Strategy: αc Multi-Asset Opportunities IV Slow/Fast (RA)
Investment Objective
Aggressive Long-Term Capital Appreciation
Annualized Return
14.8%
Time
Horizon
5+ years
Rebalancing Frequency
N/A
About
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 2 to 4 ETFs, weight them variably according to certain metrics, and usually rebalance once a quarter. Rebalance frequency may vary depending on certain market conditions.
The investment universe for the portfolio is comprised of multiple assets classes, ranging from large to mid-cap developing markets, emerging markets, commodities and fixed-income instruments.
Period: May 2006 - April 2021.
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αc Multi-Asset Opportunities IV Slow/Fast (RA)
- Annualized Return: 14.8%
- Sharpe: 1.23
- Sortino: 1.79
SPDR S&P 500 ETF Trust- Annualized Return: 10.46%
- Sharpe: 0.59
- Sortino: 0.83
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Chart
Metrics
Metric αc Multi-Asset Opportunities IV Slow/Fast (RA) SPDR S&P 500 ETF Trust Initial Balance $10,000 $10,000 Final Balance $78,115 $44,020 Returns Month-To-Date 3.34% 4.76% Year-To-Date 5.37% 11.42% 3M 3.92% 10.88% 6M 12.7% 20.46% Annualized Return (1Y) 34.43% 47.19% Annualized Return (3Y) 14.42% 17.52% Annualized Return (5Y) 13.47% 16.88% Annualized Return (10Y) 12.17% 14.5% Annualized Return (All) 14.8% 10.46% Enh Ann Return 13.86% 13% Best Year 35.02% 32.31% Worst Year -3.49% -36.81% Risk Annual Volatility 11.82% 20.2% Max Drawdown -13.7% -55.2% Sharpe Ratio 1.23 0.59 Sortino Ratio 1.79 0.83 Enhanced Sortino 1.89 1.33
- 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 May 2006.
- Final balance: The amount of capital we've accrued over time as of April 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 15 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.
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αc Multi-Asset Opportunities IV Slow/Fast (RA)
- Max Drawdown: -13.7%
- Average recovery time of large downturns: 7 months
SPDR S&P 500 ETF Trust- Max Drawdown: -55.2%
- Average recovery time of large downturns: 17 months
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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 Opportunities IV Slow/Fast (RA)
start valley end Drawdown days 2020-02-20 2020-03-18 2020-04-06 -13.7% 46 2018-08-30 2018-12-24 2019-12-23 -13.52% 480 2007-07-24 2007-08-16 2007-09-25 -10.6% 63 2011-05-02 2011-08-08 2011-09-22 -10.21% 143 2007-11-01 2008-07-23 2008-11-19 -9.49% 384 The αc Multi-Asset Opportunities IV Slow/Fast (RA) took approximately 7 months on average to recover from a major drawdown.
SPDR S&P 500 ETF Trust
start valley end Drawdown days 2007-10-10 2009-03-09 2012-08-16 -55.2% 1772 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 The SPDR S&P 500 ETF Trust took approximately 17 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.
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αc Multi-Asset Opportunities IV Slow/Fast (RA)
- Positive year ratio: 88%
- Outperformance ratio (vs. benchmark): 56%
SPDR S&P 500 ETF Trust- Positive year ratio: 88%
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Chart
Table
Year αc Multi-Asset Opportunities IV Slow/Fast (RA) SPDR S&P 500 ETF Trust Won 2006 12.38% 12.67% 2007 21.99% 5.14% 2008 14.56% -36.81% 2009 28.94% 26.37% 2010 18.31% 15.06% 2011 5.81% 1.89% 2012 16% 15.99% 2013 12.84% 32.31% 2014 12.86% 13.46% 2015 -0.29% 1.25% 2016 16.66% 12% 2017 15.88% 21.7% 2018 -3.49% -4.56% 2019 12.69% 31.22% 2020 35.02% 18.37% 2021 5.37% 11.42% αc Multi-Asset Opportunities IV Slow/Fast (RA) had 14 positive years and 2 negative years. That's a positive ratio of 88%.
