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
1.65
αc Funds of Funds V (CH)
0.9
S&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%
Annual Return (1Y) 14.47% 38.8%
Annual Return (3Y) 19.65% 18.13%
Annual Return (5Y) 18.71% 17.33%
Annual Return (10Y) 20.16% 15.16%
Annual 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.