αc Developed Markets (CH)

New York Stock Exchange

CH

20 August 1979  –  26 March 2024
Compare with
S&P 500 (US Large Cap) (SP500.X)

Performance

Annualized Return
20.2%
αc Developed Markets (CH)
11.11%
S&P 500 (US Large Cap)
Sharpe Ratio
1.34
αc Developed Markets (CH)
0.67
S&P 500 (US Large Cap)
Maximum Drawdown
-23.16%
αc Developed Markets (CH)
-55.19%
S&P 500 (US Large Cap)

Metrics

Metric αc Developed Markets (CH) S&P 500 (US Large Cap)
Initial Balance $10,000 $10,000
Final Balance $36,837,466 $1,103,657
Returns   [View more details]
Month-To-Date 2.43% 2.43%
Year-To-Date 9.49% 9.49%
3M 9.88% 9.87%
6M 9.64% 21.4%
Annual Return (3Y) 12.99% 11.07%
Annual Return (5Y) 17.47% 14.99%
Annual Return (All) 20.2% 11.11%
Risk   [View more details]
Annual Volatility 14.49% 18.05%
Max Drawdown -23.16% -55.19%
Sharpe Ratio 1.34 0.67
Sortino Ratio 1.97 0.95
Adjusted Sortino (S/√2) 1.39 0.67

  • 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 March 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 Developed Markets (CH) 18.51% 12.99% 17.47% 16.08% 18.44% 20.2%
S&P 500 (US Large Cap) 32.99% 11.07% 14.99% 12.85% 10% 11.11%

Annual Returns

Year αc Developed Markets (CH) S&P 500 (US Large Cap) Won
1979 -5.05% 3.91%
1980 31.38% 31.11%
1981 28.49% -8.55%
1982 43.37% 19.25%
1983 30.5% 17.07%
1984 19.74% 3.67%
1985 67.32% 22.6%
1986 39.36% 9.3%
1987 9.27% 4.69%
1988 5.53% 16.27%
1989 39.91% 31.4%
1990 5.42% -3.35%
1991 24.09% 30.2%
1992 10.85% 8.21%
1993 29.11% 8.81%
1994 -7% 0.4%
1995 34.66% 38.05%
1996 20.37% 22.5%
1997 35.31% 33.48%
1998 19.6% 28.69%
1999 40.67% 20.39%
2000 6.53% -9.74%
2001 -6.74% -11.76%
2002 7.12% -21.58%
2003 34.97% 28.18%
2004 18.18% 10.7%
2005 7.28% 4.83%
2006 27.53% 15.85%
2007 13.26% 5.15%
2008 40.35% -36.79%
2009 37.72% 26.35%
2010 14.76% 15.06%
2011 14.25% 1.89%
2012 25.88% 15.99%
2013 14.13% 32.31%
2014 23.74% 13.46%
2015 -0.23% 1.23%
2016 15.7% 12%
2017 23.44% 21.71%
2018 8.73% -4.57%
2019 14.5% 31.22%
2020 32.77% 18.33%
2021 33.07% 28.73%
2022 -8.65% -18.18%
2023 14.25% 26.18%
2024 9.49% 9.49%  =

αc Developed Markets (CH) had 41 positive years and 5 negative years. That's a positive ratio of 89%.

S&P 500 (US Large Cap) had 38 positive years and 8 negative years. That's a positive ratio of 83%.

