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.