Strategy: αc Compound Portfolio IV
Investment Objective
Aggressive Long-Term Capital Appreciation
Annualized Return
33%
Time
Horizon
5+ years
Rebalancing Frequency
N/A
About
A buy-and-hold portfolio consisting of a number of stable companies with high long-term growth.
Period: December 1997 - March 2021.
Compare with
S&P 500 (US Large Cap) (SP500.X)
-
αc Compound Portfolio IV
- Annualized Return: 33.01%
- Sharpe: 1.32
- Sortino: 1.98
S&P 500 (US Large Cap)- Annualized Return: 8.01%
- Sharpe: 0.49
- Sortino: 0.69
-
Chart
Metrics
Metric αc Compound Portfolio IV S&P 500 (US Large Cap) Initial Balance $10,000 $10,000 Final Balance $7,452,730 $59,651 Returns Month-To-Date -3.23% 0.28% Year-To-Date -5.55% 2.02% 3M 1% 5.8% 6M 4.87% 10.1% Annualized Return (1Y) 72.5% 25.75% Annualized Return (3Y) 44.92% 14.48% Annualized Return (5Y) 41.72% 16.12% Annualized Return (10Y) 32.58% 13.49% Annualized Return (All) 33.01% 8.01% Enh Ann Return 33.15% 9.8% Best Year 111.91% 32.31% Worst Year -28.62% -36.81% Risk Annual Volatility 23.87% 19.9% Max Drawdown -44.06% -55.2% Sharpe Ratio 1.32 0.49 Sortino Ratio 1.98 0.69 Enhanced Sortino 2.31 1.11
- 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 December 1997.
- Final balance: The amount of capital we've accrued over time as of March 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 23 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.
-
αc Compound Portfolio IV
- Max Drawdown: -44.06%
- Average recovery time of large downturns: 12 months
S&P 500 (US Large Cap)- Max Drawdown: -55.2%
- Average recovery time of large downturns: 31 months
-
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 Compound Portfolio IV
start valley end Drawdown days 2007-11-01 2009-03-09 2010-01-13 -44.06% 804 1998-07-21 1998-10-08 1998-11-23 -31.52% 125 2000-03-29 2000-12-20 2001-12-06 -31.2% 617 2018-09-14 2018-12-24 2019-05-03 -26.67% 231 2020-02-20 2020-03-16 2020-04-24 -24.89% 64 The αc Compound Portfolio IV took approximately 12 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 2018-09-21 2018-12-24 2019-04-12 -19.34% 203 1998-07-21 1998-08-31 1998-11-23 -19.03% 125 The S&P 500 (US Large Cap) took approximately 31 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.
-
αc Compound Portfolio IV
- Positive year ratio: 88%
- Outperformance ratio (vs. benchmark): 92%
S&P 500 (US Large Cap)- Positive year ratio: 79%
-
Chart
Table
Year αc Compound Portfolio IV S&P 500 (US Large Cap) Won 1997 0% 0% = 1998 111.91% 28.69% 1999 59.6% 20.39% 2000 -6.88% -9.73% 2001 39.67% -11.75% 2002 11.52% -21.59% 2003 84.36% 28.18% 2004 28.65% 10.7% 2005 27.66% 4.83% 2006 40.56% 15.85% 2007 36.74% 5.14% 2008 -28.62% -36.81% 2009 53.32% 26.37% 2010 35.49% 15.06% 2011 17.2% 1.89% 2012 36.33% 15.99% 2013 48.94% 32.31% 2014 13.09% 13.46% 2015 21.62% 1.25% 2016 17.45% 12% 2017 42.15% 21.7% 2018 16.46% -4.56% 2019 54.43% 31.22% 2020 89.69% 18.37% 2021 -5.55% 2.02% αc Compound Portfolio IV had 21 positive years and 3 negative years. That's a positive ratio of 88%.
S&P 500 (US Large Cap) had 19 positive years and 5 negative years. That's a positive ratio of 79%.
