αc Funds of Funds VII

New York Stock Exchange
USD

This strategy combines the best of all αc's strategies.

31 January 1977  –  16 August 2022
Compare with
S&P 500 (US Large Cap) (SP500.X)

Performance

Annualized Return
14.19%
αc Funds of Funds VII
10.32%
S&P 500 (US Large Cap)
Sharpe Ratio
1.6
αc Funds of Funds VII
0.64
S&P 500 (US Large Cap)
Maximum Drawdown
-19.75%
αc Funds of Funds VII
-55.2%
S&P 500 (US Large Cap)

Metrics

Metric αc Funds of Funds VII S&P 500 (US Large Cap)
Initial Balance $10,000 $10,000
Final Balance $4,227,808 $878,026
Returns   [View more details]
Month-To-Date -0.65% 4.3%
Year-To-Date -14.51% -8.86%
3M -3.96% 7.43%
6M -11.22% -1.72%
Annual Return (3Y) 1.58% 16.07%
Annual Return (5Y) 5.55% 13.68%
Annual Return (All) 14.19% 10.32%
Risk   [View more details]
Annual Volatility 8.53% 17.85%
Max Drawdown -19.75% -55.2%
Sharpe Ratio 1.6 0.64
Sortino Ratio 2.38 0.9
Adjusted Sortino (S/√2) 1.68 0.64

  • 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 August 2022.
  • 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 46 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 Funds of Funds VII -15.74% 1.58% 5.55% 8.05% 15.08% 14.19%
S&P 500 (US Large Cap) -2.26% 16.07% 13.68% 13.85% 9.97% 10.32%

Annual Returns

Year αc Funds of Funds VII S&P 500 (US Large Cap) Won
1977 2.91% -7.07%
1978 17.57% 0.77%
1979 18.51% 11.67%
1980 11.6% 28.17%
1981 -6.24% -8.47%
1982 42.08% 19.3%
1983 10.3% 17.15%
1984 9.78% 3.69%
1985 26.1% 22.71%
1986 18.34% 9.31%
1987 13.07% 4.7%
1988 11.25% 16.22%
1989 16.82% 31.37%
1990 -10.05% -3.33%
1991 28.28% 30.19%
1992 10.64% 8.21%
1993 31.81% 8.75%
1994 -0.84% 0.4%
1995 20.45% 38.03%
1996 8.85% 22.55%
1997 9.06% 33.48%
1998 22.94% 28.69%
1999 26.97% 20.39%
2000 10.84% -9.73%
2001 1.93% -11.75%
2002 13.67% -21.59%
2003 33.05% 28.18%
2004 16.78% 10.7%
2005 22.17% 4.83%
2006 26.08% 15.85%
2007 28.16% 5.14%
2008 27.56% -36.81%
2009 33.6% 26.37%
2010 10.65% 15.06%
2011 14.92% 1.89%
2012 14.08% 15.99%
2013 8.79% 32.31%
2014 13.3% 13.46%
2015 -0.53% 1.25%
2016 16.43% 12%
2017 15.84% 21.7%
2018 3.31% -4.56%
2019 20.06% 31.22%
2020 15.39% 18.37%
2021 1.78% 28.74%
2022 -14.51% -8.86%

αc Funds of Funds VII had 41 positive years and 5 negative years. That's a positive ratio of 89%.

S&P 500 (US Large Cap) had 37 positive years and 9 negative years. That's a positive ratio of 80%.

αc Funds of Funds VII had a better yearly return 54% 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
1977 0% 0.1% 0.5% 0.3% -0.1% 0.4% -1% 0.5% 0.5% 0.6% 0% 1% 2.9%
1978 0.8% 1.1% 0.6% 2% 1.6% 0.4% 1.8% 2.6% -0.3% 1.7% -4.7% 9.1% 16.4%
1979 2.6% 0.3% 0.4% 0.5% -0.2% 3.7% 1.5% 3.9% -0% -4.2% 3.3% 5.8% 17.1%
1980 2.7% -1.7% -9.4% 6.2% 2.1% 3% 2.1% 1.6% 2.6% 0.5% 5.4% -2.9% 12.1%
1981 -2.3% -1.9% 0.8% -3.8% 1.6% -3.2% -1.6% -1.9% -0.7% 2.3% 7.2% -2.4% -6.4%
1982 0.7% 1.1% 2.2% 3.1% 1.1% -0.6% 2.5% 6.9% 3.1% 9.3% 4.1% 2.5% 35.6%
1983 5.3% -2.6% 1.1% 4.3% 1% 3% -3.3% -0.2% 2.4% -1.5% 1.8% -0.9% 10.1%
1984 1.5% -1% -0.4% -0% -1.4% 1.1% 0.3% 5.3% 0.5% 1.3% 0.9% 1.4% 9.4%
1985 6.4% 0.3% 0.7% 1.3% 2.4% 1.5% 0.5% 1.5% 0.3% 2.2% 3.5% 3.1% 23.2%
1986 0.7% 6.4% 7.4% 0.9% 2.3% 2% -1.9% 3.6% -2.6% -0.3% 0.7% -1.7% 17%
1987 0.9% 2.6% 2.7% 0.3% -0.2% -0.1% 2.2% 1.7% -1.2% 1.7% 1.6% 0.2% 12.5%
1988 1.4% 4.1% 3.1% 0.8% 0.6% 0.7% -2.1% -1.1% 2.1% 0.4% -0.6% 1.5% 10.8%
1989 1.8% 1.2% 2.5% 4.8% 2.7% -0.3% 0.9% -1.4% 0.9% 0% -0.3% 3.1% 15.6%
1990 -1.2% 0.2% -5.7% -1.5% 5% 0.9% 2.5% -10.6% -3.5% -0.6% 2.8% 2% -10.3%
1991 2.1% 9.3% 3.3% 0.7% 5.5% -4.3% 1.5% 1.6% 1.6% 1.1% -1.3% 4.7% 25.2%
1992 4% 2.7% -0.2% 0% 1.2% -4.2% 2.8% 0% 1.4% 0% 1% 1.7% 10.2%
1993 1% 1.6% 2.1% 1.7% 3.7% 2% 2.8% 4% 0.5% 4.7% -0% 3.9% 27.7%
1994 2% -1.6% -1.1% -1.4% 0.4% -1% 0.9% 3.1% -1.6% -0.1% -0.5% 0.1% -0.7%
1995 1.5% 3.3% 1.4% 1.7% 3.1% 1.9% 2.2% 0.4% 1.2% 0.3% 1.3% 0.6% 18.9%
1996 3.2% -0.9% 0.7% 1.9% 0.6% -0.1% -2.8% -1.5% 2.1% 2.3% 4.6% -1.4% 8.8%
1997 3.7% 1.5% -3.2% 0.8% 3.7% 3.2% 6.1% -5.8% 2.6% -5.1% 0.6% 1.3% 9%
1998 0.5% 1% 3.1% 1.3% -2.1% 3.2% -0.2% -4.9% 7.1% 3.5% 5.4% 3.5% 21.2%
1999 3.8% -3.1% 2% 7.7% -3.2% 3.8% -0.9% 0.7% 0.4% 1.2% 3.5% 9% 24.4%
2000 -0.9% 5.9% 1.8% -3.5% 0.3% 1.4% -1.2% 1.5% -1.1% 1.5% 2.8% 2% 10.7%
2001 3.5% -1.8% -2.8% -2.5% 0.7% 0.5% 2.3% 1.6% 2.3% -0.3% -2.9% 1.4% 2.2%
2002 1.3% 1.4% 1.1% -0.4% 1.2% -3% 1.8% 4.6% 3.9% -2.9% 3.5% 0.5% 13.1%
2003 4.2% 1.4% -2.6% 2.9% 7.2% 1.3% 2.3% 3% 0.1% 3.2% 1.3% 4.8% 28.9%
2004 0.9% 2.4% 1.3% -5.7% 0.6% 0.9% -1.5% 2% 2.5% 2.4% 6.1% 4.1% 15.8%
2005 -0.4% 4.8% -3.7% 3.4% 2.4% 2.4% 1.7% 1.2% 4.7% -2.1% 2.9% 3.4% 20.3%
2006 6.7% -1% 0.9% 3.6% -1% -1% 2.3% 2.4% 1.5% 3.5% 4.3% 1.5% 23.6%
2007 -0.2% 0.1% 1.7% 3.2% 4% 0.3% 2.2% 1.4% 6% 7.7% -4.1% 3.3% 25.7%
2008 4.7% 1.8% -1% -1.5% 1.6% 1.2% -0.8% 0.4% 1.6% -3.2% 12.7% 8.1% 25.1%
2009 -4.4% 0.6% 4.8% 3.7% 8.5% -0.5% 5.8% 2% 4.8% -2.4% 5.4% 1.8% 30.2%
2010 -0.1% 2.5% 5.3% 1% -5.7% 1.4% -1.9% 1.5% 2.2% 2% -2% 4.7% 10.7%
2011 0.6% 2.8% 1% 2.7% -1.2% -1.5% 0.2% 4.2% 6.6% -0.5% 1.5% -2% 14.6%
2012 4.7% 1.8% -0.9% 0.6% 0.2% 0.4% 1.5% 0.8% 2.4% -1.7% 0.9% 2.9% 13.4%
2013 1.6% -0.2% 2.4% 1.9% 1.5% -3.3% -0.4% -1.4% 0.9% 3.6% 0.9% 1.2% 8.8%
2014 2.7% 1.8% 0.4% 0.2% 2.7% 2.2% -1.2% 3.6% -4.3% 1.3% 2% 1.4% 12.7%
2015 4.3% -2.1% -0.4% -3% -2.1% -1.9% 2.9% -0.4% 1.3% 2.8% -0.6% -1% -0.2%
2016 3.4% 7.2% -0.3% 1.5% -0.8% 6.2% 2.2% -0.8% 0.7% -1.3% -2.2% 0% 15.8%
2017 1.7% 2.2% -0.6% 1.6% 2% 0.2% 1.7% 2.5% -0.8% 1.5% 1.5% 1.3% 14.9%
2018 4.3% -2.6% 1% -1.4% 0.9% -1.7% -1.3% 1.6% -1.8% -2% 1.1% 5.5% 3.5%
2019 1.8% 0.3% 2.4% 1.9% -4.3% 5.3% 0.4% 7.5% -2% 1.3% 1.7% 2.6% 18.6%
2020 -0.8% 2.5% -0% 3% 2.4% 1.3% 6.8% 3.4% -3.1% -1.5% -1% 1.8% 15.4%
2021 -1% -0.3% -0.3% 2.7% 0.3% -1.3% 3.1% 0.8% -4.2% 2% 1.2% -0.9% 2.1%
2022 -3.7% 2% -1.1% -6.2% -1.2% -4.4% -0.1% -0.6% 0% 0% 0% 0% -15.2%
Pos 77.8% 71.7% 63% 73.9% 71.7% 63% 65.2% 73.9% 68.9% 64.4% 73.3% 82.2% 89.1%
Avg 1.7% 1.3% 0.5% 0.9% 1.1% 0.5% 1% 1.1% 1% 0.8% 1.7% 2.1% 13.5%

Other Return Metrics

Metric αc Funds of Funds VII S&P 500 (US Large Cap)
Cumulative Return 42178.08% 8680.26%
Enh Ann Return 14.68% 11.94%
Best Year 42.08% 38.03%
Worst Year -14.51% -36.81%
Best Month 12.65% 13.27%
Worst Month -10.55% -21.73%
Best Day 5.26% 14.52%
Worst Day -5.25% -20.46%
Win Ratio (Yearly) 89.13% 80.43%
Win Ratio (Quarterly) 77.05% 69.95%
Win Ratio (Monthly) 70.75% 63.12%
Win Ratio (Daily) 58.02% 54%

Annual Volatility

Annual Volatility 1y Annual Volatility 3y Annual Volatility 5y Annual Volatility 10y Annual Volatility 20y Annual Volatility
αc Funds of Funds VII 11.09% 11.66% 10.03% 9.26% 10.05% 8.53%
S&P 500 (US Large Cap) 20.56% 23.69% 20.52% 16.87% 19.2% 17.85%

Sharpe Ratio

Sharpe Ratio 1y Sharpe Ratio 3y Sharpe Ratio 5y Sharpe Ratio 10y Sharpe Ratio 20y Sharpe Ratio
αc Funds of Funds VII -1.48 0.19 0.59 0.88 1.45 1.6
S&P 500 (US Large Cap) -0.01 0.75 0.73 0.85 0.59 0.64

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 Funds of Funds VII

start valley end Drawdown days
2020-09-03 2022-07-08 - -19.75% 712
1980-01-22 1980-04-03 1980-11-17 -19.61% 300
1990-07-17 1990-10-16 1991-03-01 -16.5% 227
1980-12-01 1981-09-30 1982-07-22 -14.96% 598
2020-03-09 2020-03-18 2020-04-23 -14.86% 45

The αc Funds of Funds VII took approximately 13 months on average to recover from a major drawdown. The longest drawdown lasted 24 months.

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. 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 Funds of Funds VII S&P 500 (US Large Cap)
Sharpe Ratio 1.6 0.64
Sortino Ratio 2.38 0.9
Adjusted Sortino (S/√2) 1.68 0.64
Calmar Ratio 0.72 0.19
Omega Ratio 0.72 0.19
Gain to Pain Ratio 0.34 0.13
Winckel Ratio 60.87 60.87
Ulcer Index 0.04 0.13
Kelly Criterion 14.88% 6.18%
Skew -0.09 -0.62
Kurtosis 7.34 20.32
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