αc Funds of Funds I (CH)

This strategy combines the best of all αc's strategies.
17 August 1979  –  29 July 2021
Compare with
S&P 500 (US Large Cap) (SP500.X)

Performance

Annualized Return
16.71%
αc Funds of Funds I (CH)
11.1%
S&P 500 (US Large Cap)
Sharpe Ratio
1.61
αc Funds of Funds I (CH)
0.67
S&P 500 (US Large Cap)
Maximum Drawdown
-21.61%
αc Funds of Funds I (CH)
-55.2%
S&P 500 (US Large Cap)

Metrics

Metric αc Funds of Funds I (CH) S&P 500 (US Large Cap)
Initial Balance $10,000 $10,000
Final Balance $6,565,356 $829,704
Returns
Month-To-Date 2.94% 2.94%
Year-To-Date 7.65% 18.25%
3M 4.92% 5.54%
6M 7.46% 15.19%
Annual Return (1Y) 13.95% 38.8%
Annual Return (3Y) 14.56% 18.13%
Annual Return (5Y) 11.92% 17.33%
Annual Return (10Y) 13.33% 15.16%
Annual Return (All) 16.71% 11.1%
Enh Ann Return 16.6% 12.6%
Best Year 53.99% 38.03%
Worst Year -8.82% -36.81%
Risk
Annual Volatility 9.9% 18.1%
Max Drawdown -21.61% -55.2%
Sharpe Ratio 1.61 0.67
Sortino Ratio 2.38 0.94
Enhanced Sortino 3.08 1.41

  • 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 August 1979.
  • 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 42 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 I (CH) S&P 500 (US Large Cap) Won
1979 3.15% -1.94%
1980 17.93% 28.17%
1981 16.71% -8.47%
1982 53.99% 19.3%
1983 25.78% 17.15%
1984 22.77% 3.69%
1985 35.2% 22.71%
1986 26.94% 9.31%
1987 7.58% 4.7%
1988 4.61% 16.22%
1989 25.55% 31.37%
1990 -1.32% -3.33%
1991 27.47% 30.19%
1992 14.28% 8.21%
1993 32.05% 8.75%
1994 -7.58% 0.4%
1995 32.08% 38.03%
1996 16.29% 22.55%
1997 25.54% 33.48%
1998 18.74% 28.69%
1999 32.13% 20.39%
2000 13.35% -9.73%
2001 -8.82% -11.75%
2002 5.07% -21.59%
2003 23.77% 28.18%
2004 10.12% 10.7%
2005 16.97% 4.83%
2006 18.02% 15.85%
2007 16.73% 5.14%
2008 25.63% -36.81%
2009 21% 26.37%
2010 15.56% 15.06%
2011 20.94% 1.89%
2012 12.6% 15.99%
2013 -0.01% 32.31%
2014 27.06% 13.46%
2015 7.76% 1.25%
2016 11.54% 12%
2017 14.14% 21.7%
2018 4.33% -4.56%
2019 18.5% 31.22%
2020 14.17% 18.37%
2021 7.65% 18.25%

αc Funds of Funds I (CH) had 39 positive years and 4 negative years. That's a positive ratio of 91%.

S&P 500 (US Large Cap) had 35 positive years and 8 negative years. That's a positive ratio of 81%.

