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.

Compare with
SPDR S&P 500 ETF Trust (SPY)
  • 🚀 Performance

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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
  • 📉 Downturns

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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
  • 📊 Historical annual returns

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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%
  • 📅 Historical monthly returns

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  • 🏦 Trades

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  • 🍰 Allocation

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