αc U.S. Equities II

New York Stock Exchange
USD

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.

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 those that rank in the top 2, weight them equally, and rebalance once a month at most. During unfavorable market conditions the portfolio invests in fixed income instruments.

The investment universe for the portfolio is comprised of U.S. equities only, mostly consisting of large-cap companies.

1 December 1971  –  24 May 2024
Compare with
S&P 500 (US Large Cap) (SP500.X)

Performance

Annualized Return
14.07%
αc U.S. Equities II
10.34%
S&P 500 (US Large Cap)
Sharpe Ratio
1.02
αc U.S. Equities II
0.67
S&P 500 (US Large Cap)
Maximum Drawdown
-33.98%
αc U.S. Equities II
-55.19%
S&P 500 (US Large Cap)

Metrics

Metric αc U.S. Equities II S&P 500 (US Large Cap)
Initial Balance $10,000 $10,000
Final Balance $10,050,655 $1,752,137
Returns   [View more details]
Month-To-Date 6.89% 5.47%
Year-To-Date 12.29% 11.73%
3M 7.76% 6.81%
6M 18.62% 17.19%
Annual Return (3Y) 1.22% 9.7%
Annual Return (5Y) 12.55% 15.22%
Annual Return (All) 14.07% 10.34%
Risk   [View more details]
Annual Volatility 13.87% 16.7%
Max Drawdown -33.98% -55.19%
Sharpe Ratio 1.02 0.67
Sortino Ratio 1.43 0.95
Adjusted Sortino (S/√2) 1.01 0.67

  • 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 December 1971.
  • Final balance: The amount of capital we've accrued over time as of May 2024.
  • 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 52 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.
  • Adjusted Sortino Ratio: Sortino Ratio/√2. To allow for comparing the Sortino ratio to the Sharpe ratio, we multiply the risk measure of the Sortino ratio by the square root of 2 (which is the same as dividing the Sortino ratio by the square root of 2).
  • Ulcer Index: The Ulcer Index (UI) is a technical indicator that measures downside risk in terms of both the depth and duration of price declines.
  • Gain to Pain Ratio: The sum of all returns divided by the absolute value of the sum of all negative returns. In essence, the GPR shows the ratio of net returns to the losses incurred in getting those returns.

Annualized Returns

Annual Return 1y Annual Return 3y Annual Return 5y Annual Return 10y Annual Return 20y Annual Return
αc U.S. Equities II 23.32% 1.22% 12.55% 12.85% 15.38% 14.07%
S&P 500 (US Large Cap) 30.65% 9.7% 15.22% 12.78% 10.12% 10.34%

Annual Returns

Year αc U.S. Equities II S&P 500 (US Large Cap) Won
1971 0.8% 6.92%
1972 19.64% 21.7%
1973 -4.27% -16.74%
1974 10.62% -26.1%
1975 8.37% 38.04%
1976 21.92% 22.52%
1977 4.49% -6.3%
1978 15.22% 7.69%
1979 11.17% 18.3%
1980 30.36% 31.11%
1981 10.94% -8.55%
1982 45.58% 19.25%
1983 18.54% 17.07%
1984 -1.08% 3.67%
1985 23.64% 22.6%
1986 4.53% 9.3%
1987 2.96% 4.69%
1988 5.23% 16.27%
1989 25.54% 31.4%
1990 -23.22% -3.35%
1991 16.69% 30.2%
1992 12.51% 8.21%
1993 11.9% 8.81%
1994 -7.94% 0.4%
1995 38.82% 38.05%
1996 22.6% 22.5%
1997 27.5% 33.48%
1998 18.75% 28.69%
1999 40.14% 20.39%
2000 0.12% -9.74%
2001 2.33% -11.76%
2002 11.41% -21.58%
2003 36.57% 28.18%
2004 11.49% 10.7%
2005 3.08% 4.83%
2006 12.69% 15.85%
2007 13.08% 5.15%
2008 32.14% -36.79%
2009 34.19% 26.35%
2010 21.15% 15.06%
2011 2.47% 1.89%
2012 17.92% 15.99%
2013 35.27% 32.31%
2014 13.43% 13.46%
2015 -4.17% 1.23%
2016 22.71% 12%
2017 24.97% 21.71%
2018 10.65% -4.57%
2019 15.06% 31.22%
2020 42.1% 18.33%
2021 24.9% 28.73%
2022 -32.01% -18.18%
2023 18.66% 26.18%
2024 12.29% 11.73%

αc U.S. Equities II had 48 positive years and 6 negative years. That's a positive ratio of 89%.

