αc Multi-Asset Opportunities IV

The portfolio pursues a rather defensive 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.

We use a systematic approach to constructing the portfolio by ranking ETFs in the investment universe using a number of technical indicators and proprietary formulas. We then select 2 to 4 ETFs, weight them variably according to certain metrics, and usually rebalance once a quarter. Rebalance frequency may vary depending on certain market conditions.

The investment universe for the portfolio is comprised of multiple assets classes, ranging from large to mid-cap developing markets, emerging markets, commodities and fixed-income instruments.
The portfolio pursues a rather defensive strategy that seeks to achieve equity-like returns with low...
30 January 1976  –  29 July 2021
Compare with
S&P 500 (US Large Cap) (SP500.X)

Performance

Annualized Return
15.15%
αc Multi-Asset Opportunities IV
10.63%
S&P 500 (US Large Cap)
Sharpe Ratio
1.57
αc Multi-Asset Opportunities IV
0.66
S&P 500 (US Large Cap)
Maximum Drawdown
-14.79%
αc Multi-Asset Opportunities IV
-55.2%
S&P 500 (US Large Cap)

Metrics

Metric αc Multi-Asset Opportunities IV S&P 500 (US Large Cap)
Initial Balance $10,000 $10,000
Final Balance $6,157,200 $994,952
Returns
Month-To-Date 1.86% 2.94%
Year-To-Date 10.33% 18.25%
3M -1.12% 5.54%
6M 5.53% 15.19%
Annual Return (1Y) 16.77% 38.8%
Annual Return (3Y) 18.54% 18.13%
Annual Return (5Y) 14.62% 17.33%
Annual Return (10Y) 12.46% 15.16%
Annual Return (All) 15.15% 10.63%
Enh Ann Return 15.36% 12.22%
Best Year 43.99% 38.03%
Worst Year -5.68% -36.81%
Risk
Annual Volatility 9.27% 17.61%
Max Drawdown -14.79% -55.2%
Sharpe Ratio 1.57 0.66
Sortino Ratio 2.34 0.93
Enhanced Sortino 3.41 1.33

  • 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 January 1976.
  • 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 45 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 Multi-Asset Opportunities IV S&P 500 (US Large Cap) Won
1976 15.82% 18.31%
1977 7.57% -11.68%
1978 21.16% 0.77%
1979 21.15% 11.67%
1980 14.31% 28.17%
1981 2.59% -8.47%
1982 34.32% 19.3%
1983 14.67% 17.15%
1984 10.38% 3.69%
1985 43.99% 22.71%
1986 7.93% 9.31%
1987 13.66% 4.7%
1988 8.77% 16.22%
1989 24.63% 31.37%
1990 -4.08% -3.33%
1991 29.15% 30.19%
1992 13.55% 8.21%
1993 29.62% 8.75%
1994 0.59% 0.4%
1995 27.71% 38.03%
1996 15.17% 22.55%
1997 6.64% 33.48%
1998 20.49% 28.69%
1999 28.91% 20.39%
2000 10.08% -9.73%
2001 0.78% -11.75%
2002 7.75% -21.59%
2003 35.31% 28.18%
2004 15.62% 10.7%
2005 5.51% 4.83%
2006 16.31% 15.85%
2007 22.99% 5.14%
2008 15.16% -36.81%
2009 29.5% 26.37%
2010 10.04% 15.06%
2011 16.27% 1.89%
2012 17.62% 15.99%
2013 5.55% 32.31%
2014 6.53% 13.46%
2015 -5.68% 1.25%
2016 17.21% 12%
2017 16.78% 21.7%
2018 -3.96% -4.56%
2019 15.04% 31.22%
2020 40.83% 18.37%
2021 10.33% 18.25%

αc Multi-Asset Opportunities IV had 43 positive years and 3 negative years. That's a positive ratio of 93%.

S&P 500 (US Large Cap) had 38 positive years and 8 negative years. That's a positive ratio of 83%.

