αc Multi-Asset Opportunities IV Slow/Fast

The portfolio pursues a rather defensive 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 2 to 4 ETFs, weight them variably according to certain metrics, and usually rebalance once a quarter. Rebalance frequency may vary depending on certain market conditions.

The investment universe for the portfolio is comprised of multiple assets classes, ranging from large to mid-cap developing markets, emerging markets, commodities and fixed-income instruments.
The portfolio pursues a rather defensive strategy that seeks to achieve equity-like returns with low...
31 August 1976  –  29 July 2021
Compare with
S&P 500 (US Large Cap) (SP500.X)

Performance

Annualized Return
15.04%
αc Multi-Asset Opportunities IV Slow/Fast
10.47%
S&P 500 (US Large Cap)
Sharpe Ratio
1.48
αc Multi-Asset Opportunities IV Slow/Fast
0.65
S&P 500 (US Large Cap)
Maximum Drawdown
-16.23%
αc Multi-Asset Opportunities IV Slow/Fast
-55.2%
S&P 500 (US Large Cap)

Metrics

Metric αc Multi-Asset Opportunities IV Slow/Fast S&P 500 (US Large Cap)
Initial Balance $10,000 $10,000
Final Balance $5,418,852 $876,059
Returns
Month-To-Date 1.32% 2.94%
Year-To-Date 4.52% 18.25%
3M -1.58% 5.54%
6M 1.12% 15.19%
Annual Return (1Y) 15.96% 38.8%
Annual Return (3Y) 14.33% 18.13%
Annual Return (5Y) 12.54% 17.33%
Annual Return (10Y) 12.08% 15.16%
Annual Return (All) 15.04% 10.47%
Enh Ann Return 15.33% 11.89%
Best Year 38.08% 38.03%
Worst Year -9.33% -36.81%
Risk
Annual Volatility 9.79% 17.73%
Max Drawdown -16.23% -55.2%
Sharpe Ratio 1.48 0.65
Sortino Ratio 2.18 0.92
Enhanced Sortino 2.97 1.37

  • 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 August 1976.
  • 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 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.

Chart

Table

Year αc Multi-Asset Opportunities IV Slow/Fast S&P 500 (US Large Cap) Won
1976 5.96% 4.17%
1977 5.14% -11.68%
1978 10.09% 0.77%
1979 22.48% 11.67%
1980 15.61% 28.17%
1981 2.3% -8.47%
1982 32.99% 19.3%
1983 18.92% 17.15%
1984 5.55% 3.69%
1985 35.54% 22.71%
1986 17.72% 9.31%
1987 4.08% 4.7%
1988 14.4% 16.22%
1989 19.78% 31.37%
1990 -4.55% -3.33%
1991 30.96% 30.19%
1992 3.94% 8.21%
1993 33.45% 8.75%
1994 0.21% 0.4%
1995 24.21% 38.03%
1996 14.92% 22.55%
1997 16.9% 33.48%
1998 30.69% 28.69%
1999 37.8% 20.39%
2000 9.27% -9.73%
2001 -9.33% -11.75%
2002 -0.46% -21.59%
2003 38.08% 28.18%
2004 17.58% 10.7%
2005 14.4% 4.83%
2006 18.98% 15.85%
2007 23.35% 5.14%
2008 10.94% -36.81%
2009 32.79% 26.37%
2010 19.06% 15.06%
2011 5.49% 1.89%
2012 16.64% 15.99%
2013 12.68% 32.31%
2014 12.67% 13.46%
2015 -0.21% 1.25%
2016 16% 12%
2017 15.95% 21.7%
2018 -3.92% -4.56%
2019 14.33% 31.22%
2020 35.46% 18.37%
2021 4.52% 18.25%

αc Multi-Asset Opportunities IV Slow/Fast had 41 positive years and 5 negative years. That's a positive ratio of 89%.

S&P 500 (US Large Cap) had 38 positive years and 8 negative years. That's a positive ratio of 83%.

