Strategy: αc Funds of Funds V (CH)
Investment Objective
Aggressive Long-Term Capital Appreciation
Annualized Return
19%
Time
Horizon
5+ years
Rebalancing Frequency
N/A
About
This strategy combines the best of all αc's strategies.
Period: October 2010 - March 2021.
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αc Funds of Funds V (CH)
- Annualized Return: 18.95%
- Sharpe: 1.52
- Sortino: 2.18
S&P 500 (US Large Cap)- Annualized Return: 14.54%
- Sharpe: 0.88
- Sortino: 1.23
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Chart
Metrics
Metric αc Funds of Funds V (CH) S&P 500 (US Large Cap) Initial Balance $10,000 $10,000 Final Balance $60,997 $41,154 Returns Month-To-Date -0.87% 0.28% Year-To-Date -4.84% 2.02% 3M -3.19% 5.8% 6M -3.8% 10.1% Annualized Return (1Y) 6.22% 25.75% Annualized Return (3Y) 16.31% 14.48% Annualized Return (5Y) 16.62% 16.12% Annualized Return (10Y) 19.37% 13.49% Annualized Return (All) 18.95% 14.54% Enh Ann Return 17.12% 12.9% Best Year 34.43% 32.31% Worst Year -4.84% -4.56% Risk Annual Volatility 11.91% 17.07% Max Drawdown -22.22% -33.7% Sharpe Ratio 1.52 0.88 Sortino Ratio 2.18 1.23 Enhanced Sortino 2.45 1.43
- 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 October 2010.
- 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 10 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 (CH)
- Max Drawdown: -22.22%
- Average recovery time of large downturns: 6 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 (CH)
start valley end Drawdown days 2020-02-20 2020-03-18 2020-08-04 -22.22% 166 2018-09-05 2018-12-24 2019-02-14 -10.53% 162 2015-12-02 2016-02-05 2016-06-06 -9.42% 187 2015-04-16 2015-08-25 2015-10-29 -9.26% 196 2013-05-21 2013-06-24 2013-10-18 -8.15% 150 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 2015-07-21 2016-02-11 2016-04-18 -13.02% 272 2018-01-29 2018-02-08 2018-08-06 -10.1% 189 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 (CH)
- Positive year ratio: 92%
- Outperformance ratio (vs. benchmark): 58%
S&P 500 (US Large Cap)- Positive year ratio: 92%
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Chart
Table
Year αc Funds of Funds V (CH) S&P 500 (US Large Cap) Won 2010 3.03% 11.13% 2011 19.68% 1.89% 2012 17.47% 15.99% 2013 17.95% 32.31% 2014 29.64% 13.46% 2015 23.87% 1.25% 2016 16.01% 12% 2017 18.24% 21.7% 2018 7.56% -4.56% 2019 34.43% 31.22% 2020 17.81% 18.37% 2021 -4.84% 2.02% αc Funds of Funds V (CH) 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 (CH) had a better yearly return 58% 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 2010 0 0 0 0 0 0 0 0 0 1.7% 1.3% 0% 3.1% 2011 -0.5% 2.1% 1.2% 3.1% 0.8% -2.1% 2.4% 1.7% 0.9% -1.9% 5.6% 4.9% 18.7% 2012 4.2% -0.1% 1.2% 1.4% 4.8% 0.8% 3.7% 0.7% -1.3% -1% 2.3% -0.3% 16.6% 2013 4.5% 1.4% 2.9% -0.2% -1.2% -4.2% 0.9% 0.4% 3.3% 4.9% 2.8% 1.4% 17% 2014 0.5% 3.5% -0.3% 0.3% 2.7% 0.8% 1.2% 6% 1.8% 3.5% 2.4% 4% 26.3% 2015 11.8% 1.6% 4.1% -3.5% 3.1% -4% 7% -3.9% -0.4% 6% 5.6% -4.4% 22.5% 2016 -1.4% 3.5% -0.6% 0.5% 2.3% 2.1% 4.2% -0.1% 0.9% -0.7% 2.2% 2.2% 15.5% 2017 -0% 4.6% -0.3% -0.6% 2.9% -0.2% 2.5% 2.6% 0.9% 2.8% 1% 0.7% 17.1% 2018 4.2% -1.2% 0.5% 0.5% 4.8% 1.3% 0.3% 4.4% -0.1% -4.5% -0.1% -2.5% 8% 2019 5.1% 2.2% 4.9% 2.6% -2.6% 3.4% 4% 5% 0% 0.5% 4.7% 0.4% 30% 2020 5.2% -0.4% -5.9% 5.9% 0.8% 1.2% 6.1% 3.2% -2.8% -3.1% 5.4% 1.7% 18.3% 2021 -2.9% -1.1% -0.9% 0 0 0 0 0 0 0 0 0 -4.8% Pos 63.6% 63.6% 54.5% 70% 80% 60% 100% 80% 60% 54.5% 90.9% 72.7% 91.7% Avg 2.8% 1.5% 0.6% 1% 1.9% -0.1% 3.2% 2% 0.3% 0.8% 3% 0.7% 15.7%
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Transaction details
Summary
A complete trade consists of 2 transactions.
Total number of trades 20 Percent profitable 75% Winning trades 15 Losing trades 5 Even trades 0 Returns
How much profit was made with each trade.
Avg returns all trades 7.8% Avg returns winning 11.15% Avg returns losing -2.23% Largest winning trade 31.45% Largest losing trade -5.17% Duration
How long a position was held.
Avg duration 176 days Median duration 114 days Longest duration 661 days Shortest duration 3 days
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The bond to equity ratio for this portfolio is dynamic through time. The provided values are the average historical percentages from October 2010 to March 2021.
For 0% of the time, the portfolio was allocated to bonds, and 100% of the time to equities.