αc Funds of Funds I (CH) had a better yearly return 56% 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
1979 0% 0% 0% 0% 0% 0% 0% 1.2% 0.7% -6.8% 3.7% 4.8% 3.2%
1980 6.7% -2.5% -9.5% 3.1% 2.7% 5% 0.1% 0.3% 2.3% 3% 9.3% -2.6% 17.3%
1981 0.4% 3% 6.3% 2.1% 6% 0.6% -2.5% -3.4% -5.1% 3.8% 7.6% -2.4% 15.6%
1982 4.1% 0.8% 2.3% 4.8% 0.6% 0.8% 3.9% 9.4% 4.2% 11.1% 1.2% 1.5% 43.6%
1983 3.2% -0.2% 3.1% 8.4% 1.8% 2.9% -0.3% -1.1% 3% -1% 4.9% -1.1% 23.2%
1984 1.4% -3% 0.8% 1.4% -4.7% 3.1% 3.9% 7.6% 4.3% -0.9% 3.2% 4.1% 20.6%
1985 10.1% -0.4% -5.5% 2.8% 2.8% 1.2% 3.2% 2.6% -0.1% 5.7% 5.2% 3.7% 30.3%
1986 1.3% 8.7% 6.9% 3.5% -2.8% 2.7% -1.2% 6.7% -2.3% 0.4% 0.9% 0% 24%
1987 3.2% 2.1% 2.2% 0.8% -0.4% 1.8% 2.8% 2.2% -2.5% -5.7% 0.5% 0.8% 7.5%
1988 2% 2% -0.6% 0.2% 0.5% 5.1% 1.4% -3.2% -1.8% -1.5% -0.7% 1.2% 4.7%
1989 4.4% -0.5% 3.1% 6.8% 4.9% -1.3% 2.9% 0.9% -2.5% -1.5% 1% 5.3% 23%
1990 -1.5% -0.4% -1.6% -2.6% 7% 2.6% 2.3% -8.1% -2.8% -0.3% 3.1% 1.8% -1.1%
1991 5.5% 5.9% 7.2% 1.9% 5.7% -1.5% -0.1% 0.4% -0.4% -2.3% -0.8% 3.7% 24.6%
1992 -0.3% 1.2% -1.7% 1% 2.5% -0.9% 1.4% -1.3% 1.5% 0.7% 5.3% 4.2% 13.6%
1993 3.6% 1.9% -1.4% 1.7% 3.8% 5.5% 0.3% 2.1% 0.5% 5.6% -0.9% 5.9% 28%
1994 2.6% -4.3% -3.3% -0% -0.9% -0.9% 1.2% 0.9% -2.4% 0.8% -1.9% 0.5% -7.7%
1995 2.3% 3.8% 2.3% 2.2% 4% 2.5% 2.1% -0.3% 2.3% -0.2% 4.5% 2.7% 28.1%
1996 3.7% -0.8% 1.1% 2.2% 0.1% -0.8% -2.2% 0.4% 2.5% 2.6% 6% 0.5% 15.5%
1997 3.8% 2.6% -1.4% 2.3% 5.3% 4.4% 9.1% -6.9% 2.2% -2.4% 1.2% 3.7% 23.4%
1998 1.2% 3.6% 3.6% -0.2% -0.1% 3.1% -0.7% -8.5% 6% 2.9% 2.8% 4.4% 17.7%
1999 3.1% -1.9% 5.5% 5.3% -1.5% 5.8% -5.6% 1.3% -0.2% 4.8% 5.7% 6.8% 29.2%
2000 -0.7% 5.8% 4.2% 1.8% -3.1% -0.6% 2.3% 5.5% -1.2% 5.4% -1.4% -5% 13.9%
2001 0.1% -1.8% -2.6% -1.6% 5.4% 0.2% -1.2% -4.1% 1.3% 0.5% -3.2% -1.9% -8.8%
2002 3.3% 1.1% -0.3% -4.7% -0.5% -3.7% 0.8% 4.1% 2.5% -1.8% 0.5% 4% 5.3%
2003 2.1% 1% -2.1% 2.9% 6.9% -0% -0.4% 2.1% 1.2% 1.3% 2.2% 4.6% 21.6%
2004 0.5% 2.1% 0.3% -4% -1.7% 1.6% -2.3% 2.1% 1.8% 2.2% 4.3% 3.2% 9.9%
2005 -0.4% 2.9% -2.2% 1.2% 4.1% 3.3% -0.4% 0% 2.6% -2.1% 4.9% 2.1% 16.1%
