αc U.S. Equities II

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.
The portfolio pursues a strategy that seeks to achieve equity-like returns with lower volatility and...
30 November 1971  –  29 July 2021
Compare with
S&P 500 (US Large Cap) (SP500.X)

Performance

Annualized Return
14.74%
αc U.S. Equities II
10.03%
S&P 500 (US Large Cap)
Sharpe Ratio
1.06
αc U.S. Equities II
0.65
S&P 500 (US Large Cap)
Maximum Drawdown
-33.26%
αc U.S. Equities II
-55.2%
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 $9,280,995 $1,158,342
Returns
Month-To-Date 2.4% 2.94%
Year-To-Date 16.38% 18.25%
3M 5.2% 5.54%
6M 11.63% 15.19%
Annual Return (1Y) 40.46% 38.8%
Annual Return (3Y) 24.43% 18.13%
Annual Return (5Y) 22.37% 17.33%
Annual Return (10Y) 18.56% 15.16%
Annual Return (All) 14.74% 10.03%
Enh Ann Return 15.36% 11.58%
Best Year 46.23% 38.04%
Worst Year -23.71% -36.81%
Risk
Annual Volatility 13.89% 16.88%
Max Drawdown -33.26% -55.2%
Sharpe Ratio 1.06 0.65
Sortino Ratio 1.49 0.92
Enhanced Sortino 1.83 1.48

  • 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 November 1971.
  • 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 50 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 U.S. Equities II S&P 500 (US Large Cap) Won
1971 0.87% 7.16%
1972 19.35% 21.01%
1973 -4% -16.26%
1974 10.59% -26.1%
1975 8.84% 38.04%
1976 22.64% 24.33%
1977 2.57% -11.68%
1978 9.23% 0.77%
1979 5.74% 11.67%
1980 28.66% 28.17%
1981 11.42% -8.47%
1982 46.23% 19.3%
1983 18.58% 17.15%
1984 0.12% 3.69%
1985 23.74% 22.71%
1986 4.51% 9.31%
1987 1.86% 4.7%
1988 3.45% 16.22%
1989 25.52% 31.37%
1990 -23.71% -3.33%
1991 16.71% 30.19%
1992 12.9% 8.21%
1993 11.86% 8.75%
1994 -6.33% 0.4%
1995 39.34% 38.03%
1996 22.63% 22.55%
1997 27.5% 33.48%
1998 18.73% 28.69%
1999 40.13% 20.39%
2000 0.27% -9.73%
2001 2.22% -11.75%
2002 11.08% -21.59%
2003 37.45% 28.18%
2004 11.49% 10.7%
2005 3.08% 4.83%
2006 12.7% 15.85%
2007 13.07% 5.14%
2008 32.23% -36.81%
2009 34.19% 26.37%
2010 21.16% 15.06%
2011 2.46% 1.89%
2012 17.92% 15.99%
2013 35.27% 32.31%
2014 13.43% 13.46%
2015 -4.17% 1.25%
2016 22.71% 12%
2017 24.97% 21.7%
2018 10.65% -4.56%
2019 15.06% 31.22%
2020 42.11% 18.37%
2021 16.38% 18.25%

αc U.S. Equities II had 47 positive years and 4 negative years. That's a positive ratio of 92%.

S&P 500 (US Large Cap) had 41 positive years and 10 negative years. That's a positive ratio of 80%.

