αc Multi-Asset Defensive IV (CH)

New York Stock Exchange

CH

17 August 1979  –  26 November 2021
Compare with
S&P 500 (US Large Cap) (SP500.X)

Performance

Annualized Return
19.73%
αc Multi-Asset Defensive IV (CH)
11.13%
S&P 500 (US Large Cap)
Sharpe Ratio
1.6
αc Multi-Asset Defensive IV (CH)
0.68
S&P 500 (US Large Cap)
Maximum Drawdown
-21.43%
αc Multi-Asset Defensive IV (CH)
-55.2%
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 $20,361,625 $869,870
Returns
Month-To-Date 2.49% -0.06%
Year-To-Date 18.3% 23.97%
3M 0.32% 2.57%
6M 5.95% 10.24%
Annual Return (1Y) 22.77% 28.44%
Annual Return (3Y) 28.17% 21.86%
Annual Return (5Y) 20.21% 17.83%
Annual Return (10Y) 17.26% 16.64%
Annual Return (All) 19.73% 11.13%
Enh Ann Return 20.2% 12.74%
Best Year 50.29% 38.03%
Worst Year -10.66% -36.81%
Risk
Annual Volatility 11.67% 18.05%
Max Drawdown -21.43% -55.2%
Sharpe Ratio 1.6 0.68
Sortino Ratio 2.41 0.95
Adjusted Sortino (S/√2) 1.7 0.67
Ulcer Index 0.05 0.14
Gain to Pain Ratio 0.37 0.14

  • 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 November 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 42 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.

Chart

Table

Year αc Multi-Asset Defensive IV (CH) S&P 500 (US Large Cap) Won
1979 1.23% -1.94%
1980 13.32% 28.17%
1981 16.39% -8.47%
1982 50.29% 19.3%
1983 25.86% 17.15%
1984 25.43% 3.69%
1985 20.19% 22.71%
1986 13.08% 9.31%
1987 16.27% 4.7%
1988 14.78% 16.22%
1989 37.37% 31.37%
1990 -10.66% -3.33%
1991 23.37% 30.19%
1992 18.35% 8.21%
1993 46.11% 8.75%
1994 0.95% 0.4%
1995 15.66% 38.03%
1996 9.86% 22.55%
1997 26.03% 33.48%
1998 15.28% 28.69%
1999 50.19% 20.39%
2000 16.03% -9.73%
2001 -3.18% -11.75%
2002 12.23% -21.59%
2003 49.21% 28.18%
2004 18.81% 10.7%
2005 29.55% 4.83%
2006 20.93% 15.85%
2007 32.51% 5.14%
2008 19.45% -36.81%
2009 42.37% 26.37%
2010 5.55% 15.06%
2011 18.36% 1.89%
2012 25.15% 15.99%
2013 9.73% 32.31%
2014 13.5% 13.46%
2015 0.81% 1.25%
2016 25.19% 12%
2017 15.99% 21.7%
2018 6.93% -4.56%
2019 25.32% 31.22%
2020 35.61% 18.37%
2021 18.3% 23.97%

αc Multi-Asset Defensive IV (CH) had 41 positive years and 2 negative years. That's a positive ratio of 95%.

S&P 500 (US Large Cap) had 35 positive years and 8 negative years. That's a positive ratio of 81%.

