αc Funds of Funds VIII

New York Stock Exchange
USD

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

31 January 1977  –  25 January 2022
Compare with
S&P 500 (US Large Cap) (SP500.X)

Performance

Annualized Return
15.33%
αc Funds of Funds VIII
10.46%
S&P 500 (US Large Cap)
Sharpe Ratio
1.67
αc Funds of Funds VIII
0.65
S&P 500 (US Large Cap)
Maximum Drawdown
-16.1%
αc Funds of Funds VIII
-55.2%
S&P 500 (US Large Cap)

Metrics

Metric αc Funds of Funds VIII S&P 500 (US Large Cap)
Initial Balance $10,000 $10,000
Final Balance $6,150,430 $881,255
Returns
Month-To-Date -3.77% -8.52%
Year-To-Date -3.77% -8.52%
3M -4.51% -3.78%
6M -5.9% -0.57%
Annual Return (1Y) -5.02% 15%
Annual Return (3Y) 18.04% 19.86%
Annual Return (5Y) 13.91% 15.65%
Annual Return (10Y) 11.56% 14.86%
Annual Return (All) 15.33% 10.46%
Enh Ann Return 15.5% 11.95%
Best Year 39.36% 38.03%
Worst Year -7.43% -36.81%
Risk
Annual Volatility 8.78% 17.75%
Max Drawdown -16.1% -55.2%
Sharpe Ratio 1.67 0.65
Sortino Ratio 2.54 0.91
Adjusted Sortino (S/√2) 1.8 0.65
Ulcer Index 0.03 0.13
Gain to Pain Ratio 0.4 0.13

  • 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 January 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 45 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.

Chart

Table

Year αc Funds of Funds VIII S&P 500 (US Large Cap) Won
1977 7.66% -7.07%
1978 19.15% 0.77%
1979 13.6% 11.67%
1980 11.48% 28.17%
1981 -0.55% -8.47%
1982 33.61% 19.3%
1983 12.07% 17.15%
1984 9.22% 3.69%
1985 33.33% 22.71%
1986 9.68% 9.31%
1987 14.86% 4.7%
1988 13.69% 16.22%
1989 18.32% 31.37%
1990 -7.43% -3.33%
1991 22.89% 30.19%
1992 11.74% 8.21%
1993 31.73% 8.75%
1994 5.75% 0.4%
1995 19.14% 38.03%
1996 8.03% 22.55%
1997 10.13% 33.48%
1998 19.57% 28.69%
1999 29.1% 20.39%
2000 11.5% -9.73%
2001 3.8% -11.75%
2002 14.82% -21.59%
2003 39.36% 28.18%
2004 20.54% 10.7%
2005 12.02% 4.83%
2006 22.1% 15.85%
2007 26.96% 5.14%
2008 23.72% -36.81%
2009 36.45% 26.37%
2010 9.88% 15.06%
2011 14.46% 1.89%
2012 21.35% 15.99%
2013 10.86% 32.31%
2014 9.2% 13.46%
2015 -6.51% 1.25%
2016 20.43% 12%
2017 16.76% 21.7%
2018 1.25% -4.56%
2019 19.06% 31.22%
2020 39.06% 18.37%
2021 3.75% 28.74%
2022 -3.77% -8.52%

αc Funds of Funds VIII had 42 positive years and 4 negative years. That's a positive ratio of 91%.

