Strategy: αc Multi-Asset Defensive II (RA)
Investment Objective
Aggressive Long-Term Capital Appreciation
Annualized Return
15%
Time
Horizon
5+ years
Rebalancing Frequency
N/A
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.
About
The portfolio pursues a 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.
Performance
| Portfolio + Compare with | Initial Balance | Final Balance | Annual Return | Annual Volatility | Best Year | Worst Year | Max Drawdown | Sharpe Ratio | Sortino Ratio |
|---|---|---|---|---|---|---|---|---|---|
| $10,000 | $30,437 | 15% | 11.3% | 27.4% | -5.7% | -14.8% | 1.3 | 1.93 | |
| $10,000 | $28,806 | 14.2% | 16.9% | 31.2% | -4.6% | -34.1% | 0.87 | 1.21 |
- 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 January 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.
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)
| Drawdown | Peak date | Valley date | Recovery date | Duration |
|---|---|---|---|---|
| -14.81% | 2020-03-09 | 2020-03-18 | 2020-04-06 | 21 days |
| -10.14% | 2020-09-02 | 2020-11-30 | - | - |
| -10.05% | 2014-09-05 | 2015-06-10 | 2016-02-10 | 374 days |
| -9.71% | 2013-05-21 | 2013-09-10 | 2013-12-23 | 155 days |
| -7.79% | 2018-01-26 | 2018-08-15 | 2019-01-29 | 263 days |
The αc Multi-Asset Defensive II (RA) took approximately 5 months on average to recover from a major drawdown.
SPDR S&P 500 ETF Trust
| Drawdown | Peak date | Valley date | Recovery date | Duration |
|---|---|---|---|---|
| -34.1% | 2020-02-19 | 2020-03-23 | 2020-08-18 | 130 days |
| -19.35% | 2018-09-20 | 2018-12-24 | 2019-04-12 | 147 days |
| -13.02% | 2015-07-20 | 2016-02-11 | 2016-04-18 | 196 days |
| -10.1% | 2018-01-26 | 2018-02-08 | 2018-08-06 | 137 days |
| -9.8% | 2020-09-02 | 2020-09-23 | 2020-11-13 | 53 days |
The SPDR S&P 500 ETF Trust took approximately 4 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.
Annual Returns
Monthly Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2013 | 0 | -0.5% | 4.1% | 1% | 3.3% | -4.3% | 0.7% | -1.5% | 1.1% | 4.3% | 2.6% | 2.1% |
| 2014 | 4.7% | 0.9% | 1.5% | 0 | 2.7% | 1.7% | -0.5% | 3.4% | -4.6% | 0 | 2.1% | 0.6% |
| 2015 | 2.6% | -1.6% | 0.1% | -3.5% | -3.6% | -0.4% | 0.4% | 0.3% | 0.6% | 0 | -0.3% | -0.3% |
| 2016 | 4.1% | 8.3% | 0.4% | 2% | 0.7% | 8.4% | 2.2% | -0.5% | 1.3% | -1.4% | -0.6% | 0 |
| 2017 | 0.6% | 1.6% | -1.5% | 1.5% | 1.8% | 0.6% | 4.1% | 1.2% | 1% | 2.2% | 1.1% | 1.4% |
| 2018 | 6.4% | -1.5% | 0.9% | -1.6% | 0.1% | -2.4% | -0.7% | 1.9% | -0.8% | -1.1% | 0.5% | 5.1% |
| 2019 | 2.7% | 0.9% | 1.7% | 3.9% | -6.1% | 5.2% | -1.6% | 8.1% | -2.8% | 1.8% | 3.2% | 3% |
| 2020 | -3.5% | 5.8% | 5.1% | 6.2% | 2.3% | 2.4% | 4.7% | 5.1% | -3.5% | -0.8% | -3.9% | 5.1% |
| 2021 | 3.1% | - | - | - | - | - | - | - | - | - | - | - |
| Pos | 87.5% | 62.5% | 87.5% | 71.4% | 75% | 62.5% | 62.5% | 75% | 50% | 50% | 62.5% | 85.7% |
| Avg | 2.6% | 1.7% | 1.5% | 1.4% | 0.2% | 1.4% | 1.2% | 2.3% | -1% | 0.8% | 0.6% | 2.4% |
Transaction details
Summary
A complete trade consists of 2 transactions.
| Total number of trades | 59 |
|---|---|
| Percent profitable | 69% |
| Winning trades | 41 |
| Losing trades | 17 |
| Even trades | 1 |
Returns
How much profit was made with each trade.
| Avg returns all trades | 1.67% |
|---|---|
| Avg returns winning | 3.12% |
| Avg returns losing | -1.74% |
| Largest winning trade | 18.5% |
| Largest losing trade | -5.03% |
Duration
How long a position was held.
| Avg duration | 71 days |
|---|---|
| Median duration | 33 days |
| Longest duration | 305 days |
| Shortest duration | 28 days |
Allocation
The bond to equity ratio for this portfolio is dynamic through time. The provided values are the average historical percentages from January 2013 to January 2021. For 0% of the time, the portfolio was allocated to bonds, and 100% of the time to equities.