S&P 500 (US Large Cap) had 43 positive years and 11 negative years. That's a positive ratio of 80%.

αc U.S. Equities II had a better yearly return 56% of the time compared to S&P 500 (US Large Cap).

Monthly Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
1971 - - - - - - - - - - - 0.8% 0.8%
1972 4.5% 3.8% 2.4% 1.9% 0.1% -0.7% -1.2% 2.7% -0.7% 0.4% 3.7% 1.4% 19.6%
1973 -1.4% -4.7% 1.1% 0.7% 4.8% 1.6% -1.3% -2.1% -3% -1.7% 2.7% -0.7% -4.3%
1974 0.5% 4.6% 1.3% -0.4% -1.5% -5.9% 6.2% -0% 1% 3.2% 1% 0.6% 10.6%
1975 -4.2% 6.6% 4.3% 2.6% 6.2% 3.9% -1.9% -5.8% -3.5% -0.1% 2.3% -1.3% 8.4%
1976 10.7% 3.9% 0.7% 0.2% -1.3% 1.7% 1.8% -1.1% 2.1% -2% 0.1% 3.6% 21.9%
1977 -0.9% 1.9% 0.9% 0.4% 0.3% 0% 0.5% 1.1% 0.6% 0.2% -0.1% -0.5% 4.5%
1978 1.2% 0.8% -0.1% -1.3% 4.3% 0.4% 2.4% 7.1% -0.6% -9.6% -1.7% 12.8% 15.2%
1979 1% -2.2% -0.4% 2% -1.8% 2.7% 2.6% 5.7% 0.6% -6.5% 2.3% 5.2% 11.2%
1980 7.7% -1% -13.4% 2.2% 3.6% 8.2% 7.8% 3.5% 3.1% 2.4% 9.4% -4.3% 30.4%
1981 -3.3% 1% 5% 0.6% 2% -2.3% -0.5% 0.2% 0.2% 0.2% 8.1% -0.3% 10.9%
1982 1.4% 0.4% 2.1% 3% 1.3% 1% 0.4% 6% 4.1% 12.2% 6.8% 0.2% 45.6%
1983 5.2% 3.8% 3.7% 7.9% 2.5% 3.5% -4% -1.3% 1.4% -4.7% 3.2% -3.2% 18.5%
1984 -2.2% -1.8% 0.2% 0.2% 0.2% 0.2% 0.2% 2.2% 0.6% -0.5% -1.4% 1% -1.1%
1985 10.2% 1.7% -0.9% 0.1% 4.8% 1.7% 0.8% -0.9% -4.5% 2.1% 6.6% 0.7% 23.6%
1986 1.9% 7.3% 4.8% 0.5% 4.9% 1.5% -7.1% 5.2% -8.4% 0.7% 1% -6.5% 4.5%
1987 12.8% 6.2% 2% -2% 0.4% 3.5% 3.7% 4.2% -2.3% -24.5% 2.9% 0.9% 3%
1988 2.7% 0.7% -0% 0.4% 0.6% 0.5% -0.8% -3.1% 3.6% 0.7% -2.2% 2.2% 5.2%
1989 6.3% -1.5% 2% 5.2% 4.2% -1.5% 6.7% 2.6% 0.2% -3% 1.1% 1.2% 25.5%
1990 -7.6% -1.3% -7.5% -0% 0.8% -0.3% -2.8% -11% 0.4% -0.2% 2.2% 2.2% -23.2%
1991 -4.5% 8.2% 4.4% 0.4% 4.3% -5.3% 5.1% 3.6% -0.7% 2.2% -3.8% 2.5% 16.7%
1992 2.6% 1.7% -3.4% -0.7% 0.8% -2.6% 3.6% -2.6% 2.4% 2% 5.7% 2.8% 12.5%
1993 1.5% -1.4% 2.6% -3.4% 4.3% 0.4% -0.2% 4.7% 1.1% 2.1% -2.2% 2.2% 11.9%
1994 3.3% -1.9% -5.3% -3.5% 0.2% -1.2% 2.1% 0.4% -0.9% 2.3% -3.7% 0.3% -7.9%
1995 1.8% 4.6% 2.9% 3.1% 3.2% 5% 5.3% 1.2% 3.2% -0.5% 3.3% 0.4% 38.8%
1996 2.1% 2.1% 0.9% 4.6% 3.4% -2% -6.7% 3.8% 6.6% 1.4% 6.6% -1.3% 22.6%