αc Multi-Asset Opportunities IV had a better yearly return 59% 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
1976 0% 3% 2.5% -0.2% 0.3% 0.3% 0.6% 0.4% 1% 0.5% 0.8% 5.9% 14.7%
1977 -1.5% 1.3% 1% 1.6% -0.1% 1.9% 0% 0.6% 1.8% 1.2% -0.2% -0.3% 7.3%
1978 -0.8% 0.9% 1.8% 3.6% 5.7% -0.3% 3.2% 3.7% -2.7% 2.4% -4.1% 6.6% 19.3%
1979 1.8% -1.5% 1.9% 0.9% 2.6% 2.2% 2.8% 4.4% 0.6% -2.8% 1.6% 5.1% 19.3%
1980 4% -1.8% -6.2% 1.4% 2.7% 10.7% 1.4% 2.6% 2% -1.5% -0.1% -0.9% 14.2%
1981 1% -1.2% 2.8% -0.4% 1.3% -1.4% -0.6% 0.1% -2.6% 0.2% 5.6% -1.9% 2.6%
1982 1.2% -0.8% 2.2% 3% -1.4% 0.5% 0.4% 3.9% 2.7% 10.1% 6.9% 1.6% 29.9%
1983 3.7% 2.2% 2.6% 4% 1.7% 2.3% -1.9% 0.2% 0.5% -1.5% 1.6% -1.6% 13.8%
1984 1.9% 1.3% 1.2% -0% -1.2% 0.4% -0.6% 5% 0.1% 1% 0.2% 0.8% 9.9%
1985 7.6% 1% 0.8% 2.2% 5% 1.2% 1.6% 3.4% 1% 4.3% 5.5% 3.6% 36.5%
1986 1% 4.5% 5.1% 2.9% -1.7% 1.1% -1.3% 1.3% -5.3% 0.7% 0.5% -0.6% 7.7%
1987 2.5% 4.9% 2.6% 0.6% 0.1% 0.5% 3.1% 3.4% -1% -5% 1.1% 0.5% 12.9%
1988 2.4% 2.1% 0.9% 2.5% 0.7% 1.6% -2% -0.5% 0.9% -0.8% -0% 0.8% 8.5%
1989 2.8% -0.2% 3.8% 7.6% 2.8% -1% 4.2% 0.6% -0% 0.2% -0.9% 2.5% 22.1%
1990 2.1% 0.2% -6.6% -1.4% 3.2% -0.1% 3.8% -8.4% -0.3% -0.2% 1.3% 3.1% -4%
1991 5.4% 7.1% 3.4% 0.7% 4.4% -0.6% 1.4% 2.6% -0.3% 0.5% -1% 2.7% 25.8%
1992 3.4% 1.6% -1.2% 0.6% 1.6% -1.3% 1.9% -1.2% 1% 2.8% 1.7% 2.1% 12.8%
1993 1.5% -0.5% 1.8% 1.6% 3.5% 0.4% 2.4% 3.9% 0% 4.5% 1.3% 6% 26%
1994 2.2% -2.1% 1.6% -0.8% -0.1% -2.4% 0.2% 3.8% -1.5% 1.4% -1.7% 0% 0.7%
1995 1.2% 4.1% 2% 3.1% 4.6% 3.1% 3.2% -0.6% 2% 0.1% 0.3% 1.8% 24.8%
1996 3.1% -0% -0.4% 3.2% 1.4% -0.1% -0.2% -1.9% 4% 0.8% 5.5% -0.8% 14.4%
1997 2.4% -1.6% 0.4% -0.1% 5.6% 1.4% 3% -2.1% 2.2% -6.1% 2.1% -0.4% 6.9%
1998 1.1% 6% 1.9% 1.1% -0.5% 1.3% -0.3% -8.2% 3.1% 8.1% 3.1% 2.9% 19.4%
1999 4.1% -3% 4% 4.7% -1.4% 2.5% -2.1% -0.2% -0.3% 2.9% 4.9% 10.2% 25.9%
2000 -2.2% 3.9% 3% -1.7% 0.4% 1.3% -1.9% 4.9% -4% 2.3% 2.6% 1.6% 10.8%
2001 1.7% -10.2% 0.5% -2.1% 0.7% -0.2% 2.5% 1% 1.5% -2.3% 6.8% 1.6% 1.4%
