αc Multi-Asset Defensive IV (CH)

New York Stock Exchange
20 August 1979  –  4 October 2024
Compare with
S&P 500 (US Large Cap) (SP500.X)

Performance

Annualized Return
18.91%
αc Multi-Asset Defensive IV (CH)
11.23%
S&P 500 (US Large Cap)
Sharpe Ratio
0.89
αc Multi-Asset Defensive IV (CH)
0.68
S&P 500 (US Large Cap)
Maximum Drawdown
-54.58%
αc Multi-Asset Defensive IV (CH)
-55.19%
S&P 500 (US Large Cap)

Metrics

Metric αc Multi-Asset Defensive IV (CH) S&P 500 (US Large Cap)
Initial Balance $10,000 $10,000
Final Balance $24,919,834 $1,222,838
Returns   [View more details]
Month-To-Date 0.93% -0.14%
Year-To-Date 9.59% 21.31%
3M 3.71% 3.9%
6M 5.22% 10.67%
Annual Return (3Y) 3.14% 11.67%
Annual Return (5Y) 11.98% 15.97%
Annual Return (All) 18.91% 11.23%
Risk   [View more details]
Annual Volatility 21.79% 18%
Max Drawdown -54.58% -55.19%
Sharpe Ratio 0.89 0.68
Sortino Ratio 1.73 0.96
Adjusted Sortino (S/√2) 1.22 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 August 1979.
  • Final balance: The amount of capital we've accrued over time as of October 2024.
  • 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.

Annualized Returns

Annual Return 1y Annual Return 3y Annual Return 5y Annual Return 10y Annual Return 20y Annual Return
αc Multi-Asset Defensive IV (CH) 11.6% 3.14% 11.98% 13.32% 17.72% 18.91%
S&P 500 (US Large Cap) 36.33% 11.67% 15.97% 13.25% 10.55% 11.23%

Annual Returns

Year αc Multi-Asset Defensive IV (CH) S&P 500 (US Large Cap) Won
1979 1.86% 3.91%
1980 21.1% 31.11%
1981 19.32% -8.55%
1982 49.94% 19.25%
1983 25.01% 17.07%
1984 24.31% 3.67%
1985 20.17% 22.6%
1986 13.06% 9.3%
1987 17.24% 4.69%
1988 20.91% 16.27%
1989 38.7% 31.4%
1990 -10.37% -3.35%
1991 23.88% 30.2%
1992 16.54% 8.21%
1993 45.9% 8.81%
1994 -0.72% 0.4%
1995 15.5% 38.05%
1996 9.33% 22.5%
1997 26.18% 33.48%
1998 15.43% 28.69%
1999 47.39% 20.39%
2000 15.86% -9.74%
2001 -2.99% -11.76%
2002 11.92% -21.58%
2003 51.33% 28.18%
2004 21.04% 10.7%
2005 29.94% 4.83%
2006 20.94% 15.85%
2007 32.46% 5.15%
2008 19.26% -36.8%
2009 42.53% 26.35%
2010 6.41% 15.06%
2011 18.34% 1.89%
2012 25.16% 15.99%
2013 9.74% 32.31%
2014 13.51% 13.46%
2015 0.8% 1.23%
2016 25.16% 12%
2017 15.99% 21.71%
2018 6.93% -4.57%
2019 25.33% 31.22%
2020 35.6% 18.33%
2021 18.19% 28.73%
2022 -9.98% -18.18%
2023 7.88% 26.18%
2024 9.59% 21.31%

αc Multi-Asset Defensive IV (CH) 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 Defensive IV (CH) had a better yearly return 61% of the time compared to S&P 500 (US Large Cap).