2006 1.4% 1.8% -0.8% 3.4% -2% -0.2% 1.8% 2.7% 1.4% 2.8% 3.6% 0.7% 17.1%
2007 0.3% 0.7% 1.1% 3.3% 1.7% -0.3% 0.2% 1.1% 4.3% 4.8% -1.5% 0% 16.2%
2008 3.2% 1.2% -0.8% -1.1% 0.8% 0.5% -0.7% 0.9% 3.4% 6.6% 10.8% -1.1% 23.9%
2009 2.8% 0.4% -0.7% 2.7% 0.7% -1.3% 5.5% 3.4% 3.5% -2.1% 4.5% 0.2% 20.3%
2010 -1.1% 5.5% 4.5% 3.3% 3.5% 2.4% -6.6% 8.3% -5.5% 1.1% -3.3% 3.7% 15.3%
2011 -0.2% 2.7% 0.9% 3.1% -0.7% -1.9% -0.1% 4.2% 6.3% -3% 5.9% 2.4% 19.8%
2012 0.7% -0.7% 0.8% 2% 4.4% 0.4% 4.3% -1% -1.1% -0.2% 1.3% 1.3% 12.3%
2013 1.7% -1.1% 1.8% 0.1% -1.9% -4.8% 1.1% -1.7% 1.5% 2.9% -0.2% 0.9% 0.4%
2014 -0.7% 3.6% -0% 0.9% 1.6% 1.3% 0.6% 5.1% 2.1% 2.6% 3% 4.3% 24.3%
2015 10.2% 0.7% 4.2% -5% 1.8% -4.9% 5.3% -4.9% 0.2% 2.1% 3.3% -4.3% 8.4%
2016 -0.4% 6% -2.4% 0.9% 0.5% 3% 2.9% -0.6% -0% -1.7% 1.5% 1.7% 11.5%
2017 0% 4.6% -0.8% 0.2% 2.8% -0.2% 1.1% 1.9% -0% 0.6% 2% 1.3% 13.5%
2018 2.8% -3.3% -0.4% -0.6% 1.9% -0% 0% 2.7% -0.4% -2.2% 1% 3.1% 4.7%
2019 2% 0.2% 3.9% 1.9% -2.1% 2.7% 2.6% 4% 1.2% -1.1% 2.5% -0.6% 17.3%
2020 3.6% -2% -0.5% 4.7% -1.7% -0.7% 5.9% 2.9% -2.9% -2.4% 5.3% 1.6% 14.3%
2021 -2.1% -0.6% 0.7% 4.3% 1.6% 0.5% 2.9% 0% 0% 0% 0% 0% 7.6%
Pos 78.6% 64.3% 52.4% 78.6% 66.7% 59.5% 66.7% 69% 59.5% 54.8% 78.6% 81% 93%
Avg 2.1% 1.2% 0.7% 1.6% 1.5% 0.9% 1.1% 1% 0.8% 0.8% 2.6% 1.7% 15.6%

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 I (CH)

start valley end Drawdown days
2000-10-27 2002-06-25 2003-06-11 -21.61% 957
2020-02-20 2020-03-18 2020-08-04 -16.96% 166
1980-01-22 1980-03-27 1980-10-09 -16.43% 261
2015-04-16 2015-08-25 2016-07-29 -13.59% 470
1990-07-18 1990-10-16 1991-02-04 -12.51% 201

The αc Funds of Funds I (CH) took approximately 14 months on average to recover from a major drawdown.

S&P 500 (US Large Cap)

start valley end Drawdown days
2007-10-10 2009-03-09 2012-08-16 -55.2% 1772
2000-03-27 2002-10-09 2006-10-26 -47.5% 2404
2020-02-20 2020-03-23 2020-08-10 -33.7% 172
1987-08-26 1987-10-19 1989-05-19 -33.08% 632
1980-12-01 1982-08-12 1982-10-13 -25.09% 681

The S&P 500 (US Large Cap) took approximately 38 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.