αc Developed Markets (CH) had a better yearly return 73% 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% 2% -8.3% -0.2% 0.6% -5.1%
1980 8.4% 0.4% -7.8% -2.5% 2.5% 7.2% 2.1% 1.7% 3.2% 5.7% 14.6% -5.8% 31.4%
1981 -1.4% 5.3% 7.4% 3% 4.5% 2.4% -0.7% -0.7% -3.4% 0.5% 8.6% 0.6% 28.5%
1982 5.2% -1.9% 3.1% 4% 1% 2.7% 1.5% 7.1% 0.9% 12% 1.1% 0.7% 43.4%
1983 3.9% 2.5% 4.6% 9.9% 0% 3% -0.5% -2% 1.9% -0.8% 4.7% 0.4% 30.5%
1984 3.4% -0.6% 3.1% 0.8% -7.2% 2.5% 2.9% 5.8% 4.6% -2.2% 2.2% 3.6% 19.7%
1985 10.8% 1.5% -6.5% 4.1% 3.4% 1.2% 9.4% 5.1% 1.6% 11.1% 7.8% 4.4% 67.3%
1986 1.9% 11.9% 8.2% 9.3% -8.8% 4.4% -0.9% 11.2% -6.3% 0.6% 2.3% 2.3% 39.4%
1987 4.4% 3.6% 4.9% 3.9% -0.6% 2.9% 5.3% 3.8% -2.3% -17% 1.3% 0.9% 9.3%
1988 2.7% 0.7% -0% 0.4% -0.6% 3.3% 3% -4.1% -1.7% 0.2% 1.3% 0.5% 5.5%
1989 5% -0.2% 3.1% 5% 5.6% -1.9% 7.5% 3.6% -2.9% -3.7% 2% 11.9% 39.9%
1990 -0.3% -2.4% 1.4% -2.7% 8.1% 5.6% 4.5% -10.4% -1.7% -0.2% 2.2% 2.2% 5.4%
1991 6.2% 7.1% 7.5% 1.6% 6.6% -2.6% 2.2% 1% -2.9% -4.2% -3.4% 3.9% 24.1%
1992 -1.9% 0.5% -2% 2.9% 4.3% -0.8% -3.7% -2% 1.2% 1.2% 6.7% 4.5% 10.9%
1993 2.6% 1.2% -1% -1.1% 2.9% 3% -1.1% 6.9% 0.6% 6.4% -2.1% 8.1% 29.1%
1994 5.2% -5.2% -3.1% 3.9% -4.1% -1.1% 1.7% 2.2% -4.1% 1.7% -4% 0.5% -7%
1995 3% 4.1% 2.8% 3% 4% 2% 3.2% -3.8% 4.1% -1.1% 6% 3.2% 34.7%
1996 4.4% 0.4% 2.5% 1.9% 1.1% -0.2% -4.8% 2.5% 2% 2.2% 7.2% 0.1% 20.4%
1997 4.8% 2.3% -2.5% 2.1% 8.6% 6% 10.9% -7.5% 2.9% -2.1% 1.7% 4.7% 35.3%
1998 1.4% 7.5% 7.2% 0.2% 2.6% 1.2% 1% -12.5% 2.7% 0.4% 1% 7% 19.6%
1999 3.5% -0.8% 6.8% 5.2% -1.2% 7.1% -6.4% 0.6% -1.9% 5.7% 6.6% 10.6% 40.7%
2000 -4.6% 6.2% 4.1% -0.2% -3.9% -0.7% 4.1% 3.7% -1.9% 6.2% -0.5% -5.3% 6.5%
2001 -1.5% 1% 0.5% -2.5% 6.5% -0% -0.9% -4.1% 1.5% -2.1% -3.2% -1.7% -6.7%
2002 3.5% 1.6% -1.2% -4.8% -0% -3.4% 1.7% 3.8% 3.6% -2.4% 0.6% 4.5% 7.1%
2003 4.7% 1.8% -3% 0.6% 7.4% 1% 2% -0.2% -0.8% 4.9% 4.3% 8.2% 35%
2004 1.1% 2.9% -3.1% -0.8% -1% 1.9% -2.7% 3.1% 2% 2.4% 7.3% 4.2% 18.2%
2005 -1.9% 4.9% -2.6% -2.2% 2.6% 2.1% 3.8% -1.8% 1.3% -1.9% 3.1% -0.1% 7.3%
2006 1.8% 1.7% 2.1% 5.3% -2.9% 1% 1% 3.2% 1.1% 3.7% 3.8% 3.1% 27.5%
2007 1.6% -1.2% 3.7% 5.8% 2.1% -0.4% -2.8% 0.3% 5.2% 4.7% -3.8% -2.1% 13.3%
2008 4.4% 2.2% -1.4% -2.5% 3% 4% -0.3% 2.7% 3.7% 12.7% 11.8% -4.4% 40.4%
2009 5.1% 3.4% -0.6% -1.8% 3.9% -3.2% 11.4% 5.5% 4.8% -2.6% 4.5% 3% 37.7%
2010 -2.9% 6.1% 6.8% 2.8% -1% 4% -7.5% 8.2% -4.1% 3.3% -7.8% 7.7% 14.8%
2011 2.3% 3.5% 0% 2.9% -2.9% -2.1% -4.6% 4.1% 9.4% -0.3% 6.2% -4.2% 14.3%
2012 2% 2.3% 3.9% 0.4% 0.1% 2.5% 3.7% -0.2% 0% 1.8% 2.5% 4.3% 25.9%
2013 4.3% -3.4% 3.2% 0% 0.8% -3.6% 4.5% -3% 3.2% 3.9% 1% 2.9% 14.1%
2014 -4.6% 4.7% 0.6% 1.2% 0.7% 1.4% 0.7% 5.5% 3.4% 2.8% 3.1% 2.6% 23.7%
2015 4.2% 6.2% 2.8% -3.1% 2.4% -5.2% 4.8% -7.9% -1.7% -0.6% 3.8% -4.9% -0.2%
2016 -5.3% 8.6% -3.1% 1.1% 1.7% 0.4% 3.7% 0.1% 0% -1.3% 6.7% 2.9% 15.7%
2017 -0.2% 5.5% -0.8% 1.9% 4.8% -0.5% 2.8% 0.1% 3.2% 0.5% 3% 1.2% 23.4%
2018 5.6% -3.6% -2.7% 0.5% 0.8% 0.1% 3% 3.9% 1.3% -4.8% 0.6% 4.3% 8.7%
2019 2.1% 0.1% 2.5% 4.2% -5.8% 3.9% 1.3% -0.7% 3.3% -0.2% 3% 0.4% 14.5%
2020 1.6% -7.3% 5.6% 8.3% -0.1% 0.2% 5.3% 7% -3.7% -2.5% 10.9% 5% 32.8%
2021 -0.9% 2.6% 3.3% 5.6% 3.9% -1.4% 2.3% 3.5% -2.6% 6.4% 1.7% 5% 33.1%
2022 -3.8% 1.8% -0.4% 3.1% -3.1% 0.8% 0.3% 0.8% 0% -0.9% -2.9% -4.4% -8.7%
2023 9.6% -1.7% 2.5% 4.1% -5.1% 6.7% 3.3% -1.6% -3.7% -2.4% -1.8% 4.7% 14.3%
2024 1.6% 5.2% 2.4% - - - - - - - - - 9.5%
Pos 73.3% 75.6% 62.2% 75% 63.6% 65.9% 70.5% 64.4% 64.4% 53.3% 77.8% 80% 89.1%
Avg 2.3% 2.1% 1.4% 1.9% 1.1% 1.3% 1.8% 1% 0.6% 0.9% 2.8% 2.3% 20.5%