αc Multi-Asset Opportunities IV Slow/Fast had a better yearly return 65% 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
1976 0% 0% 0% 0% 0% 0% 0% 0% 1.3% 0.2% 0.8% 3.6% 5.8%
1977 -2.2% -0.3% 0.3% 0.7% 0.3% 0.8% -0.7% 1.6% 1.9% 1.2% -0.2% 1.8% 5.1%
1978 -0.4% 0.6% 1.3% -0.6% 5.5% -0.3% 4.1% 4.2% -2.6% -6.6% -2.5% 7.8% 9.7%
1979 1.7% 0% 2% 0.5% 2.4% 2.7% 2.7% 4.4% 0.6% -5.8% 4.9% 4.7% 20.4%
1980 4% -1.8% -10.7% 1.8% 2.7% 11.9% 3.6% 2.6% 2% -1.5% 2.8% -1.3% 15.5%
1981 0.6% -0.3% 2.8% -0.4% 1.3% -1.4% -1% -3.9% -1.9% 0.3% 8.5% -1.9% 2.3%
1982 1.3% -0.9% 2.2% 3% 0.9% -3% 0.2% 6.3% 0.8% 10.3% 6.9% 1.7% 29.2%
1983 6% 2% 2.6% 4.6% 3.3% 2.4% -1.9% -1.7% 1.6% -2.6% 2.3% -0.6% 17.5%
1984 0.3% 1.2% 1.2% -0% -1.7% 0.4% -1.4% 1.9% 0.8% 1% 0.5% 1.4% 5.4%
1985 4.6% 1.1% 0% 1.4% 5.9% 1.2% 3.5% 2.4% -0.3% 4.4% 3.5% 3.4% 30.5%
1986 1% 5.2% 5% 2.9% -1.7% 1.5% -2.8% 4.1% -2.6% 1.9% 1.4% 1% 16.4%
1987 2.3% 4.2% 2.2% 1% 0.4% 0.9% 3.1% 2.6% -1% -12.2% 1.1% 0.5% 4.4%
1988 3% 1.8% 3.4% 2.1% 1.7% 1.6% -2.2% -2.1% 3.4% -0.8% 0.5% 1.3% 13.5%
1989 1% 0.1% 3.4% 7.1% -0.6% -4.5% 4.5% 1.6% 3.6% -0% -0.7% 3.3% 18.1%
1990 2.5% -0% -6.9% 1.6% 5.2% 2.9% 4.1% -8.4% -6.9% 0.7% 1.3% 0.4% -4.5%
1991 4.7% 5.2% 3.3% 1.1% 3.6% -3.2% 2.7% 2.5% -0.5% 2.1% 0.9% 5.2% 27.2%
1992 3.6% 2.2% -1% -1.2% 0.2% -2.9% 0.2% -1% 0.4% -1.1% 2.6% 2.1% 4%
1993 2% -0.4% 1.4% -2.1% 5.8% 1.1% 2.5% 5.7% 0% 5.2% 0.9% 7.7% 29%
1994 2.4% -2.2% -2.9% 0.6% 3.1% -1.5% 4% 4.6% -2.1% 0.5% -2.7% -3% 0.4%
1995 -2.2% 3.6% 2.3% 2.6% 3.2% 3.7% 3.5% 1.2% 1.6% 1.3% 1.6% -0.4% 22.1%
1996 1.1% -0% -0.4% 3.8% 1.4% -0.5% -4.2% 1.3% 5.5% 0.9% 5.5% -0% 14.3%
1997 3.8% -2% -2.9% 3.7% 5.6% 1.4% 7.4% -1.6% 2.6% -2.5% 1.4% -0.7% 16.3%
1998 1.1% 4.6% 2.8% 1.5% -0.6% 4.3% 1.6% -8.5% 5.4% 3.9% 4.9% 7.1% 27.6%
1999 5% -4.4% 2.8% 5.5% -2.4% 5.8% -1.6% 1.3% 0.2% 4% 5.9% 11.3% 32.9%
2000 -2% 8.1% 1% -5.4% -3.5% 4.3% -0.8% 8.4% -3.9% 0.6% -0.1% 3.3% 10.8%
2001 1.2% -3.8% -1.6% -2% 2.1% -0.8% 1.4% -0.1% -2.5% -2.5% -2% 1.1% -9.4%