αc Multi-Asset Defensive IV (CH) 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
1979 0% 0% 0% 0% 0% 0% 0% 0.5% 0.6% -3.6% 2.1% 1.7% 1.3%
1980 -2.3% 0.3% -8.3% -2.5% -0.2% 3.8% 4.8% 1.6% 3.5% 6.1% 11% -3.9% 14%
1981 -0.6% -0.7% 3.9% 1.3% 4.3% 2.4% -0.7% -0.7% -3.4% 0.5% 9% 0.6% 15.2%
1982 5.2% 2.4% 3.3% 4% 2.3% 3% 1.5% 7.4% 0.9% 8.2% -0.7% 4.3% 42.4%
1983 7.8% -2.5% 1.9% 3.6% 2% 4.7% 0.8% 1.3% 2.2% -0.7% 4.4% -1.9% 23.4%
1984 0.9% -3.1% 0.7% 2.3% 0.3% 2.5% 2.8% 5.7% 3.8% -1.7% 4.1% 5.1% 22.7%
1985 7.1% 1.2% -5.5% 2.2% 1.9% 1.6% 0.9% 1.7% 1.3% 1.4% 3.6% 1.7% 18.5%
1986 0.8% 4.9% 7.9% 0.7% 2.5% 2.8% -2.4% 1.2% -5.1% 0.4% 3.1% -3.9% 12.6%
1987 0.8% 4.3% 4.5% 2.5% 0.6% 2.5% 3.5% 4.8% -2% -7.2% 1.2% 0.3% 15.4%
1988 0.1% 2.7% 6.8% 1% 1.6% 7.5% 1.3% -4.6% -2.4% -1.9% 0.9% 1.6% 13.9%
1989 2.5% -0.4% 6.6% 14.2% 4.6% 0.2% -0.5% 2.1% 3.2% -2% 0.4% 2.3% 31.9%
1990 0.1% -1.4% -7.5% 0.6% 0.7% 1% 4.3% -11% 0% -0.2% 1.3% 1.9% -10.9%
1991 -4.3% 10.8% 8.2% 2.1% 8.4% -2.1% -0% 0.9% -0.7% -0.9% -2.8% 2.9% 21.4%
1992 4.7% 2.9% 0.9% 0.6% 0.7% -5.6% 2% 1.1% 1.2% 0.4% 3.2% 5.2% 16.9%
1993 2.8% 1.5% -0.4% 4.9% 7% 5.4% 0.8% 4.7% 1.8% 8.8% -0% 1.7% 38.1%
1994 4.5% -3.2% 1.4% -1.7% 2.6% -2.5% 0.3% 6.6% -1.1% -0.1% -4.9% -0.3% 1.1%
1995 1.8% 1.9% 0.5% 1.2% 2.9% -0.3% 4% -0.9% -0.2% -0.9% 2.1% 2.8% 14.7%
1996 4% -1.1% 2.4% 2.7% -0.4% -0.7% -5.9% -1.8% 4.4% 2.2% 2.7% 1.3% 9.7%
1997 8.2% 3.9% -1.8% -0.1% 8.2% 6.4% 9.2% -8.3% -1.2% -3.4% 1.2% 2.7% 23.6%
1998 0.8% -0.2% 4.5% -0.6% -1.5% 1.1% -0.6% 1.1% 3.1% 0.4% 4.5% 1.7% 14.6%
1999 3.1% 2.8% 6.7% 11.1% -2.2% 8.4% -6.6% 0.7% -2.2% 2.5% 7.5% 11.3% 41.7%
2000 -2.6% 5.2% 3.6% 0.6% -1.5% -1.8% 3.9% 5.9% 2.4% 5.8% -0.5% -5.2% 16.4%
2001 -1.5% 1% 0.5% -2.6% 5.9% 0.2% -0.9% -4% 1.5% -2.3% -3.2% 2.5% -2.7%
2002 3.3% 1.3% -1.2% -5.8% 5.1% 0.5% 1.3% 3.8% 3.6% -2.4% 7.4% -4.5% 12.2%
2003 6.8% 2.5% -3% 0.6% 6.6% 2.5% 4.3% 4.3% 0.7% 7.6% 1.3% 7.1% 40.5%
2004 2.4% 3% -0.1% -5.1% -1.4% 1.2% -3% 2.9% 3.4% 2.4% 7.7% 4.6% 17.5%
2005 -1.1% 6.2% -4.6% 2.4% 4.1% 4.7% 5.3% -0.6% 6.7% -3.9% 4% 4% 26.6%
2006 5.2% 0.8% -0.3% 5.5% -7.4% 0% 1.8% 2.2% 1.1% 3.6% 4.2% 3% 19.6%
2007 0.6% -1.5% 3.1% 4.1% 4.7% 1.3% 0.8% 0.8% 8.7% 8.2% -6.5% 5% 29.4%
2008 4.5% 2.2% -1.3% -2.5% 3% -8.9% -3.4% 2.7% 3.7% 12.7% 11.8% -4.4% 19.5%
2009 5.1% 3.4% -0.6% -1.8% 6.2% -0.8% 9.7% 1.7% 6.9% -2.1% 6.5% 2.5% 37.5%
2010 -4.5% 5.7% 7% 1.5% -1.7% 4.1% -7.5% -2% -2.8% 2.7% -2.5% 6.5% 6.5%
2011 2.7% 3.5% -0.5% 2.6% -2.2% -1.6% -1.3% 4.2% 9.4% -0.3% 5.5% -4.1% 18.2%
2012 6.8% 1.7% 1% 0.8% 8.6% -1.9% 3.2% -1.9% 0.9% -2% 1% 5.1% 23.1%
2013 2.3% 0.9% 3% -0.7% 1.7% -6.2% 0.1% -1.5% 1.1% 4.4% 2.5% 2.1% 9.8%
2014 -3.8% -0.7% 1.4% 0.2% 2.7% 1.3% 1.9% 5.4% 0.3% 0.7% 1.3% 2.4% 13.2%
2015 10.1% -1% 2.5% -7.2% -0.9% -2.6% 2.5% -2.4% 0.7% -0.6% 3.8% -3.1% 1.6%
2016 3.5% 9% -3.1% 2% -1.6% 8.3% 1.7% -0.5% 1% -0.4% 2.4% 0.9% 23.5%
2017 -0.7% 3.6% -0.3% -0.8% 1.7% 0.6% 3.9% 1.6% 0.8% 2.1% 1.2% 1.3% 15.2%
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% 7.3%
2019 2.1% 2.3% 3.2% 3.1% -5.5% 3.9% 1% 11.1% -1.5% -0.8% 4% 0.7% 23.3%
2020 -1.7% 6.7% 5.3% 8.3% 4.1% 0.2% 6.4% 4.8% -3.2% -0.6% -3.7% 5% 32.7%
2021 1.2% 2% 1.9% 5.2% 1.1% 1.9% 1.8% 0.9% -2.6% 1.1% 2.5% 0% 17.6%
Pos 76.2% 71.4% 64.3% 69% 71.4% 69% 69% 69.8% 67.4% 51.2% 79.1% 78.6% 95.3%
Avg 2.3% 1.9% 1.3% 1.4% 1.9% 1.1% 1.2% 1.3% 1.2% 1.1% 2.4% 1.8% 18.4%

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 Drawdown days
1980-01-22 1980-05-01 1980-11-03 -21.43% 286
2008-05-22 2008-07-23 2008-10-22 -16.81% 153
1990-02-08 1991-01-31 1991-03-26 -15.84% 411
2015-03-19 2015-08-25 2016-06-09 -14.66% 448
1997-08-01 1997-10-27 1998-11-04 -14.47% 460

The αc Multi-Asset Defensive IV (CH) 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
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.

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