1997 6.5% -2.1% -5.5% 4.8% 8.6% 3.6% 9.2% -2.8% 5.5% -4% 2.2% 0% 27.5%
1998 2.2% 8.1% 4.3% 1.5% -3.4% 5.4% -1.3% -17% 3.8% 0.4% 6.7% 9.6% 18.8%
1999 9.2% -6.2% 6% 3.5% -2.6% 7.3% -2.4% 1.9% -0.8% -0.5% 6.5% 14.2% 40.1%
2000 -4% 10.2% 2.2% -10.5% -7.3% 9.6% -3.5% 9.3% -9.5% 2.3% 2.6% 1.5% 0.1%
2001 1.1% 1% 0.5% -2% 1.7% -0% 2.3% 1% 1.5% -2.1% -2% -0.4% 2.3%
2002 0.6% 1.8% -0.4% -6.8% 4.6% 0.2% 1.3% 3.8% 3.6% -2.4% 0.6% 4.5% 11.4%
2003 4.7% 1.8% -3% 0.6% 8.5% 1.4% 4.4% 3.3% -1.2% 6.8% 1.3% 3.5% 36.6%
2004 2.6% -0.3% -1.6% -2.8% 2.6% 2.5% -5.6% 2.6% 2% 1.1% 5% 3.4% 11.5%
2005 -3.7% 0.8% -2.2% -2.9% 5.4% -0.2% 5% -1.2% 0.4% -1.9% 4.9% -0.7% 3.1%
2006 3.5% -0.3% 2.1% 0.3% -4.6% -0% -1.6% 3.2% 3.1% 4% 2.4% 0.4% 12.7%
2007 1.8% -2% 0.7% 4.4% 3.3% -0.8% -2.7% 1.6% 4% 3.6% -5.4% 4.5% 13.1%
2008 4.5% 2.2% -1.4% -2.5% 3% 4% -0.3% 2.2% 0.6% 0.5% 11.6% 4.5% 32.1%
2009 -3.2% 2.1% 4.6% -2.1% 8.8% -0.4% 7.1% 2.6% 4.6% -2.8% 5.5% 3.8% 34.2%
2010 -4.5% 3.7% 6.6% 2.1% -8.1% 3.3% -1.8% 5.3% 3.3% 4.4% -0.2% 6.4% 21.2%
2011 2.1% 3.3% -0% 3.1% -1.2% -1.9% -1.3% -6% 7.9% 3.4% 1.8% -7.6% 2.5%
2012 8.7% 4.3% 3.7% -1.1% -6.6% 3.9% 0.7% 3.4% 2.1% -3.1% 0.8% 0.6% 17.9%
2013 4.6% 0.9% 3.6% 1.9% 3.1% -1.4% 5.9% -2% 4.1% 4.3% 3.3% 2.7% 35.3%
2014 -2.6% 4.8% -0.9% -0.7% 2.7% 3% -1.1% 4.4% -1.6% 2.7% 3.1% -0.7% 13.4%
2015 -2.5% 6.4% -1.4% 0.9% 2% -1.8% 2.6% -6.5% -1.7% -0% 0.4% -1.9% -4.2%
2016 1.6% 8.7% -0.2% -0.1% 2.7% -0.9% 5.1% 0.6% 1% -2% 3.1% 1.6% 22.7%
2017 3.1% 3.8% 0.8% 1.7% 2% -0.2% 2.7% 0.8% 1.5% 3% 2.6% 0.8% 25%
2018 6.5% -2.7% -2.8% 0.3% 3.9% 0.8% 2.9% 4.5% -0.1% -8.1% 0.9% 5.1% 10.7%
2019 2.4% -0.5% 1.2% 4.4% -7.2% 5.9% -0.7% -2.1% 1.2% 2.9% 4.1% 3.2% 15.1%
2020 1% -7.1% 5.7% 7.5% 2.3% 4.1% 6.4% 8.3% -4.5% -2.4% 11.4% 4.7% 42.1%
2021 0.3% 1.8% 2.4% 5.4% -0.5% 3.9% 1.8% 3.5% -5% 7.1% -0.3% 2.6% 24.9%
2022 -7.2% -3.2% -1.8% -12% -0.7% -2.2% -1.6% -1.1% -2.5% 0.8% 1.6% -7.2% -32%
2023 2.8% -1.3% 5.2% 0.8% 3.2% 6.5% 3.7% -1.9% -5.3% -2.5% 1.6% 5.2% 18.7%
2024 1.3% 5.7% 2.5% -4.2% 6.9% - - - - - - - 12.3%
Pos 73.6% 66% 62.3% 64.2% 75.5% 61.5% 57.7% 66.7% 63.5% 55.8% 78.8% 73.6% 88.9%
Avg 1.8% 1.7% 0.8% 0.4% 1.6% 1.3% 1.1% 0.9% 0.5% -0.1% 2.5% 1.6% 14.7%