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 VIII had a better yearly return 63% 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% 1.4% 1% 1% 0.1% 1% -0.2% 0.8% 1.2% 0.7% -0.2% 0.6% 7.4%
1978 -0.1% 0.8% 0.9% 1.2% 3.2% 0.4% 2.6% 3.5% -1.5% 1.1% -3.6% 9.6% 17.7%
1979 1.3% -2.2% 0.8% 0.6% 1.1% 2.4% 2.2% 4% 0.6% -3.2% 1.8% 3.4% 12.8%
1980 0.8% -0.7% -8.3% 1.5% 1.8% 7.2% 3.1% 2.1% 2.4% 0.5% 3.7% -2.5% 11.9%
1981 -1.4% -2.5% 1.5% -2.1% 0.8% -1.5% -0.2% 0.1% -1.2% 0.2% 7% -1.1% -0.5%
1982 1.3% -0.2% 2.2% 3% -0% 0.7% 0.4% 5.1% 1.3% 8.6% 4.7% 2.7% 29.8%
1983 5.5% -0.2% 1.8% 2.8% 0.7% 2.9% -2.2% 0.8% 1.1% -1.4% 1.4% -1.5% 11.6%
1984 1.7% 0.8% 0.7% 0.1% -0.5% 0.3% -0.2% 3.5% 0.3% 0.8% 0.5% 0.9% 8.8%
1985 5.7% 1% 1% 1.7% 3.5% 1.4% 1.3% 2.6% 1.2% 2.9% 4.5% 2.6% 28.8%
1986 0.9% 4.7% 6.5% 1.8% 0.4% 2% -1.9% 1.2% -5.2% 0.6% 1% -2.3% 9.4%
1987 1.7% 4.6% 3.5% 0.5% -0.1% 0.2% 2.8% 2.1% -0.4% -2.3% 1.2% 0.4% 14%
1988 1.2% 2.4% 3.9% 1.8% 0.8% 2.1% -1.6% 0.2% 0.9% 0.2% 0.4% 0.7% 12.9%
1989 1.8% 0.3% 2.3% 4.2% 2.8% 0.3% 2.5% 0.5% 0.6% -0.4% -0.2% 2.4% 16.9%
1990 1.1% -0.6% -7.1% -0.4% 1.9% 0.5% 4% -9.7% -0.1% -0.2% 1.3% 2.5% -7.5%
1991 0.6% 9% 3.3% 0.7% 5.2% -3.8% 2% 2.4% 0.1% 0.9% -1.8% 2.8% 20.9%
1992 4.1% 2.2% -0.2% 0.6% 1.2% -3.5% 2% -0% 1.1% 1.2% 0.9% 2% 11.2%
1993 1% 0.5% 1.9% 2.5% 4.4% 0.7% 2.4% 5.2% 0.5% 5.2% 0.3% 3.6% 27.7%
1994 3.1% -1.8% 1.5% -0.8% 1.3% -1.1% 0.2% 5.2% -1.8% 0.7% -0.7% -0.1% 5.7%
1995 1.5% 3% 1.3% 2.1% 3.7% 1.4% 2.4% -0.7% 1.2% -0% 0.5% 1.5% 17.7%
1996 3.1% -0.6% 0.6% 1.6% 0.7% 0.2% -2.9% -1.9% 2.7% 1.4% 4% -1% 7.9%
1997 4.2% 0.2% -1.7% -0.2% 6% 3% 4.6% -4% 1.4% -5% 1.5% 0.2% 10%
1998 0.9% 2.9% 3.3% 1.1% -1.1% 1.2% -0% -3.5% 3.1% 4.3% 3.9% 2.3% 18.3%
1999 3.6% -1.3% 2.2% 7% -2.3% 1.9% -1% -0.1% 0% 1.5% 4.4% 10.6% 25.9%
2000 -0.8% 3.6% 2.4% -3% 0.6% 1.1% -0.7% 3.5% -1.6% 1.9% 2.6% 1.6% 11.6%
2001 1.4% -4.6% 0.5% -2.1% 1% 0% 2.4% 1% 1.5% -2.3% 2.4% 2.7% 4.1%
2002 1.9% 1.5% 1.2% -0.1% 3.7% -0% 1.3% 3.7% 0.1% -2.1% 6.9% -3.8% 14.3%
