αc Multi-Asset Defensive II (RA)

The portfolio pursues a rather defensive strategy that seeks to achieve equity-like returns with low...

31 January 2013 – 29 July 2021

Compare with

SPDR S&P 500 ETF Trust (SPY)

Performance

Annualized Return: 14.05%
αc Multi-Asset Defensive II (RA); 15.76%
SPDR S&P 500 ETF Trust
Sharpe Ratio: 1.21
αc Multi-Asset Defensive II (RA); 0.96
SPDR S&P 500 ETF Trust
Maximum Drawdown: -14.83%
αc Multi-Asset Defensive II (RA); -33.7%
SPDR S&P 500 ETF Trust

Drawdown periods

Logarithmic scale

Metrics

Metric	αc Multi-Asset Defensive II (RA)	SPDR S&P 500 ETF Trust
Initial Balance	$10,000	$10,000
Final Balance	$30,552	$34,665
Returns
Month-To-Date	3.07%	2.94%
Year-To-Date	1.31%	18.64%
3M	-1.82%	5.89%
6M	-3.69%	15.57%
Annualized Return (1Y)	4.29%	39.26%
Annualized Return (3Y)	21.78%	18.26%
Annualized Return (5Y)	16.28%	17.4%
Annualized Return (10Y)	14.05%	15.76%
Annualized Return (All)	14.05%	15.76%
Enh Ann Return	13.62%	15.9%
Best Year	37.31%	31.22%
Worst Year	-7.54%	-4.56%
Risk
Annual Volatility	11.36%	16.66%
Max Drawdown	-14.83%	-33.7%
Sharpe Ratio	1.21	0.96
Sortino Ratio	1.82	1.34
Enhanced Sortino	2.16	1.62

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 January 2013.
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 8 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 Defensive II (RA)	SPDR S&P 500 ETF Trust
2013	12.64%	25.86%
2014	11.74%	13.46%
2015	-7.54%	1.25%
2016	23.59%	12%
2017	16.66%	21.7%
2018	6.46%	-4.56%
2019	22.95%	31.22%
2020	37.31%	18.37%
2021	1.31%	18.64%

αc Multi-Asset Defensive II (RA) had 8 positive years and 1 negative years. That's a positive ratio of 89%.

SPDR S&P 500 ETF Trust had 8 positive years and 1 negative years. That's a positive ratio of 89%.

αc Multi-Asset Defensive II (RA) had a better yearly return 33% of the time compared to SPDR S&P 500 ETF Trust.

Table

	Jan	Feb	Mar	Apr	May	Jun	Jul	Aug	Sep	Oct	Nov	Dec	YTD
2013	0%	-1.2%	3.6%	1.2%	3.2%	-4%	0.8%	-1.5%	1.1%	4.4%	2.5%	2.1%	12.3%
2014	5.1%	0%	1.4%	0.2%	2.7%	2%	-0.2%	3.9%	-4.3%	0.3%	1%	-0.5%	11.5%
2015	2.5%	-1.6%	-1.9%	-3.2%	-3.1%	-0.6%	0.4%	-0.2%	0.6%	-0%	-0.3%	-0.3%	-7.6%
2016	3.8%	8.7%	-0.2%	2%	-1.6%	8.3%	1.7%	-0.5%	1%	-0.8%	-0.5%	0%	22.1%
2017	0.8%	1.6%	-1.5%	1.4%	1.8%	0.6%	3.9%	1.6%	0.8%	2.1%	1.2%	1.3%	15.7%
2018	6.6%	-1.6%	0.9%	-1.6%	0.1%	-2.5%	-0.7%	1.9%	-0.8%	-1.2%	0.5%	5.1%	6.5%
2019	2.4%	1.7%	1.6%	2.9%	-6.1%	6%	-1%	10%	-2.8%	1.6%	2.4%	3%	21.3%
2020	-3.3%	6%	5.1%	7.5%	6.6%	2.3%	6.4%	4.8%	-3.2%	-0.6%	-3.7%	5%	34%
2021	1.2%	1.1%	-0.1%	1.2%	0.8%	-5.7%	3.1%	0%	0%	0%	0%	0%	1.6%
Pos	87.5%	66.7%	55.6%	77.8%	66.7%	55.6%	66.7%	62.5%	50%	50%	62.5%	75%	88.9%
Avg	2.4%	1.6%	1%	1.3%	0.5%	0.7%	1.6%	2.5%	-0.9%	0.7%	0.4%	2%	13%

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 II (RA)

start	valley	end	Drawdown	days
2020-03-10	2020-03-18	2020-04-03	-14.83%	24
2014-09-08	2015-06-10	2016-02-11	-12.96%	521
2020-09-03	2020-11-30	2021-01-20	-9.64%	139
2013-05-22	2013-09-10	2013-11-29	-9.46%	191
2018-01-29	2018-08-15	2019-01-30	-8.09%	366

The αc Multi-Asset Defensive II (RA) took approximately 8 months on average to recover from a major drawdown.

SPDR S&P 500 ETF Trust

start	valley	end	Drawdown	days
2020-02-20	2020-03-23	2020-08-10	-33.7%	172
2018-09-21	2018-12-24	2019-04-12	-19.34%	203
2015-07-21	2016-02-11	2016-04-18	-13.02%	272
2018-01-29	2018-02-08	2018-08-06	-10.1%	189
2020-09-03	2020-09-23	2020-11-11	-9.44%	69

The SPDR S&P 500 ETF Trust took approximately 6 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.