αc U.S. Equities II 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
1971 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0.9% 0.9%
1972 4.5% 3.8% 2.4% 1.4% 0.6% -0.7% -1.2% 2.7% -0.3% 0% 3.7% 1.1% 17.8%
1973 -1.1% -4.7% 1% 0.7% 4.8% 1.6% -1.3% -2.1% -2.9% -1.7% 2.6% -0.7% -3.1%
1974 0.5% 4.6% 1.3% -0.4% -1.5% -5.9% 6.2% -0% 1% 3.2% 1% 0.6% 11.2%
1975 -4.2% 6.9% 4.3% 2.6% 5.4% 4.6% -1.9% -4.4% -5% -0.1% 1.6% -0.5% 9%
1976 8.6% 4% 2.6% 0.2% -1.3% 1.7% 1.1% -0.4% 2.1% -1.5% 0.3% 3.5% 20.6%
1977 -3.1% 2.3% 0.9% 0.4% 0.3% 0% 0.5% 1.1% 0.6% 0.2% -0.1% -0.5% 2.7%
1978 1.3% 0.8% -0.1% -1.3% 1.9% -1.3% 5.3% 5.2% -1.6% -12.8% 0.6% 12.8% 9.4%
1979 0.9% -3.1% -0.1% 1.4% -1.7% 2.7% 2.9% 6.3% -0.5% -8.1% 2.7% 3% 6%
1980 6.5% -1% -13.5% 2.2% 3.6% 8.2% 7.8% 3.5% 3.1% 2.3% 9.4% -4.3% 27.3%
1981 -3.3% 1% 5% 0.6% 2% -2.3% -0.5% 0.2% 0.2% 0.2% 8.5% -0.3% 11.1%
1982 1.4% 0.4% 2.2% 3% 1.4% 0.9% 0.4% 6.3% 4.2% 12.2% 6.8% 0.2% 38.5%
1983 5.2% 3.8% 3.7% 7.9% 2.5% 3.5% -4% -1.3% 1.4% -4.7% 3.2% -3.2% 17.8%
1984 -2.2% -0.3% 0.2% 0.2% 0.2% 0.2% 0.2% 2.1% 0.5% -0.5% -1.4% 1% 0.4%
1985 10.2% 1.7% -0.9% 0.1% 4.8% 1.6% 0.8% -0.9% -4.5% 2.2% 6.6% 0.7% 21.7%
1986 1.9% 7.3% 4.8% 0.5% 4.9% 1.5% -7.1% 5.2% -8.4% 0.7% 0.9% -6.5% 5.2%
1987 12.8% 6.2% 2% -2% 0.3% 3.5% 3.7% 4.2% -2.3% -24.5% 2.4% 0.3% 5.1%
1988 0.1% 0.4% 0.1% 0.7% 0.9% 0.9% -0.7% -3.1% 3.6% 0.7% -2.2% 2.2% 3.6%
1989 6.3% -1.5% 2% 5.2% 4.2% -1.5% 6.7% 2.6% 0.1% -3% 1.1% 1.1% 23.3%
1990 -7.6% -1.3% -7.5% 0.6% 0.7% -0.3% -2.8% -11% 0.4% -0.2% 1.3% 1.9% -26.3%
1991 -4.3% 8.4% 4.4% 0.4% 4.3% -5.3% 5.1% 3.6% -0.7% 2.2% -3.7% 2.2% 16.4%
1992 2.9% 1.7% -3.4% -0.7% 0.8% -2.6% 3.6% -2.6% 2.3% 2% 5.6% 2.8% 12.7%
1993 1.5% -1.4% 2.6% -3.4% 4.3% 0.4% -0.2% 4.7% 1.1% 2.1% -2.2% 2.1% 11.7%
1994 3.3% -1.9% -5.3% -2.9% 2.6% 0.2% 0.1% 0.1% -0.8% 2.3% -3.7% -0.1% -6.2%
1995 2.2% 4.6% 2.9% 3.1% 3.2% 5% 5.3% 1.2% 3.2% -0.5% 3.3% 0.4% 33.7%
1996 2.1% 2.1% 0.9% 4.6% 3.4% -2% -6.7% 3.8% 6.5% 1.4% 6.6% -1.2% 21.3%
1997 6.5% -2.1% -5.5% 4.8% 8.6% 3.6% 9.2% -2.8% 5.5% -4% 2.2% 0% 26%
1998 2.2% 8.1% 4.3% 1.5% -3.4% 5.3% -1.3% -17% 3.4% 0.4% 7% 9.6% 18.9%
1999 9.2% -6.2% 6% 3.5% -2.6% 7.3% -2.4% 1.9% -0.8% -0.4% 6.4% 14.2% 36%
