αc Multi-Asset Opportunities IV Slow/Fast (BIM)

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
15.2%
αc Multi-Asset Opportunities IV Slow/Fast (BIM)
10.47%
S&P 500 (US Large Cap)
Sharpe Ratio
1.49
αc Multi-Asset Opportunities IV Slow/Fast (BIM)
0.65
S&P 500 (US Large Cap)
Maximum Drawdown
-16.79%
αc Multi-Asset Opportunities IV Slow/Fast (BIM)
-55.2%
S&P 500 (US Large Cap)

Metrics

Metric αc Multi-Asset Opportunities IV Slow/Fast (BIM) S&P 500 (US Large Cap)
Initial Balance $10,000 $10,000
Final Balance $5,771,062 $876,059
Returns
Month-To-Date 0.98% 2.94%
Year-To-Date 4.36% 18.25%
3M -3.22% 5.54%
6M 1.3% 15.19%
Annual Return (1Y) 15.81% 38.8%
Annual Return (3Y) 16.52% 18.13%
Annual Return (5Y) 14.03% 17.33%
Annual Return (10Y) 11.8% 15.16%
Annual Return (All) 15.2% 10.47%
Enh Ann Return 15.33% 11.89%
Best Year 37.71% 38.03%
Worst Year -4.55% -36.81%
Risk
Annual Volatility 9.8% 17.73%
Max Drawdown -16.79% -55.2%
Sharpe Ratio 1.49 0.65
Sortino Ratio 2.19 0.92
Enhanced Sortino 3.01 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 (BIM) S&P 500 (US Large Cap) Won
1976 6.54% 4.17%
1977 6.72% -11.68%
1978 11.91% 0.77%
1979 23.69% 11.67%
1980 16.03% 28.17%
1981 2.25% -8.47%
1982 34.51% 19.3%
1983 18.01% 17.15%
1984 7.45% 3.69%
1985 35.63% 22.71%
1986 16.19% 9.31%
1987 3.79% 4.7%
1988 15.06% 16.22%
1989 22.36% 31.37%
1990 -1.25% -3.33%
1991 21.5% 30.19%
1992 5.69% 8.21%
1993 31.63% 8.75%
1994 0% 0.4%
1995 26.89% 38.03%
1996 9.51% 22.55%
1997 16.29% 33.48%
1998 32.39% 28.69%
1999 37.71% 20.39%
2000 8.91% -9.73%
2001 -3.75% -11.75%
2002 4.13% -21.59%
2003 36.94% 28.18%
2004 14.92% 10.7%
2005 14.02% 4.83%
2006 19.55% 15.85%
2007 21.28% 5.14%
2008 11.3% -36.81%
2009 31.86% 26.37%
2010 20.6% 15.06%
2011 5.96% 1.89%
2012 11.97% 15.99%
2013 10.54% 32.31%
2014 12.73% 13.46%
2015 -4.55% 1.25%
2016 16.21% 12%
2017 17.63% 21.7%
2018 -1.77% -4.56%
2019 17.98% 31.22%
2020 36.45% 18.37%
2021 4.36% 18.25%

αc Multi-Asset Opportunities IV Slow/Fast (BIM) had 42 positive years and 4 negative years. That's a positive ratio of 91%.

