αc International Equities III

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 a single ETF which is deemed the most attractive compared to the other ETFs, and rebalance once a month. During unfavorable market conditions we invest in fixed-income instruments.

The investment universe for the portfolio is comprised of international equities (U.S. & ex-U.S.) with mainly large-cap companies.
The portfolio pursues a strategy that seeks to achieve equity-like returns with lower volatility and...
30 June 1970  –  29 July 2021
Compare with
MSCI World (WORLD.X)

Performance

Annualized Return
12.25%
αc International Equities III
9.74%
MSCI World
Sharpe Ratio
1.21
αc International Equities III
1.19
MSCI World
Maximum Drawdown
-22.17%
αc International Equities III
-54.03%
MSCI World

Metrics

Metric αc International Equities III MSCI World
Initial Balance $10,000 $10,000
Final Balance $3,669,138 $1,158,348
Returns
Month-To-Date 2.94% 2.49%
Year-To-Date 17.25% 15.4%
3M 5.54% 4.3%
6M 14.15% 12.35%
Annual Return (1Y) 38% 35.75%
Annual Return (3Y) 15.51% 14.81%
Annual Return (5Y) 15.09% 14.62%
Annual Return (10Y) 13.56% 11.22%
Annual Return (All) 12.25% 9.74%
Enh Ann Return 12.77% 11.44%
Best Year 44.28% 41.89%
Worst Year -17.21% -40.71%
Risk
Annual Volatility 9.96% 8.06%
Max Drawdown -22.17% -54.03%
Sharpe Ratio 1.21 1.19
Sortino Ratio 1.73 1.68
Enhanced Sortino 11.22

  • 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 June 1970.
  • 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 51 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 International Equities III MSCI World Won
1970 12.15% 19.73%
1971 9.08% 18.36%
1972 19.53% 22.48%
1973 -7.68% -15.24%
1974 7% -25.47%
1975 14.86% 32.8%
1976 22.34% 13.4%
1977 -1.76% 0.68%
1978 12.1% 16.52%
1979 -2.21% 10.95%
1980 13.15% 25.67%
1981 -17.21% -4.79%
1982 44.28% 9.71%
1983 21.27% 21.93%
1984 7.86% 4.72%
1985 25.98% 40.56%
1986 42.42% 41.89%
1987 4.98% 16.16%
1988 6.99% 23.29%
1989 27.37% 16.61%
1990 -0.92% -17.02%
1991 22.84% 18.28%
1992 5.19% -5.23%
1993 12.13% 22.5%
1994 3.32% 5.08%
1995 37.35% 20.72%
1996 12.73% 13.48%
1997 33.48% 15.76%
1998 14.03% 24.34%
1999 19.42% 24.93%
2000 -3.76% -13.18%
2001 8.44% -16.82%
2002 -13.18% -19.89%
2003 40.87% 33.11%
2004 11.61% 14.72%
2005 3.55% 9.49%
2006 17.39% 20.07%
2007 9.2% 9.04%
2008 -2.2% -40.71%
2009 23.6% 29.99%
2010 5.63% 11.76%
2011 9.94% -5.54%
2012 15.37% 17.09%
2013 30.37% 26.66%
2014 14.05% 4.36%
2015 -5.92% -0.64%
2016 6.5% 7.31%
2017 21.79% 22.96%
2018 2.95% -8.56%
2019 14.29% 28.14%
2020 15.61% 15.78%
2021 17.25% 15.4%

αc International Equities III had 43 positive years and 9 negative years. That's a positive ratio of 83%.

MSCI World had 40 positive years and 12 negative years. That's a positive ratio of 77%.

αc International Equities III had a better yearly return 44% of the time compared to MSCI World.

