Strategy: αc Funds of Funds VI (CH)

Investment Objective

Aggressive Long-Term Capital Appreciation

Annualized Return

19.2%

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 $59,736 19.2% 11.7% 29.2% 2.1% -21.4% 1.56 2.25
$10,000 $38,829 14.3% 17.2% 32.3% -4.6% -34.1% 0.87 1.2

  • 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 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 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.

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 VI (CH)

Drawdown Peak date Valley date Recovery date Duration
-21.35% 2020-02-19 2020-03-18 2020-08-04 120 days
-11.75% 2015-04-15 2015-08-25 2015-11-18 156 days
-9.6% 2015-12-01 2016-02-05 2016-07-01 154 days
-8.24% 2013-05-20 2013-06-24 2013-10-18 110 days
-7.92% 2020-09-02 2020-10-30 - -

The αc Funds of Funds VI (CH) took approximately 4 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
-13.02% 2015-07-20 2016-02-11 2016-04-18 196 days
-10.1% 2018-01-26 2018-02-08 2018-08-06 137 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
2010 - - - - - - - - - 1.8% -1% 1.3%
2011 -0.6% 2.9% 0.6% 3.5% -0.1% -2.1% 1.3% 3.6% 4.7% -1.3% 5.8% 2.8%
2012 3.5% -0.1% 1.4% 1.2% 3.6% 1.3% 3.6% 0.5% -1% -0.3% 2.4% 0.7%
2013 4.4% 0.3% 2.9% -0.1% -0.7% -4% 1.8% -0.4% 3.3% 4.7% 2.6% 1.8%
2014 -0.7% 3.8% -0.1% 0.6% 2.2% 0.8% 1.6% 5.9% 2.5% 3.3% 2.6% 3.7%
2015 9.8% 2.8% 3.7% -3.3% 2.9% -4.3% 6.4% -4.8% -0.7% 4.6% 5.2% -4.5%
2016 -2.4% 4.6% -1% 0.5% 2.1% 1.6% 4.2% -0.1% 0.8% -1% 3.3% 2.4%
2017 0 4.9% -0.4% 0 3.6% -0.3% 2.6% 2% 1.5% 2.1% 1.4% 0.9%
2018 4.6% -1.9% -0.3% 0.7% 3.7% 1.1% 1% 4.3% 0.2% -4.5% 0.1% -0.9%
2019 4.4% 1.7% 4% 3% -3.4% 3.4% 3.3% 3.9% 0.6% 0.5% 4.3% 0.4%
2020 4.2% -2.1% -3.4% 6.1% 0.5% 0.9% 5.8% 4.1% -3.2% -2.9% 6.7% 0.1%
Pos 66.7% 70% 50% 77.8% 70% 60% 100% 70% 70% 54.5% 90.9% 81.8%
Avg 3% 1.7% 0.7% 1.4% 1.4% -0.2% 3.2% 1.9% 0.9% 0.6% 3% 0.8%

Transaction details

Summary

A complete trade consists of 2 transactions.

Total number of trades 20
Percent profitable 80%
Winning trades 16
Losing trades 4
Even trades 0

Returns

How much profit was made with each trade.

Avg returns all trades 7.55%
Avg returns winning 10.11%
Avg returns losing -2.7%
Largest winning trade 28.88%
Largest losing trade -5.18%

Duration

How long a position was held.

Avg duration 176 days
Median duration 114 days
Longest duration 661 days
Shortest duration 3 days

Allocation

The bond to equity ratio for this portfolio is dynamic through time. The provided values are the average historical percentages from October 2010 to December 2020. For 0% of the time, the portfolio was allocated to bonds, and 100% of the time to equities.