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 (BIM) 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
1976 0% 0% 0% 0% 0% 0% 0% 0% 1.3% -0.3% 0.8% 4.6% 6.4%
1977 -2.3% -0.3% 1.1% 0.6% 0.3% 1.3% -0.9% 1.9% 1.9% 1.2% -0.2% 2% 6.5%
1978 -0.9% 0.5% 1.3% 0.2% 5.6% -0.3% 4.1% 4.5% -2.8% -4.9% -2.7% 7.3% 11.4%
1979 1.7% 0.6% 1.9% 0.5% 2.4% 2.7% 2.7% 4.4% 0.6% -5.3% 4.9% 4.7% 21.3%
1980 4% -1.8% -9% 1.4% 2.7% 10.6% 3.6% 2.6% 2% -1.5% 2.8% -1.3% 15.8%
1981 0.6% -0.3% 2.8% -0.4% 1.3% -1.4% -1% -3.9% -0.9% 0.2% 7.5% -1.9% 2.3%
1982 1.3% -0.5% 1.8% 3% -0.6% -3.2% 0.4% 6% 3.8% 10.2% 7% 1.6% 30.2%
1983 5.8% 1.9% 2.6% 4.6% 3.3% 2.4% -1.9% -1.7% 1.6% -3.2% 2.3% -0.6% 16.7%
1984 1.2% 1.3% 1.2% -0% -1.7% 0.4% -0.6% 1.8% 0.8% 1% 0.5% 1.4% 7.2%
1985 4.6% 1.1% 0% 1.4% 5.4% 1.2% 3.5% 2.4% 0.2% 4.3% 3.5% 3.4% 30.5%
1986 0.6% 4% 5.1% 2.9% -1.6% 1.7% -3.1% 4.1% -2.6% 1.9% 1.4% 1% 15.1%
1987 2.7% 4.4% 2.2% -0% 0.2% 0.9% 3.1% 3% -1% -12.3% 1.1% 0.5% 4.1%
1988 3% 1.8% 2% 2.2% 1.5% 1.9% -2% -2.1% 3.4% 0.8% 0.3% 1.5% 14.1%
1989 1.9% -0.1% 3.4% 7.1% 0.7% -4.4% 3.5% 1.9% 3.4% 0.1% -0.8% 4.2% 20.2%
1990 2.3% -0% -6.9% 1.6% 5.2% 2.9% 4.1% -8.4% -2.4% -0.2% 1.3% 0.2% -1.1%
1991 -2.8% 5.8% 3.3% 1.1% 3.6% -2.8% 3.3% 2.7% -0.6% 2.1% -0.8% 5.2% 19.7%
1992 3.6% 2.2% -1% -1.2% 0.8% -2.8% 0.2% -1% 0.4% -0.5% 2.9% 2.1% 5.7%
1993 2% -0.4% 1.4% -2.1% 4.8% 0.9% 2.5% 5.7% 0% 5.2% 0.9% 7.5% 27.6%
1994 2.4% -2.2% -2.9% 0.6% 3.1% -1.5% 4% 4.6% -1.7% -0% -2.8% -3% 0.2%
1995 -0.5% 4.2% 2% 2.6% 3.2% 4.2% 3.2% 1.2% 1.6% 1.2% 1.7% -0.4% 24.3%
1996 -0.7% 0.1% -0.4% 0% 1.3% -1.5% -3.6% 1.5% 5.5% 1.6% 5.7% -0% 9.4%
1997 3.8% -2.7% -3.9% 4% 4.1% 1.7% 7.8% -1.6% 2.6% -1% 1.6% -0.7% 15.7%
1998 1.1% 5.3% 2.6% 1.3% -1.3% 4.4% 1.6% -8.5% 5.4% 3.9% 4.9% 8.8% 28.9%
1999 4.6% -4.4% 3.2% 5.5% -2.4% 5.9% -1.6% 1.3% 0.2% 4% 5.9% 11.3% 32.8%
2000 -2% 8.1% 1% -6.7% -3.5% 4.3% -0.8% 8.4% -2.4% 0.1% -0.1% 3.3% 10.4%
2001 1.2% -1.4% -0.6% -2.1% 2.1% -0.8% 1.4% 0.8% -1.8% -2.3% -1.1% 0.7% -3.5%
2002 1.3% 1.3% 3.4% 1.1% 1.2% -4.5% -4.6% 3.6% 3.6% -2.4% 0.6% -0.1% 4.5%