SPDR S&P 500 ETF Trust had 14 positive years and 2 negative years. That's a positive ratio of 88%.
αc Multi-Asset Opportunities IV Slow/Fast (RA) had a better yearly return 56% of the time compared to SPDR S&P 500 ETF Trust.
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Table
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD 2006 0 0 0 0 0 0.4% 1.6% 0.9% 0.9% 3.3% 2.9% 1.8% 12.1% 2007 0.2% -0.4% 1.8% 3.2% 1.9% 1.1% 1% 0.5% 4.9% 8.2% -3.7% 1.7% 21.2% 2008 -3.9% 2.8% -2.1% -1.7% 3.2% -3.5% -1.3% 2.2% 1.4% 0.5% 11.6% 5.4% 14.4% 2009 -3.1% 2.1% 2.6% -2.1% 9.1% -1.5% 6.8% 1.3% 6.5% -2.4% 5.4% 1.9% 26.7% 2010 -3.6% 2.3% 4.4% 4.1% -4% -2% 3.2% -0.3% 7.9% 4% -1.3% 3.1% 17.6% 2011 -1.1% 4% 1% 3% -1.4% -2.3% 1.3% -3% 3.1% 3.5% 1.4% -3.4% 6.7% 2012 9.2% 1.8% 1% 0.1% -3.4% 1.5% 1% 2.4% 0.9% -1.5% 1.5% 1% 15.3% 2013 1.4% -0.9% 1% 2% 0.1% -3.1% 4.6% -1.8% 3.5% 2.6% 1.5% 1.6% 12.4% 2014 0.3% 4.1% -1% 0.9% 2.2% 3.1% -0.9% 4.1% -3.1% 1.8% 1.4% -0.5% 12.4% 2015 0.1% 2.9% -0.3% -1.3% 0.7% -1.5% 1.6% -3.7% -0.6% 3.4% 0.4% -1.9% 0.1% 2016 0.2% 8.2% 0.4% 2.1% -1% 2.9% 3.6% -1% 0.5% -1.6% 1% 0.5% 16% 2017 2.5% 2.6% 1% 1.5% 2.9% -1.5% 2.7% 1.5% -1.1% 1.1% 0.7% 0.9% 14.9% 2018 5.7% -2.3% -1% -1.3% 2.8% -0.5% 1.1% 2.9% -0.6% -6.1% 0.4% -4.1% -2.9% 2019 1.4% -0.4% -0% 1.8% -3.4% 5.8% -2.3% 2.3% -0% 2.1% 1.5% 3.5% 12.3% 2020 1.1% -2.1% 1.7% 5.1% 4.5% 3.2% 8.2% 2.6% -2.7% -0.8% 4.4% 5.8% 31.3% 2021 0.8% 0% 1.1% 3.3% 0 0 0 0 0 0 0 0 5.4% Pos 73.3% 66.7% 66.7% 73.3% 64.3% 46.7% 80% 66.7% 60% 66.7% 86.7% 73.3% 93.8% Avg 0.7% 1.6% 0.8% 1.4% 1% 0.1% 2.1% 0.7% 1.4% 1.2% 1.9% 1.2% 13.5%
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Transaction details
Summary
A complete trade consists of 2 transactions.
Total number of trades 79 Percent profitable 65% Winning trades 51 Losing trades 28 Even trades 0 Returns
How much profit was made with each trade.
Avg returns all trades 1.08% Avg returns winning 2.4% Avg returns losing -1.32% Largest winning trade 10.68% Largest losing trade -4.36% Duration
How long a position was held.
Avg duration 118 days Median duration 62 days Longest duration 910 days Shortest duration 28 days
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The bond to equity ratio for this portfolio is dynamic through time. The provided values are the average historical percentages from May 2006 to April 2021.
For 0% of the time, the portfolio was allocated to bonds, and 100% of the time to equities.