2000 -4% 10.2% 2.2% -10.5% -7.2% 9.6% -3.5% 9.3% -9.5% 2.4% 2.6% 1.6% 4.4%
2001 1.1% 1% 0.5% -2.1% 1.6% -0% 2.3% 1% 1.5% -2.3% -2% -0.4% 2.4%
2002 0.3% 1.5% -0.4% -6.9% 4.6% 0.5% 1.3% 3.8% 3.6% -2.4% 0.6% 4.5% 11%
2003 4.7% 2.5% -3% 0.6% 8.5% 1.4% 4.4% 3.3% -1.2% 6.8% 1.3% 3.5% 33%
2004 2.6% -0.3% -1.5% -2.8% 2.6% 2.5% -5.6% 2.6% 2% 1.1% 5% 3.4% 11.6%
2005 -3.7% 0.8% -2.2% -2.9% 5.4% -0.2% 5% -1.2% 0.4% -1.9% 4.8% -0.7% 3.6%
2006 3.5% -0.2% 2.1% 0.3% -4.6% -0% -1.6% 3.2% 3% 3.9% 2.4% 0.4% 12.6%
2007 1.8% -2% 0.7% 4.4% 3.3% -0.8% -2.7% 1.6% 4% 3.6% -5.4% 4.5% 13.6%
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% 8.8% -0.4% 7.1% 2.6% 4.6% -2.8% 5.5% 3.8% 30.6%
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% 20.4%
2011 2.1% 3.3% -0% 3.1% -1.2% -1.9% -1.3% -6% 7.9% 3.4% 1.8% -7.6% 4.7%
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% 17.4%
2013 4.6% 0.9% 3.6% 1.9% 3.1% -1.4% 5.8% -2% 4.1% 4.3% 3.3% 2.7% 30.9%
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% 2.5% -6.5% -1.7% -0% 0.4% -1.9% -3.3%
2016 1.6% 8.7% -0.2% -0.1% 2.6% -0.9% 5.1% 0.6% 1% -2% 3.1% 1.6% 21.3%
2017 3% 3.8% 0.8% 1.7% 2% -0.2% 2.7% 0.8% 1.5% 3% 2.6% 0.8% 22.6%
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% 11.3%
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% 14.8%
2020 1% -7.1% 5.7% 7.5% 2.3% 4.1% 6.4% 8.3% -4.5% -2.4% 11.4% 4.7% 38%
2021 0.3% 1.8% 2.4% 5.3% -0.5% 3.7% 2.4% 0% 0% 0% 0% 0% 15.9%
Pos 74% 68% 64% 68% 76% 62% 58% 67.3% 65.3% 55.1% 81.6% 72% 92.2%
Avg 1.9% 1.8% 0.8% 0.7% 1.5% 1.3% 1.2% 1% 0.7% -0.3% 2.6% 1.7% 14.3%

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 Drawdown days
1987-08-26 1987-10-26 1989-10-05 -33.26% 771
1989-10-10 1990-08-23 1993-02-03 -32.57% 1212
2000-03-27 2000-05-23 2003-01-06 -25.7% 1015
1998-07-21 1998-08-31 1999-01-11 -22.25% 174
1980-02-14 1980-03-27 1980-07-14 -19.65% 151

The αc U.S. Equities II took approximately 22 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
1973-02-01 1974-12-31 1976-08-24 -39.16% 1300
2020-02-20 2020-03-23 2020-08-10 -33.7% 172
1987-08-26 1987-10-19 1989-05-19 -33.08% 632

The S&P 500 (US Large Cap) took approximately 42 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.