αc Multi-Asset Defensive II

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 one single asset according to certain calculations, and rebalance once a month.

The investment universe for the portfolio is comprised of multiple assets classes, ranging from large to mid-cap developing markets, emerging markets and fixed-income instruments.
The portfolio pursues a rather defensive strategy that seeks to achieve equity-like returns with low...
31 January 1977  –  29 July 2021
Compare with
S&P 500 (US Large Cap) (SP500.X)

Performance

Annualized Return
15.97%
αc Multi-Asset Defensive II
10.59%
S&P 500 (US Large Cap)
Sharpe Ratio
1.55
αc Multi-Asset Defensive II
0.66
S&P 500 (US Large Cap)
Maximum Drawdown
-20.39%
αc Multi-Asset Defensive II
-55.2%
S&P 500 (US Large Cap)

Metrics

Metric αc Multi-Asset Defensive II S&P 500 (US Large Cap)
Initial Balance $10,000 $10,000
Final Balance $7,323,071 $884,820
Returns
Month-To-Date 2.93% 2.94%
Year-To-Date 0.4% 18.25%
3M -2.7% 5.54%
6M -4.55% 15.19%
Annual Return (1Y) 3.35% 38.8%
Annual Return (3Y) 21.42% 18.13%
Annual Return (5Y) 16.07% 17.33%
Annual Return (10Y) 15.52% 15.16%
Annual Return (All) 15.97% 10.59%
Enh Ann Return 16.42% 12.18%
Best Year 43.13% 38.03%
Worst Year -10.66% -36.81%
Risk
Annual Volatility 9.9% 17.79%
Max Drawdown -20.39% -55.2%
Sharpe Ratio 1.55 0.66
Sortino Ratio 2.35 0.92
Enhanced Sortino 3.17 1.37

  • 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 1977.
  • 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 44 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 Defensive II S&P 500 (US Large Cap) Won
1977 6.21% -7.07%
1978 16.85% 0.77%
1979 6.54% 11.67%
1980 8.24% 28.17%
1981 -3.47% -8.47%
1982 32.68% 19.3%
1983 9.23% 17.15%
1984 8.01% 3.69%
1985 23.52% 22.71%
1986 11.33% 9.31%
1987 15.91% 4.7%
1988 16.66% 16.22%
1989 12% 31.37%
1990 -10.66% -3.33%
1991 19.9% 30.19%
1992 10.17% 8.21%
1993 34.86% 8.75%
1994 11.15% 0.4%
1995 11.07% 38.03%
1996 1.18% 22.55%
1997 13.49% 33.48%
1998 18.07% 28.69%
1999 29.02% 20.39%
2000 12.78% -9.73%
2001 6.26% -11.75%
2002 22.1% -21.59%
2003 43.13% 28.18%
2004 25.4% 10.7%
2005 18.81% 4.83%
2006 27.97% 15.85%
2007 30.81% 5.14%
2008 32.23% -36.81%
2009 42.31% 26.37%
2010 9.49% 15.06%
2011 12.54% 1.89%
2012 24.89% 15.99%
2013 16.32% 32.31%
2014 11.74% 13.46%
2015 -7.54% 1.25%
2016 23.59% 12%
2017 16.66% 21.7%
2018 6.46% -4.56%
2019 22.95% 31.22%
2020 37.31% 18.37%
2021 0.4% 18.25%

αc Multi-Asset Defensive II had 42 positive years and 3 negative years. That's a positive ratio of 93%.

S&P 500 (US Large Cap) had 37 positive years and 8 negative years. That's a positive ratio of 82%.