2003 4.7% 2.5% -2.8% 3.5% 7.3% 0.2% 3.9% 1.2% 0.8% 4.2% 1.2% 5.6% 32%
2004 1.2% 2.7% 1.4% -3.9% -0.3% 0.1% -2% 2.6% 3.2% 1.8% 5.6% 1.8% 14.3%
2005 -1.4% 5% -3% -0.6% 1.6% 1.6% 3.3% 0.1% 3.1% -3% 4.7% 2.2% 13.5%
2006 5.6% -0.8% 1.2% 4.8% -4.4% -0.8% 1.8% 1.3% 0.8% 3% 3.8% 2% 18.6%
2007 -0.7% -0.4% 1.9% 2.7% 2% 1.1% 1.1% 0.3% 4.5% 8.4% -3.5% 2.5% 20.6%
2008 -4.5% 2.6% -4% 0.8% 3.5% -4.4% -1.5% 2.2% 0.6% 0.5% 11.6% 4.5% 11.5%
2009 -3.2% 2% 4.6% -2.1% 10.6% -1% 5.9% 1.1% 6.3% -2.2% 5.3% 1.5% 28.9%
2010 -2.8% 2.7% 4.5% 4.5% -3.9% -2.1% 3.3% -0.3% 7.9% 4.1% -1.3% 3.1% 19.5%
2011 -1.2% 3.2% 1.6% 3.3% -1.8% -2% 1.4% -3.3% 7.3% 2.9% 0.5% -5.4% 6.9%
2012 8.4% 2% 1.7% 0% -3.2% 1.5% 0.9% 2.4% 0.6% -1.2% -2.2% 0.9% 11.8%
2013 1% -0.9% 0.3% 1.9% 0.1% -3% 4.5% -1.9% 3.5% 2.8% 1% 1% 10.4%
2014 0.3% 3.8% -1% 0.5% 1.8% 3.1% -0.3% 4.5% -2.9% 1.7% 1.4% -0.5% 12.3%
2015 0.1% 3% -0.3% -1.1% 0% -1.5% 1.8% -3.7% -1.4% 1.3% -0.3% -2.2% -4.4%
2016 -0.1% 8.7% 0.5% 1.8% -0.5% 2.9% 3.4% -0.9% 0.5% -1.7% 0.9% -0.1% 15.6%
2017 2.4% 2.6% 1% 1.6% 2.9% -1.5% 2.8% 1.6% -0.9% 0.9% 0.6% 2.4% 16.4%
2018 5.9% -2.6% -0.9% -1.5% 3% -0.5% 1.1% 2.8% -0.6% -5.9% -0.3% -1.7% -1.3%
2019 2.4% -0.5% 0.7% 2% -3.4% 5.8% -0.1% 2.3% 0.2% 2.4% 1.4% 3.5% 16.8%
2020 -0.3% -2.8% -0.3% 9.6% 5.2% 3.4% 8.2% 2.7% -2.5% -0.7% 4.5% 5.5% 32.9%
2021 0.6% 1.8% 1.1% 3.5% 0% -3.6% 1% 0% 0% 0% 0% 0% 4.6%
Pos 68.9% 62.2% 68.9% 73.3% 71.1% 55.6% 68.9% 72.7% 68.9% 60% 73.3% 71.1% 91.3%
Avg 1.3% 1.4% 0.6% 1.3% 1.4% 0.5% 1.5% 1.1% 1.2% 0.5% 1.9% 2% 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 Multi-Asset Opportunities IV Slow/Fast (BIM)

start valley end Drawdown days
2000-03-28 2000-05-23 2002-03-06 -16.79% 708
2020-02-21 2020-03-18 2020-04-09 -16.64% 48
1987-08-27 1987-10-27 1988-12-05 -15.53% 466
1980-01-22 1980-04-03 1980-06-30 -14.93% 160
2006-05-11 2006-06-13 2006-11-13 -13.93% 186

The αc Multi-Asset Opportunities IV Slow/Fast (BIM) took approximately 10 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.