Other Return Metrics

Metric αc U.S. Equities II S&P 500 (US Large Cap)
Cumulative Return 100406.55% 17421.37%
Enh Ann Return 15.02% 11.87%
Best Year 45.58% 38.05%
Worst Year -32.01% -36.79%
Best Month 14.23% 13.27%
Worst Month -24.47% -21.73%
Best Day 8.22% 14.52%
Worst Day -15.83% -20.46%
Win Ratio (Yearly) 88.89% 79.63%
Win Ratio (Quarterly) 75.36% 69.67%
Win Ratio (Monthly) 66.51% 62.96%
Win Ratio (Daily) 57.85% 54.51%

Annual Volatility

Annual Volatility 1y Annual Volatility 3y Annual Volatility 5y Annual Volatility 10y Annual Volatility 20y Annual Volatility
αc U.S. Equities II 12.97% 14.48% 16.89% 14.93% 14.66% 13.87%
S&P 500 (US Large Cap) 11.4% 17.26% 20.91% 17.52% 18.98% 16.7%

Sharpe Ratio

Sharpe Ratio 1y Sharpe Ratio 3y Sharpe Ratio 5y Sharpe Ratio 10y Sharpe Ratio 20y Sharpe Ratio
αc U.S. Equities II 1.68 0.16 0.78 0.89 1.05 1.02
S&P 500 (US Large Cap) 2.4 0.62 0.78 0.78 0.6 0.67

3-Year Rolling Sharpe Ratio

The rolling Sharpe Ratio gives a clue about the continued consistency or stability of the risk-adjusted returns.

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 U.S. Equities II

start valley end days Drawdown
2021-12-28 2022-12-28 - 878 -33.98%
1987-08-26 1987-10-26 1989-08-24 729 -33.26%
1989-10-10 1990-08-23 1993-02-03 1212 -32.96%
2000-03-27 2000-05-23 2003-01-06 1015 -25.7%
1998-07-21 1998-09-02 1999-01-11 174 -22.25%

The αc U.S. Equities II took approximately 27 months on average to recover from a major drawdown. The longest drawdown lasted 40 months.

S&P 500 (US Large Cap)

start valley end days Drawdown
2007-10-10 2009-03-09 2012-08-16 1772 -55.19%
2000-03-27 2002-10-09 2006-10-26 2404 -47.52%
1973-02-01 1974-12-31 1976-07-22 1267 -39.16%
2020-02-20 2020-03-23 2020-08-10 172 -33.72%
1987-08-26 1987-10-19 1989-05-19 632 -33.08%

The S&P 500 (US Large Cap) took approximately 42 months on average to recover from a major drawdown. The longest drawdown lasted 80 months.

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.

Other Risk Metrics

Metric αc U.S. Equities II S&P 500 (US Large Cap)
Sharpe Ratio 1.02 0.67
Sortino Ratio 1.43 0.95
Adjusted Sortino (S/√2) 1.01 0.67
Calmar Ratio 0.41 0.19
Omega Ratio 1.22 1.14
Gain to Pain Ratio 0.22 0.14
Winckel Ratio 62.96 61.11
Ulcer Index 0.09 0.13
Kelly Criterion 10.35% 6.86%
Skew -0.83 -0.66
Kurtosis 16.2 23.41
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