αc Multi-Asset Defensive II (RA)

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 one single asset according to certain calculations, and rebalance once a month.

The investment universe for the portfolio is comprised of multiple assets classes, ranging from large to mid-cap developing markets, emerging markets and fixed-income instruments.
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

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%
Annual Return (1Y) 4.29% 39.26%
Annual Return (3Y) 21.78% 18.26%
Annual Return (5Y) 16.28% 17.4%
Annual Return (10Y) 14.05% 15.76%
Annual 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 Won
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.