2003 6.5% 2.5% -2.6% 2.7% 6.9% 0.9% 3.8% 2.9% -0.1% 3.9% 1.2% 5.5% 33.6%
2004 1.4% 2.8% 0.5% -6.1% 1.3% 1.7% -1% 3.2% 2.9% 2.1% 6.7% 3.9% 19%
2005 -1.5% 4.2% -3.9% 2.3% 1.7% 1.5% 3.1% 0.3% 2.5% -1.9% 1.4% 1.9% 11.6%
2006 6% -1% 1.3% 3% -2.2% -0.5% 1.8% 1.6% 1.4% 3.2% 4% 1.7% 20.3%
2007 0.5% -0.4% 0.9% 3.6% 3% 0.2% 2% 1.1% 5.8% 8% -5% 5.1% 24.8%
2008 4.5% 2.2% -1.6% -0.2% 3.3% 0.3% -0.9% 1.8% -3.5% 0.3% 11.6% 4.5% 21.9%
2009 -5.6% 1.5% 4.6% 3.8% 10.6% -1.1% 5.6% 1.3% 6.1% -2.2% 6% 1.9% 32.4%
2010 -0.2% 1.9% 5.1% 1.4% -6.2% 3.5% -1.8% -3.1% 4.7% 3.4% -2.5% 4.1% 10.2%
2011 1.7% 3.6% 0.2% 2.8% -2% -2% 0.5% 2.4% 7.9% 3.4% 1.3% -5.6% 14.7%
2012 8.8% 3% 0.7% -0.1% 1.9% -0.4% 1.1% 0.7% 2.2% -1% 0.9% 2.3% 19.7%
2013 1.6% -0.6% 2.9% 1.3% 0.5% -3.2% 1.1% -1.6% 1.6% 3.3% 1.8% 1.8% 10.6%
2014 2.8% 0.1% 0.7% 0.6% 1.7% 2.9% -0.5% 3.8% -3.7% 0.4% 1.6% -1.2% 9%
2015 1.9% -0.4% -1.7% -2.8% -2.5% -1.1% 0.8% -2.3% -0% 2.4% 0.2% -1.1% -6.5%
2016 3.2% 8.7% 1% 1.9% -1.7% 5.6% 2% -0.8% 0.5% -1.1% -0.4% 0.4% 19.2%
2017 1.9% 2.1% -0.7% 1.6% 2.3% -0.4% 3.2% 1.6% -0.2% 1.6% 1.5% 1.2% 15.7%
2018 5.7% -2% 1.1% -0.8% 0.6% -1.5% -0.8% 0.1% -1.1% -1% 0.5% 0.9% 1.4%
2019 2.1% 1.4% 1.1% 2.4% -4.5% 6.1% -0.9% 6.2% -2.4% 1.8% 1.9% 2.9% 17.8%
2020 -2.4% 4% 5.2% 7.5% 6.4% 2.8% 7.3% 3.8% -3.2% -0.4% -2.2% 5.4% 34.9%
2021 1.6% 1.8% 1.3% 2.3% 1% -4.3% 2.2% 1% -4.3% 1.6% -0.7% 0.5% 4%
2022 -3.8% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% -3.8%
Pos 82.2% 66.7% 80% 73.3% 75.6% 68.9% 64.4% 75.6% 64.4% 66.7% 77.8% 77.8% 91.3%
Avg 1.8% 1.3% 1% 1.2% 1.4% 0.7% 1.2% 1.1% 0.6% 1% 1.7% 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 Funds of Funds VIII

start valley end Drawdown days
1980-01-22 1980-04-03 1980-08-11 -16.1% 202
2020-03-10 2020-03-18 2020-04-06 -14.79% 27
1990-02-08 1990-10-16 1991-03-05 -14% 390
2014-09-02 2015-09-16 2016-02-11 -11.62% 527
2011-11-09 2011-11-25 2012-02-02 -10.23% 85

The αc Funds of Funds VIII took approximately 8 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.

End of: