Strategy: αc Compound Portfolio IV
Investment Objective
Aggressive Long-Term Capital Appreciation
Annualized Return
33.7%
Time
Horizon
5+ years
Rebalancing Frequency
N/A
A buy-and-hold portfolio consisting of a number of stable companies with high long-term growth.
About
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.
Performance
| Portfolio + Compare with | Initial Balance | Final Balance | Annual Return | Annual Volatility | Best Year | Worst Year | Max Drawdown | Sharpe Ratio | Sortino Ratio |
|---|---|---|---|---|---|---|---|---|---|
| $10,000 | $7,789,205 | 33.7% | 23.9% | 111.9% | -28.6% | -44.1% | 1.34 | 2.01 | |
| $10,000 | $56,283 | 7.8% | 20% | 32.3% | -36.8% | -55.2% | 0.48 | 0.68 |
- 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 December 2020.
- 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.
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
| Drawdown | Peak date | Valley date | Recovery date | Duration |
|---|---|---|---|---|
| -44.06% | 2007-10-31 | 2009-03-09 | 2010-01-13 | 576 days |
| -31.84% | 1998-07-20 | 1998-10-08 | 1998-11-23 | 91 days |
| -31.16% | 2000-03-28 | 2000-12-20 | 2001-12-06 | 443 days |
| -26.67% | 2018-09-13 | 2018-12-24 | 2019-05-03 | 167 days |
| -24.93% | 2020-02-19 | 2020-03-16 | 2020-04-24 | 48 days |
The αc Compound Portfolio IV took approximately 9 months on average to recover from a major drawdown.
S&P 500 (US Large Cap)
| Drawdown | Peak date | Valley date | Recovery date | Duration |
|---|---|---|---|---|
| -55.19% | 2007-10-09 | 2009-03-09 | 2012-08-16 | 1268 days |
| -47.52% | 2000-03-24 | 2002-10-09 | 2006-10-26 | 1720 days |
| -34.1% | 2020-02-19 | 2020-03-23 | 2020-08-18 | 130 days |
| -19.35% | 2018-09-20 | 2018-12-24 | 2019-04-12 | 147 days |
| -19.03% | 1998-07-20 | 1998-08-31 | 1998-11-23 | 91 days |
The S&P 500 (US Large Cap) took approximately 22 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.
Annual Returns
Monthly Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1997 | - | - | - | - | - | - | - | - | - | - | - | 0 |
| 1998 | 1.4% | 22% | -1.4% | 8.5% | -2.9% | 18.6% | -1.8% | -22% | 18% | 3.1% | 13.3% | 31.7% |
| 1999 | 25.4% | -3.4% | -3.9% | 9.1% | -6.4% | 6.7% | 1.9% | -6.6% | 0.3% | 6.1% | 15.8% | 7.1% |
| 2000 | -4.5% | 26.4% | 0.2% | -5.3% | -10.7% | -4.1% | -2% | 12.1% | -5.3% | -8.5% | -5.2% | 5.3% |
| 2001 | 4.2% | -3.1% | 1.6% | 4.9% | 5.7% | 0.7% | -3.1% | 0.5% | -6.2% | 9% | 10.9% | 10.4% |
| 2002 | 3.7% | 2.6% | 4.3% | 0.2% | 0 | -4.3% | -10.8% | 2.5% | -3% | 4.9% | 4.5% | 7.6% |
| 2003 | 0.2% | -4% | -0.4% | 12.6% | 11% | 0.6% | 9.5% | 6.6% | 7.1% | 16% | 2.6% | 2.9% |
| 2004 | 6.9% | 2.3% | 1.1% | -1.4% | 3.2% | 5.5% | -9.8% | 0.8% | 3.8% | 8.5% | 8% | 3.3% |
| 2005 | -2% | -0.3% | -3.8% | -4.8% | 5.9% | 4.7% | 8% | 3.8% | 6.1% | 0.5% | 10.7% | -2.9% |
| 2006 | 2% | 2.7% | 5.3% | -0.3% | -4.2% | 0.6% | 3.8% | 3.5% | 4.3% | 8.4% | 2.9% | 6.1% |
| 2007 | 0.7% | -2.1% | 5.8% | 12.4% | 7.9% | -4% | 0.9% | 11% | 5.1% | 6.4% | -9.8% | -0.3% |
| 2008 | -5.3% | -4.6% | 2.8% | 4.8% | 2% | -7.6% | 8.2% | 3.6% | -6.8% | -16.6% | -10.9% | 0.4% |
| 2009 | -3.3% | -3.5% | 5.4% | 15.9% | 1.4% | 7.4% | 7.3% | 5.5% | 0.8% | 1.2% | 2.7% | 4.1% |
| 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% |
| 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% |
| 2012 | 6.2% | 5.4% | 7.8% | 1.1% | -2.9% | 5.6% | -2.3% | 4.6% | 6.5% | -2.1% | 0.7% | 1.5% |
| 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% |
| 2014 | -3.5% | 2% | 0.8% | -3.5% | -0.5% | 2% | -1.2% | 4.1% | -0.9% | 8.8% | 3.1% | 1.7% |
| 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% |
| 2016 | -5.6% | -3.4% | 6.7% | -0.2% | 5% | 3.1% | 4.8% | 2.8% | -0.1% | -2.3% | 5.7% | 0.5% |
| 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% |
| 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% |
| 2019 | 6.6% | 7.5% | 3% | 6.6% | -2.4% | 8.9% | 7.8% | 2.2% | -2% | 1.7% | 2.6% | 2.5% |
| 2020 | 5.4% | -4.2% | -0.4% | 17.8% | 16.6% | 8.8% | 19.6% | -5.1% | 3.6% | 4.4% | -4.1% | 0 |
| Pos | 65.2% | 56.5% | 78.3% | 65.2% | 59.1% | 73.9% | 69.6% | 73.9% | 60.9% | 78.3% | 78.3% | 77.3% |
| Avg | 2.2% | 2.5% | 2.5% | 4.2% | 1.9% | 2.6% | 2.6% | 1.4% | 2.3% | 3.2% | 2.8% | 3.6% |