Monthly Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
1979 - - - - - - - 1.1% 1.8% -5.4% 2% 2.5% 1.9%
1980 4.5% 0.2% -8.3% -2.5% -0.1% 3.8% 4.8% 1.6% 3.5% 6.1% 11% -3.9% 21.1%
1981 -0.6% 2.4% 3.8% 1.2% 4.2% 2.5% -0.7% -0.7% -3.4% 0.5% 8.6% 0.6% 19.3%
1982 5.1% 2.5% 3.2% 4% 2.3% 3.1% 1.5% 7.1% 0.9% 8.2% -0.8% 4.5% 49.9%
1983 7.6% -2.5% 1.7% 3.4% 2.2% 4.5% 0.8% 1.3% 2.2% -0.7% 4.3% -1.9% 25%
1984 0.9% -4.6% 0.7% 2.4% 0.3% 2.5% 2.9% 5.8% 3.9% -1.6% 4.2% 5.2% 24.3%
1985 7% 1.2% -5.5% 2.2% 1.9% 1.7% 0.9% 1.7% 1.4% 1.3% 3.6% 1.7% 20.2%
1986 0.8% 4.9% 8% 0.7% 2.5% 2.8% -2.4% 1.1% -5% 0.4% 3.1% -3.9% 13.1%
1987 0.7% 4.2% 4.5% 2.5% 0.6% 2.5% 3.5% 4.8% -2% -7.2% 1.6% 0.9% 17.2%
1988 2.7% 2.9% 6.8% 0.9% 1.5% 7.5% 1.3% -4.5% -0.4% -1.5% 0.9% 1.6% 20.9%
1989 2.5% -0.5% 6.7% 14.3% 4.6% 0.6% -0.3% 2.1% 3.3% -2% 0.6% 2.2% 38.7%
1990 -0% -1.4% -7.5% -0% 0.8% 1.1% 4.3% -11% -0.3% -0.2% 2.2% 2.2% -10.4%
1991 -4.5% 10.7% 8.3% 2.1% 8.4% -2.1% 0% 0.9% -0.7% -1% -2.8% 3.6% 23.9%
1992 4.5% 2.9% 0.9% -0.6% 2.4% -6.3% 1.7% 1.1% 1.1% -0.4% 3.5% 5% 16.5%
1993 2.8% 1.5% -0.5% 5% 7% 5.4% 0.9% 4.7% 1.8% 8.8% -0% 1.5% 45.9%
1994 4.2% -3.2% 1.3% -2.5% 0.2% -2.3% 1.9% 6.8% -1% -0.8% -5% 0.1% -0.7%
1995 1.8% 1.8% 0.6% 1.2% 2.5% -0.3% 3.9% -0.9% 0.2% -1.3% 2.4% 2.8% 15.5%
1996 3.6% -1.1% 2.4% 2.7% -0.5% -0.7% -5.9% -1.4% 3.9% 2.3% 3.1% 0.9% 9.3%
1997 8.2% 3.9% -1.8% -0.1% 7.9% 6.4% 9.2% -8.3% -0.9% -3.7% 1.6% 2.7% 26.2%
1998 1.3% -0.2% 4.2% -0.6% -1.5% 1.5% -0.6% 0.9% 3.4% 0.4% 4.3% 1.7% 15.4%
1999 3% 1.3% 6.4% 11% -2.2% 8.4% -6.6% 0.6% -2.1% 2.4% 7.6% 11.4% 47.4%
2000 -2.6% 5.1% 3.6% 0.6% -1.6% -1.4% 4% 5.4% 2.3% 5.9% -0.5% -5.3% 15.9%
2001 -1.5% 1% 0.5% -2.5% 6.1% 0.1% -0.9% -4.1% 1.5% -2.1% -3.2% 2.6% -3%
2002 3.3% 1.3% -1.2% -5.7% 5.1% 0.2% 1.3% 3.8% 3.6% -2.4% 7% -4.2% 11.9%
2003 6.8% 1.8% -3% 0.6% 7.2% 3.7% 4.5% 4.5% 0.9% 7.8% 1.5% 6.4% 51.3%
2004 2.6% 3.2% 0.1% -5.1% -1.4% 3.2% -3.2% 2.9% 3.5% 2.5% 7.9% 3.8% 21%
2005 -1% 6.3% -4.6% 2.5% 4.1% 4.7% 5.3% -0.6% 6.7% -3.9% 3.9% 4% 29.9%
2006 5.2% 0.8% -0.3% 5.5% -7.4% 0% 1.8% 2.2% 1.1% 3.7% 4.2% 3% 20.9%
2007 0.6% -1.4% 3% 4.1% 4.7% 1.4% 0.9% 0.8% 8.6% 8.2% -6.5% 5% 32.5%
2008 4.5% 2.2% -1.4% -2.5% 3% -9.2% -3.2% 2.7% 3.7% 12.7% 11.8% -4.4% 19.3%
2009 5.1% 3.4% -0.6% -1.8% 6.2% -0.8% 9.7% 1.7% 6.9% -2.1% 6.6% 2.5% 42.5%
2010 -4.5% 5.7% 7% 1.6% -0.7% 3.9% -7.5% -1.9% -2.8% 2.7% -2.5% 6.5% 6.4%
2011 2.6% 3.5% -0.5% 2.6% -2.2% -1.6% -1.3% 4.2% 9.4% -0.3% 5.5% -4.1% 18.3%
2012 6.8% 1.7% 1% 0.8% 8.6% -1.9% 3.2% -1.9% 0.9% -2% 1% 5.1% 25.2%
2013 2.4% 0.9% 3% -0.7% 1.7% -6.2% 0.1% -1.5% 1.1% 4.4% 2.5% 2.1% 9.7%
2014 -3.8% -0.7% 1.4% 0.2% 2.7% 1.3% 1.9% 5.4% 0.3% 0.8% 1.3% 2.4% 13.5%
2015 10.1% -1% 2.5% -7.2% -1% -2.6% 2.5% -2.4% 0.7% -0.6% 3.8% -3.1% 0.8%
2016 3.5% 9.1% -3.1% 2% -1.6% 8.3% 1.7% -0.6% 1% -0.4% 2.4% 0.9% 25.2%
2017 -0.7% 3.6% -0.3% -0.9% 1.7% 0.6% 3.9% 1.6% 0.8% 2.1% 1.3% 1.3% 16%
2018 6.6% -4.5% 1.4% -1.6% 0.9% -2.2% -1.3% 2.7% -0.1% 1.1% 0.1% 4.3% 6.9%
2019 2.1% 2.4% 3.2% 3.1% -5.5% 3.9% 1% 11.1% -1.5% -0.8% 4% 0.7% 25.3%
2020 -1.7% 6.7% 5.3% 8.3% 4.1% 0.2% 6.4% 4.8% -3.2% -0.6% -3.7% 5% 35.6%
2021 1.2% 2% 1.9% 5.3% 1.1% 1.9% 1.8% 0.9% -2.6% 1.1% 1.1% 1.3% 18.2%
2022 -4.4% 1.9% -0.4% 3.1% -3.1% 0.8% 0.3% 0.8% 0% -0.9% -2.9% -5.4% -10%
2023 3.1% -4.4% 5.2% 2% -0.3% -0.6% 3.4% -1.9% -0.8% -0.4% -2% 4.8% 7.9%
2024 1.2% -0.1% 3.7% -4.7% 2.2% 2.6% -0.6% 2.6% 1.7% 0.9% - - 9.6%
Pos 75.6% 71.1% 66.7% 64.4% 68.9% 68.2% 71.1% 69.6% 67.4% 47.8% 75.6% 80% 91.3%
Avg 2.3% 1.7% 1.4% 1.3% 1.8% 1.2% 1.3% 1.3% 1.2% 0.9% 2.2% 1.7% 19.4%