Other Return Metrics

Metric αc Developed Markets (CH) S&P 500 (US Large Cap)
Cumulative Return 368274.66% 10936.57%
Enh Ann Return 20.14% 12.57%
Best Year 67.32% 38.05%
Worst Year -8.65% -36.79%
Best Month 14.56% 13.27%
Worst Month -17.02% -21.73%
Best Day 8.95% 14.52%
Worst Day -7.23% -20.46%
Win Ratio (Yearly) 89.13% 82.61%
Win Ratio (Quarterly) 79.33% 71.51%
Win Ratio (Monthly) 68.84% 64.11%
Win Ratio (Daily) 58.1% 54.04%

Annual Volatility

Annual Volatility 1y Annual Volatility 3y Annual Volatility 5y Annual Volatility 10y Annual Volatility 20y Annual Volatility
αc Developed Markets (CH) 11.21% 13.55% 15.44% 14.97% 16.01% 14.49%
S&P 500 (US Large Cap) 11.52% 17.31% 20.91% 17.52% 18.98% 18.05%

Sharpe Ratio

Sharpe Ratio 1y Sharpe Ratio 3y Sharpe Ratio 5y Sharpe Ratio 10y Sharpe Ratio 20y Sharpe Ratio
αc Developed Markets (CH) 1.57 0.97 1.12 1.07 1.14 1.34
S&P 500 (US Large Cap) 2.53 0.69 0.77 0.78 0.6 0.67

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 Developed Markets (CH)

start valley end days Drawdown
2015-04-16 2016-01-20 2016-12-20 614 -23.16%
2000-10-27 2002-06-24 2003-03-04 858 -22.12%
1987-08-26 1987-11-02 1989-05-15 628 -21.06%
2020-02-20 2020-03-18 2020-04-16 56 -18.93%
1998-07-21 1998-09-02 1999-03-09 231 -17.61%

The αc Developed Markets (CH) took approximately 16 months on average to recover from a major drawdown. The longest drawdown lasted 29 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 Developed Markets (CH) S&P 500 (US Large Cap)
Sharpe Ratio 1.34 0.67
Sortino Ratio 1.97 0.95
Adjusted Sortino (S/√2) 1.39 0.67
Calmar Ratio 0.87 0.2
Omega Ratio 1.28 1.14
Gain to Pain Ratio 0.28 0.14
Winckel Ratio 54.35 60.87
Ulcer Index 0.06 0.14
Kelly Criterion 12.65% 6.5%
Skew -0.16 -0.63
Kurtosis 4.99 19.79
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