4% | -0.5% | -5.2% | 5.4% | -3% | 1.8% | 0.6% | 3% | 20.3% |
| 2011 | 2.1% | 2.1% | 1.2% | 3.1% | 0.8% | -2.1% | 2.6% | 1.8% | 0.4% | -1% | 5.3% | 4.7% | 21.4% |
| 2012 | 4.5% | -0% | 1.2% | 1.9% | 5% | 0.7% | 3.8% | 0.6% | -1.4% | -0.5% | 2% | 0.1% | 18.1% |
| 2013 | 4.4% | 1.4% | 2.9% | 0.1% | -1.6% | -4.4% | 0.7% | -0.2% | 2.7% | 4.1% | 1.4% | 1% | 12.6% |
| 2014 | 0.6% | 3.5% | -0.3% | 0.4% | 2.8% | 0.9% | 1.3% | 6% | 1.6% | 3.5% | 2.5% | 3.9% | 26.5% |
| 2015 | 11.6% | 1.6% | 4% | -3.3% | 3% | -3.9% | 6.2% | -3.9% | -0.1% | 5.8% | 4.8% | -4.5% | 20.7% |
| 2016 | -1.3% | 3.6% | -0.3% | 0.6% | 2.5% | 1.9% | 4.2% | -0.1% | 0.9% | -0.7% | 1.6% | 1.7% | 15% |
| 2017 | 0.2% | 4.6% | -0.3% | -0.6% | 2.9% | -0.1% | 2.6% | 2.6% | 1% | 2.6% | 1.3% | 0.8% | 17.7% |
| 2018 | 4.2% | -1.2% | 0.5% | 0.3% | 4.8% | 0.9% | 0.3% | 4.1% | -0.2% | -3.8% | 0.2% | -1.8% | 8.5% |
| 2019 | 5.3% | 2.2% | 4.8% | 2.5% | -2.4% | 3.3% | 4.1% | 5.1% | 0.3% | 0.4% | 4.5% | 0.6% | 30.6% |
| 2020 | 5.1% | -0.5% | -4.5% | 6.6% | 1.2% | 1% | 6.5% | 3.4% | -2.8% | -2.8% | 5.4% | 1.6% | 21.4% |
| 2021 | -3% | -1.1% | 0.6% | 4.7% | -0.1% | 3% | 3.3% | 0% | 0% | 0% | 0% | 0% | 7.4% |
| Pos | 75% | 66.7% | 66.7% | 83.3% | 75% | 58.3% | 91.7% | 72.7% | 58.3% | 50% | 100% | 83.3% | 100% |
| Avg | 2.8% | 1.7% | 1.3% | 1.7% | 1.9% | 0.1% | 2.5% | 2.3% | 0% | 0.7% | 2.8% | 1% | 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 (CH)
| start | valley | end | Drawdown | days |
|---|---|---|---|---|
| 2020-02-20 | 2020-03-18 | 2020-07-22 | -22.03% | 153 |
| 2015-04-16 | 2015-08-25 | 2015-10-29 | -9.47% | 196 |
| 2015-12-02 | 2016-02-05 | 2016-06-02 | -9.31% | 183 |
| 2010-06-24 | 2010-07-29 | 2011-01-12 | -9.24% | 202 |
| 2018-09-05 | 2018-12-24 | 2019-02-07 | -8.72% | 155 |
The αc Funds of Funds V (CH) took approximately 6 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.