Other Return Metrics

Metric αc Multi-Asset Defensive IV (CH) S&P 500 (US Large Cap)
Cumulative Return 249098.34% 12128.38%
Enh Ann Return 19.33% 12.83%
Best Year 51.33% 38.05%
Worst Year -10.37% -36.8%
Best Month 14.3% 13.27%
Worst Month -11.02% -21.73%
Best Day 111.24% 14.52%
Worst Day -53.36% -20.46%
Win Ratio (Yearly) 91.3% 82.61%
Win Ratio (Quarterly) 79.67% 71.43%
Win Ratio (Monthly) 68.88% 64.27%
Win Ratio (Daily) 59% 54.11%

Annual Volatility

Annual Volatility 1y Annual Volatility 3y Annual Volatility 5y Annual Volatility 10y Annual Volatility 20y Annual Volatility
αc Multi-Asset Defensive IV (CH) 124.05% 72.36% 57.09% 41.26% 30.94% 21.79%
S&P 500 (US Large Cap) 12.4% 17.55% 20.88% 17.64% 19.01% 18%

Sharpe Ratio

Sharpe Ratio 1y Sharpe Ratio 3y Sharpe Ratio 5y Sharpe Ratio 10y Sharpe Ratio 20y Sharpe Ratio
αc Multi-Asset Defensive IV (CH) 0.57 0.33 0.43 0.47 0.66 0.89
S&P 500 (US Large Cap) 2.56 0.72 0.82 0.8 0.62 0.68

3-Year Rolling Sharpe Ratio

The rolling Sharpe Ratio gives a clue about the continued consistency or stability of the risk-adjusted returns.

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 Defensive IV (CH)

Start Valley End Days Drawdown
2024-07-17 2024-09-06 2024-09-19 64 -54.58%
1990-02-08 1990-10-16 1991-03-26 411 -17.62%
2008-05-22 2008-07-23 2008-10-22 153 -16.88%
1980-02-14 1980-05-01 1980-09-17 216 -16.2%
2015-03-19 2015-08-25 2016-06-09 448 -14.67%

The αc Multi-Asset Defensive IV (CH) took approximately 9 months on average to recover from a major drawdown. The longest drawdown lasted 32 months.

S&P 500 (US Large Cap)

Start Valley End Days Drawdown
2007-10-10 2009-03-09 2012-08-16 1772 -55.19%
2000-03-27 2002-10-09 2006-10-26 2404 -47.52%
2020-02-20 2020-03-23 2020-08-10 172 -33.72%
1987-08-26 1987-10-19 1989-05-19 632 -33.08%
1980-12-01 1982-08-12 1982-10-13 681 -25.2%

The S&P 500 (US Large Cap) took approximately 38 months on average to recover from a major drawdown. The longest drawdown lasted 80 months.

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.

Other Risk Metrics

Metric αc Multi-Asset Defensive IV (CH) S&P 500 (US Large Cap)
Sharpe Ratio 0.89 0.68
Sortino Ratio 1.73 0.96
Adjusted Sortino (S/√2) 1.22 0.68
Calmar Ratio 0.35 0.2
Omega Ratio 1.36 1.14
Gain to Pain Ratio 0.36 0.14
Ulcer Index 0.05 0.13
Kelly Criterion 15.58% 6.56%
Skew 41.53 -0.63
Kurtosis 3983.81 19.78
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