2002 1.3% 1.3% 2.7% -2.8% 2.7% -0.6% 1.4% 3.7% -3.5% -1.7% 6.5% -3.1% 8%
2003 6.1% 2.5% -2.3% 4.8% 7.3% -0.7% 3.2% 3.9% 0.7% 0.3% 1% 4% 30.7%
2004 0.5% 2.6% 1.2% -7.2% 1.4% 2.6% -2.7% 3% 3.2% 1.8% 5.6% 3.2% 15%
2005 -1.8% 2.4% -3.4% 2.3% 1.7% 0.3% 3.1% 0.5% -0.3% -2.6% 1.4% 1.9% 5.7%
2006 5.2% -0.8% 0.9% 2.8% -4.4% -0.5% 1.8% 1.5% 1.8% 2.9% 3.9% 0.5% 15.6%
2007 0.4% 0.6% -1.3% 3% 1.2% 0.2% 1.9% 0.9% 4.9% 8% -3.6% 5.1% 21.7%
2008 4.5% 2.2% -1.9% 2% 3.5% -3.3% -1.5% 1.4% -7.6% 0% 11.6% 4.5% 15%
2009 -8.4% 0.9% 4.6% 9.7% 9.8% -1.4% 1.6% 0.8% 5.3% -2.3% 5.5% 1.3% 27.6%
2010 -2.3% 2% 3.9% 2.6% -3.9% 3.7% -1.8% -1.7% 4.8% 3.7% -2.5% 1.6% 10.4%
2011 0.8% 3.7% 0.9% 2.9% -1.9% -2.9% 2.3% 0.6% 7.9% 3.4% 1.6% -3.7% 16.3%
2012 8.6% 2.1% 1% 0% 1.9% -0.4% 0.9% 1.3% 0.8% -0.1% 0.8% -0.4% 16.7%
2013 0.8% -0.9% 2.2% 1.3% -2.1% -2.3% 1.4% -1.8% 2.1% 2.2% 1.1% 1.5% 5.7%
2014 0.5% 0.1% -0% 1.1% 0.7% 3.8% -0.8% 3.7% -3.1% 0.5% 2.1% -2% 6.5%
2015 1.4% 0.7% -1.5% -2.4% -1.9% -1.6% 1.2% -4.3% -0.7% 4.8% 0.7% -1.9% -5.5%
2016 2.6% 8.7% 2.2% 1.8% -1.9% 2.8% 2.2% -1% -0% -1.4% -0.4% 0.8% 16.4%
2017 3% 2.6% 0% 1.8% 2.9% -1.5% 2.5% 1.7% -1.2% 1% 1.8% 1% 15.7%
2018 4.8% -2.4% 1.3% 0% 1% -0.5% -1% -1.8% -1.5% -0.8% 0.5% -3.4% -3.7%
2019 1.7% 1.1% 0.6% 1.8% -3% 6.3% -0.8% 2.4% -1.9% 1.9% 1.4% 2.9% 14.3%
2020 -1.6% 1.9% 5.4% 7.5% 6.2% 3.3% 8.2% 2.8% -3.2% -0.2% -0.7% 5.8% 36.1%
2021 2% 2.5% 2.7% 3.4% 1.1% -3.5% 1.9% 0% 0% 0% 0% 0% 10.1%
Pos 84.4% 69.6% 78.3% 76.1% 69.6% 54.3% 67.4% 71.1% 55.6% 66.7% 75.6% 71.1% 93.5%
Avg 1.9% 1.2% 1.1% 1.6% 1.4% 0.6% 1.1% 0.9% 0.3% 1% 1.9% 1.6% 14.4%

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 Multi-Asset Opportunities IV

start valley end Drawdown days
2020-03-10 2020-03-18 2020-04-06 -14.79% 27
2008-05-20 2008-09-29 2008-12-02 -13.22% 196
1998-07-21 1998-10-08 1998-11-19 -12.83% 121
2009-01-07 2009-02-03 2009-04-09 -12.66% 92
2014-09-02 2015-08-25 2016-02-11 -12.44% 527

The αc Multi-Asset Opportunities IV took approximately 6 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.