αc Compound Portfolio IV had a better yearly return 92% 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 1997 0 0 0 0 0 0 0 0 0 0 0 0 0 1998 1.4% 22% -1.4% 8.5% -2.9% 18.6% -1.8% -22% 18% 3.1% 13.8% 31.1% 82.3% 1999 25.5% -3.4% -3.8% 9.1% -6.4% 6.6% 1.9% -6.5% 0.3% 6.1% 15.8% 7.2% 53.8% 2000 -4.8% 26.5% 0.1% -5.3% -9.6% -5.3% -2% 12.1% -5.3% -8.4% -5.2% 5.3% -2.1% 2001 4.2% -3.1% 1.6% 4.8% 5.7% 0.7% -3.1% 0.5% -6.2% 9% 10.9% 10.4% 36.8% 2002 3.7% 2.6% 4.3% 0.2% -0.1% -4.4% -10.7% 2.5% -3% 4.9% 4.5% 7.8% 14.6% 2003 0.1% -4% -0.4% 12.6% 11% 0.5% 9.6% 6.6% 7.1% 15.9% 2.6% 2.9% 63.4% 2004 6.9% 2.3% 1.1% -1.4% 3.2% 5.5% -9.8% 0.8% -1.5% 8.4% 8.3% 3.1% 27.1% 2005 -1.9% -0.2% -3.8% -4.8% 5.9% 4.7% 8% 3.8% 6.1% 0.5% 10.7% -2.9% 26.1% 2006 2% 2.7% 5.3% -0.3% -4.2% 0.6% 3.8% 3.5% 4.3% 8.4% 2.9% 6.1% 35.3% 2007 0.7% -2.1% 5.8% 12.4% 7.9% -4% 0.9% 11% 5.1% 6.4% -9.8% -0.3% 34% 2008 -5.3% -4.6% 2.8% 4.8% 2% -7.6% 8.2% 3.6% -6.8% -16.6% -10.9% 0.4% -27.8% 2009 -3.3% -3.5% 5.4% 15.8% 1.5% 7.4% 7.3% 5.5% 0.8% 1.2% 2.7% 4.1% 45.6% 2010 -2.6% 1.8% 8.8% 8.1% -3.1% -0.9% 1.1% -4.2% 9.4% 5.1% 3.6% 4.8% 32.2% 2011 1.9% 3.8% 1.7% 5.6% -0.4% 0.2% 1.4% -2.7% -3.3% 9.7% 0.7% -1.9% 18.8% 2012 6.2% 5.4% 7.8% 1% -2.9% 5.6% -2.3% 4.6% 6.5% -2.1% 0.7% 1.5% 32% 2013 4.9% 0.6% 3.4% -0.6% 3.2% 1.3% 7.6% 0.9% 8.6% 4.6% 3.7% 2.6% 40.8% 2014 -3.5% 2% 0.8% -3.5% -0.5% 2% -1.2% 4.1% -0.9% 8.8% 3.1% 1.7% 13.3% 2015 -0.1% 4.8% 0.8% -4.5% 1.1% 1.8% 4.1% -2.9% 4.1% 7.9% 4.4% -1.2% 20.8% 2016 -5.6% -3.4% 6.7% -0.2% 5% 3.1% 4.8% 2.8% -0.1% -2.3% 5.7% 0.5% 17.5% 2017 0.4% 5.3% 4.8% 3.6% 2.8% -0.9% 5.1% 0.7% 5.9% 5.3% 1.3% 1.6% 35.8% 2018 6.7% -0.8% 3.6% 5.1% 9.1% 5.3% 0.4% 10.8% -3.9% -7.8% -2.6% -8.4% 17.4% 2019 6.6% 7.5% 3% 6.6% -2.4% 8.9% 7.8% 2.2% -2% 1.7% 2.6% 2.5% 44.7% 2020 5.4% -4.2% -0.3% 17.9% 16.6% 8.8% 19.6% -5% 3.7% 4.4% -4% 6.9% 70.4% 2021 1% -3.4% -3.2% 0 0 0 0 0 0 0 0 0 -5.2% Pos 66.7% 54.2% 75% 65.2% 56.5% 73.9% 69.6% 73.9% 56.5% 78.3% 78.3% 78.3% 87.5% Avg 2.1% 2.3% 2.3% 4.2% 1.8% 2.5% 2.6% 1.4% 2% 3.2% 2.9% 3.7% 30.3%