αc Multi-Asset Defensive II had a better yearly return 62% 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
1977 0% 1.5% 0.9% 0.4% 0.3% 0% -0.4% 1% 0.6% 0.2% -0.1% 1.5% 6.1%
1978 0.7% 0.8% -0.1% -1.3% 0.6% 1.1% 2.1% 3.3% -0.2% -0.2% -3.1% 12.8% 15.8%
1979 0.9% -2.8% -0.3% 0.4% -0.4% 2.6% 1.7% 3.6% 0.6% -3.6% 2.1% 1.7% 6.4%
1980 -2.3% 0.3% -10.3% 1.6% 0.9% 3.8% 4.8% 1.6% 2.8% 2.4% 7.6% -4.1% 9.4%
1981 -3.7% -3.7% 0.3% -3.8% 0.4% -1.4% 0.1% 0.2% 0.2% 0.2% 8.5% -0.3% -3.5%
1982 1.4% 0.4% 2.2% 3% 1.4% 0.9% 0.4% 6.3% -0.1% 7% 2.3% 3.9% 29.9%
1983 7.3% -2.5% 0.9% 1.5% -0.3% 3.4% -2.5% 1.4% 1.6% -1.3% 1.2% -1.4% 9.2%
1984 1.5% 0.2% 0.2% 0.2% 0.2% 0.2% 0.2% 2.1% 0.6% 0.7% 0.8% 0.9% 7.7%
1985 3.8% 1.1% 1.1% 1.2% 2.1% 1.6% 0.9% 1.7% 1.3% 1.4% 3.6% 1.7% 21.2%
1986 0.8% 4.9% 7.9% 0.7% 2.5% 2.8% -2.4% 1.2% -5.1% 0.4% 1.6% -4% 11%
1987 0.8% 4.3% 4.5% 0.4% -0.3% -0.2% 2.5% 0.8% 0.2% 0.4% 1.2% 0.3% 15%
1988 0.1% 2.7% 6.8% 1% 0.9% 0.9% -1.1% 0.9% 0.8% 1.1% 0.9% 0.7% 15.5%
1989 0.8% 0.7% 0.8% 0.7% 2.7% 1.6% 0.8% 0.3% 1.2% -0.9% 0.4% 2.3% 11.4%
1990 0.1% -1.4% -7.5% 0.6% 0.7% 1% 4.3% -11% 0% -0.2% 1.3% 1.9% -10.9%
1991 -4.3% 10.8% 3.2% 0.7% 6.1% -4% 2.3% 2.3% 0.5% 1.4% -2.6% 2.9% 18.5%
1992 4.7% 2.9% 0.9% 0.6% 0.7% -5.6% 2% 1.1% 1.2% -0.5% 0% 1.9% 9.8%
1993 0.5% 1.4% 1.9% 3.4% 5.3% 1% 2.3% 6.5% 1% 6.1% -0.1% 1.2% 30.1%
1994 4.1% -1.5% 1.5% -0.8% 2.6% 0.2% 0.1% 6.6% -2% 0.1% 0.3% -0.2% 10.7%
1995 1.8% 1.9% 0.5% 1.2% 2.9% -0.3% 1.5% -0.9% 0.4% -0.1% 0.6% 1.2% 10.6%
1996 3.2% -1.1% 1.6% 0% -0.1% 0.5% -5.6% -1.8% 1.5% 2% 2.5% -1.2% 1.4%
1997 5.9% 2% -3.8% -0.2% 6.4% 4.5% 6.3% -5.9% 0.6% -3.8% 0.8% 0.9% 13.1%
1998 0.8% -0.2% 4.5% 1.1% -1.7% 1.1% 0.3% 1.1% 3.1% 0.4% 4.5% 1.7% 17%
1999 3.1% 0.3% 0.5% 9.3% -3.3% 1.4% 0.1% -0% 0.3% 0.2% 3.8% 11% 25.8%
2000 0.5% 3.4% 1.9% -4.4% 0.9% 0.8% 0.5% 2% 0.8% 1.6% 2.6% 1.6% 12.6%
2001 1.1% 1% 0.5% -2.1% 1.2% 0.2% 2.3% 1% 1.5% -2.3% -2% 3.8% 6.4%
2002 2.4% 1.7% -0.4% 2.7% 4.6% 0.5% 1.3% 3.8% 3.6% -2.4% 7.4% -4.5% 20.5%