2002 0.9% 1.3% 3.4% 1.1% 1.2% -4.5% -4.7% 3.5% 3.6% -2.4% 0.6% -3.9% -0%
2003 6.1% 2.5% -3% 2.8% 7.6% -1% 3.1% 3.9% 0.7% 4.2% 0.9% 5.4% 32.8%
2004 1.3% 2.7% 1.4% -5.8% 0.8% 0.8% -1.8% 2.6% 3.7% 2.2% 5.6% 3.2% 16.7%
2005 -1.4% 5% -3% -0.6% 1.6% 1.8% 3.4% 0.7% 2.7% -3% 4.7% 2.2% 13.8%
2006 5.4% -0.6% 1.2% 4.8% -4.4% 0% 1.6% 1.3% 0.8% 3% 2.9% 1.8% 18.2%
2007 0.6% -0.3% 1.9% 3.2% 1.9% 1.1% 1.1% 0.6% 4.8% 8.2% -3.3% 1.9% 22.3%
2008 -4.5% 2.6% -2% -1.9% 3.5% -3.5% -2% 2.2% 0.6% 0.5% 11.6% 4.5% 11.1%
2009 -3.2% 2% 4.6% -2.1% 9.7% -1.4% 6.8% 1.3% 6.6% -2% 5.3% 1.9% 29.6%
2010 -3.6% 2.7% 4.4% 4.1% -3.9% -2.1% 3.3% -0.3% 7.9% 4.1% -1.3% 3.1% 18.3%
2011 -1.1% 4.1% 0.9% 3% -1.4% -2.3% 1.3% -3.1% 4% 2.8% 0.8% -3.3% 6.5%
2012 9.6% 1.9% 1% 0% -3.2% 1.5% 0.9% 2.4% 0.9% -1.4% 1.4% 1% 15.9%
2013 1.4% -0.9% 0.9% 2% 0.1% -3% 4.5% -1.9% 3.5% 2.6% 1.5% 1.6% 12.3%
2014 0.4% 3.7% -1% 0.9% 2.2% 3.1% -0.8% 4.1% -3% 1.7% 1.4% -0.5% 12.2%
2015 0.1% 3% -0.3% -1.1% 0.7% -1.4% 1.5% -3.8% -0.5% 3.4% 0.4% -1.9% 0.1%
2016 0.1% 8.6% -0.2% 2.1% -1% 2.9% 3.4% -0.9% 0.5% -1.7% 1.1% 0.5% 15.4%
2017 2.5% 2.6% 1% 1.5% 2.9% -1.5% 2.8% 1.5% -1% 1.1% 0.7% 0.9% 15%
2018 5.7% -2.6% -0.9% -1.3% 2.8% -0.5% 1.1% 2.8% -0.6% -5.9% 0.4% -4.3% -3.4%
2019 1.4% -0.3% 0.3% 1.8% -3.4% 6.3% -1.8% 2.3% -0.1% 2.2% 1.5% 3.5% 13.7%
2020 1.2% -2.1% 1.4% 6.1% 4.2% 3.1% 8.2% 2.7% -2.5% -0.7% 4.2% 5.8% 31.7%
2021 0.8% 0% 1.1% 3.4% 1.1% -3.3% 1.3% 0% 0% 0% 0% 0% 4.8%
Pos 80% 62.2% 68.9% 71.1% 73.3% 55.6% 68.9% 70.5% 64.4% 62.2% 82.2% 73.3% 91.3%
Avg 1.6% 1.3% 0.6% 1.3% 1.5% 0.6% 1.5% 1.2% 0.9% 0.5% 2% 1.9% 14.2%

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 Multi-Asset Opportunities IV Slow/Fast

start valley end Drawdown days
1980-01-22 1980-04-03 1980-07-01 -16.23% 161
2000-03-28 2000-05-23 2001-01-31 -15.63% 309
1987-08-27 1987-10-27 1988-06-16 -15.49% 294
1990-08-02 1990-10-16 1991-04-02 -15.06% 243
2006-05-11 2006-06-13 2006-11-07 -13.93% 180

The αc Multi-Asset Opportunities IV Slow/Fast 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.