Table

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
1970 0% 0% 0% 0% 0% 0% 1.3% 1.3% 1.3% 1.4% 1.3% 5.1% 11.5%
1971 3.9% 3.5% 3.8% 3.7% -1.1% -1.6% -1.6% -0.9% 0.8% -2.8% 0.6% 0.8% 8.7%
1972 3.5% 3.8% 1.3% 1.4% 2% -2.3% -0.4% 2.9% -0.4% -0.4% 5.3% 1.6% 17.9%
1973 0.4% -3.1% 0.1% 0% 0.3% 0.3% 0.3% 0.3% 0.2% 0.3% -6.5% -0.1% -8%
1974 0.6% 0.5% 0.6% 0.6% 0.6% 0.5% 0.6% 0.6% 0.5% 0.6% 0.5% 0.6% 6.8%
1975 0.7% 8.4% 0.7% 4.1% 2.4% 4.4% 0.4% -3.8% -4.1% 0.9% 0.4% 0.1% 13.9%
1976 8.9% -0.7% 4.7% 1.1% -0.4% 0.9% 1% 1% 2.4% -2.1% -0.1% 4% 20.3%
1977 -3.6% 0.1% 0.2% 0.2% 0.2% 0.2% 0.2% 0.2% 0.2% 0.2% 0.2% 0.2% -1.8%
1978 0.2% 0.2% 0.2% 0.2% 1.2% 1% 7.2% 2.3% 1.1% -1.9% 0% 0.2% 11.4%
1979 0.2% -1.8% 0.4% -0.1% -1.8% 2.9% 1.1% 4.3% 1% -7.8% 0.3% -0.5% -2%
1980 3.4% 0% -10.8% 0.5% 4.7% 4.8% 3.1% 1.7% 2.7% 2% 5.4% -3.9% 12.9%
1981 -4.4% -1.5% 0.7% -2.6% -1.9% 0.5% 0.5% -5.3% 0.8% 0.5% 0.5% -6% -18.4%
1982 2.6% 2.4% 2.7% 2.5% 2.3% 2.5% 2.4% 2.3% 2.1% 11.1% 4.2% 0.3% 37.5%
1983 3.4% 2.5% 3.5% 7.6% -2.2% 3.1% -3.9% 1.8% 1.9% -1.4% 2.3% 1.3% 20%
1984 0.9% 0.9% 0.9% 0.9% 0.9% 0.8% 0.9% 0.9% 1.1% 0.2% -1% 0.2% 7.8%
1985 3.9% 0.2% -1% 0.2% 5.1% 1.8% -0.6% 1.5% 0.7% 1.8% 5.4% 4.7% 23.2%
1986 1.5% 9% 9.7% 2.7% -0.3% 4% 0.8% 8.7% -4% 1.1% 1.7% 1.9% 35.5%
1987 1.8% 2.4% 6.2% 5.8% 0.1% -0.1% 2% 4.4% -2.3% -14.8% 0.7% 0.4% 5.2%
1988 2.7% 0.5% 2.4% -0.3% -2.6% -0.2% 0.3% -3.4% 0.7% 2.5% 3.4% 0.9% 7.1%
1989 3.6% -0.7% -0.7% 4.6% 4% -0.6% 9% 1.9% -0.4% -2.3% 2% 4.5% 24.8%
1990 -4.7% 0.5% -0.3% -0.9% 9.4% -0.7% -0.4% -9% 0.9% 1.5% 2.3% 1.5% -0.4%
1991 6.3% 7.1% 2.4% 0.2% 4.3% -4.6% 4.6% 2.3% -1.7% 1.9% -4.4% 3% 21.3%
1992 -2.1% 1.2% -1.9% 2.9% 0.5% -1.5% 2.9% -2.2% -0.3% 0.5% 3.4% 1.9% 5.5%
1993 0.1% 1.1% 2.2% 4.5% 2.2% -0.8% 2% 4.6% -1.9% 2.7% -5.7% 0.8% 11.6%
1994 6.2% -1.3% -4.3% 1.1% -0% -0.1% 1.8% 2.9% -2.6% 2.9% -4% 1.3% 3.5%
1995 2.9% 4.1% 2.8% 3% 4% 2% 3.2% 0.4% 4.2% -0.3% 4.4% 1.6% 32.1%
1996 3.6% 0.3% 1.7% 1.1% 0% 0.9% -4.5% -0.9% 1.7% 3.6% 7.3% -2.3% 12.7%
1997 6.2% 1% -4.4% 6.3% 6.3% 4.1% 7.9% -5.2% 4.8% -2.5% 3.9% 1.9% 30.9%
1998 1.3% 6.9% 4.9% 1.3% -2.1% 4.3% -1.4% -12.8% 2.2% -0.6% 4.3% 6.5% 14.2%
1999 3.5% -3.2% 4% 3.9% -2.6% 5.5% -3.1% -0.2% -1% 1.5% 2% 8.1% 18.4%
2000 -5.7% 0.3% 6.9% -3.6% -1.6% 2% 0.7% 6.4% -5.5% 1.6% -7.3% 3.3% -2.6%
2001 1.8% 0.9% 0.5% -0.5% 0.7% 0.5% 2.2% 1.1% 0.9% 1.9% -1.8% -0.1% 8.2%
2002 -2.6% -1.8% -0.7% -5.6% 1.2% 0.3% 0.5% 1.7% 1.5% -0.6% 0% -7.5% -13.5%
2003 2% 1.4% -0.1% 7.3% 5.5% 1.1% 1.5% 2.1% 0.6% 5.9% 1.5% 6.3% 34.7%
2004 1.6% 1.7% -0.7% -2% 0.9% 2.1% -3.1% 0.8% 0.5% 0.9% 4.9% 3.8% 11.1%
2005 -2.3% 3.2% -1.9% -2.2% 1.8% 0.2% 3.6% -1% 2.4% -2.4% 0.3% 2.2% 3.6%
2006 4.5% -0.1% 2.2% 3% -3.4% -0.2% 0.5% 1.5% 1.1% 3.4% 2% 1.9% 16.1%
2007 1.2% -0.5% 1.8% 4.4% 2.8% -1.9% -1.8% 1.3% 4.1% 2.9% -4.1% -1% 9%
2008 2.3% -0.2% 0.1% 0.3% -1.3% -8% -1.3% 0.7% -1.8% -2.3% 3% 6.7% -1.3%
2009 -2% -1.1% 1.1% 0.5% 5.6% -0.1% 8.5% 4.1% 4.3% -4.1% 4.1% 1.1% 21.9%
2010 -3.6% 3.1% 6.1% 1.5% -7.9% 0.9% 0.9% -3.6% 0.6% 3.4% -2.2% 7.4% 6.3%
2011 1.7% 3.9% -1% 2.5% -1.1% -1.7% -2% 2.7% 0.8% 0.1% 2.6% 1.2% 10.2%
2012 2.7% 4.3% 3.2% -0.7% -8.9% 5.7% 1.2% 2.5% 2.5% -1.9% 1.3% 3.1% 15.1%
2013 4.7% 0.6% 2.1% 2.4% 2.4% -1.3% 4.6% -3% 3.2% 5.7% 3% 2.7% 27.8%
2014 -3% 4.6% 0.8% 0.7% 2.3% 2.1% -1.3% 3.9% -1.4% 2.4% 2.7% -0.3% 13.8%
2015 -3% 5.6% -1.6% 1.7% 0.4% -2.7% 2.8% -6.8% -0.4% 0.1% 0% -1.7% -5.2%
2016 -5% 0.3% 0.9% 0.9% 1.7% 0.3% 3.6% 0.1% 0% -1.9% 3.6% 2% 7%
2017 1.8% 3.9% 0.1% 1% 1.4% 0.6% 2.4% 0.1% 2.1% 2.1% 3.1% 1.2% 19.9%
2018 5.6% -3.6% -2.7% 0.5% 0.4% -0.2% 3.7% 3.2% 0.6% -6.9% 1% 2% 3.8%
2019 0.9% 3.1% 1.8% 4.1% -6.4% 1% 0.4% -1.7% 1.9% 2.2% 3.6% 2.9% 14%
2020 -0% -7.9% -0.1% 1.7% 0.7% 0.7% 5.4% 7% -3.7% -2.5% 10.9% 4% 15.8%
2021 -0.8% 2.5% 3.7% 5.3% 0.7% 1.9% 2.9% 0% 0% 0% 0% 0% 16.4%
Pos 72.5% 72.5% 70.6% 80.4% 66.7% 64.7% 75% 70.6% 70.6% 62.7% 80.4% 80.4% 82.7%
Avg 1.2% 1.3% 1.1% 1.6% 0.7% 0.7% 1.4% 0.5% 0.5% 0.2% 1.4% 1.6% 11.8%

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 International Equities III

start valley end Drawdown days
2007-11-01 2008-10-10 2009-07-14 -22.17% 621
1980-12-01 1981-12-29 1982-09-03 -20.97% 641
1987-08-26 1988-08-22 1989-06-07 -19.64% 651
2020-02-20 2020-03-18 2020-08-25 -19.23% 187
2015-05-20 2016-01-20 2017-02-21 -19.12% 643

The αc International Equities III took approximately 18 months on average to recover from a major drawdown.

MSCI World

start valley end Drawdown days
2007-11-01 2009-02-27 2013-04-11 -54.03% 1988
2000-04-03 2002-09-30 2006-01-31 -46.8% 2129
1973-04-02 1974-09-30 1978-05-08 -41.07% 1862
2020-02-13 2020-03-23 2020-08-24 -34.01% 193
1990-01-02 1990-09-28 1993-03-25 -24.34% 1178

The MSCI World took approximately 49 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.