2003 6.8% 2.5% -3% 0.6% 6.6% 2.5% 4.3% 1.8% -1% 7.5% 1.3% 7% 36.3%
2004 2.4% 3% -0.1% -5.1% 1.2% 0.8% 0.7% 3.4% 2.6% 2.3% 7.7% 4.6% 22.9%
2005 -1.2% 6.1% -4.5% 2.4% 1.7% 2.6% 3.1% 0.2% 5.3% -1.2% 1.3% 1.9% 17.5%
2006 6.8% -1.2% 1.7% 3.2% -0.1% -0.7% 1.8% 1.7% 1.1% 3.6% 4.2% 3% 25.1%
2007 0.6% -1.5% 3.1% 4.1% 4.7% 0.1% 2.1% 1.2% 6.8% 8.1% -6.4% 5% 27.9%
2008 4.5% 2.2% -1.3% -2.5% 3% 4% -0.3% 2.2% 0.6% 0.5% 11.6% 4.5% 28.8%
2009 -3.2% 2% 4.6% -2.1% 11.3% -0.8% 9.7% 1.7% 6.9% -2.1% 6.5% 2.5% 36.8%
2010 1.8% 1.9% 6.3% 0.2% -8.6% 3.2% -1.8% -4.6% 4.7% 3.1% -2.5% 6.5% 9.8%
2011 2.7% 3.5% -0.5% 2.6% -2.2% -1.1% -1.2% 4.2% 7.9% 3.4% 1.1% -7.5% 13.3%
2012 8.7% 3.8% 0.3% -0.2% 1.9% -0.4% 1.2% 0.2% 3.5% -2% 1% 5.1% 22.7%
2013 2.3% -0.3% 3.6% 1.2% 3.2% -4% 0.8% -1.5% 1.1% 4.4% 2.5% 2.1% 15.5%
2014 5.1% 0% 1.4% 0.2% 2.7% 2% -0.2% 3.9% -4.3% 0.3% 1% -0.5% 11.5%
2015 2.5% -1.6% -1.9% -3.2% -3.1% -0.6% 0.4% -0.2% 0.6% -0% -0.3% -0.3% -7.6%
2016 3.8% 8.7% -0.2% 2% -1.6% 8.3% 1.7% -0.5% 1% -0.8% -0.5% 0% 22.1%
2017 0.8% 1.6% -1.5% 1.4% 1.8% 0.6% 3.9% 1.6% 0.8% 2.1% 1.2% 1.3% 15.7%
2018 6.6% -1.6% 0.9% -1.6% 0.1% -2.5% -0.7% 1.9% -0.8% -1.2% 0.5% 5.1% 6.5%
2019 2.4% 1.7% 1.6% 2.9% -6.1% 6% -1% 10% -2.8% 1.6% 2.4% 3% 21.3%
2020 -3.3% 6% 5.1% 7.5% 6.6% 2.3% 6.4% 4.8% -3.2% -0.6% -3.7% 5% 34%
2021 1.2% 1.1% -0.1% 1.2% 0.5% -6.1% 2.9% 0% 0% 0% 0% 0% 0.7%
Pos 86.4% 73.3% 66.7% 73.3% 73.3% 71.1% 75.6% 79.5% 79.5% 61.4% 77.3% 77.3% 93.3%
Avg 2% 1.5% 0.8% 0.7% 1.4% 0.8% 1.3% 1.4% 1.1% 0.9% 1.7% 2% 15.1%

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 Defensive II

start valley end Drawdown days
1980-01-22 1980-04-03 1980-10-15 -20.39% 267
1990-02-08 1991-01-31 1991-05-24 -15.84% 470
1980-12-01 1981-07-01 1982-05-20 -15.12% 535
1982-09-08 1982-10-04 1983-01-10 -15.01% 124
2020-03-10 2020-03-18 2020-04-03 -14.83% 24

The αc Multi-Asset Defensive II took approximately 9 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.