Strategy: αc Multi-Asset Opportunities IV Slow/Fast (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 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.
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 | $77,358 | 15% | 11.8% | 34.4% | -0.6% | -13.7% | 1.24 | 1.81 | |
| $10,000 | $38,958 | 9.7% | 20.3% | 32.3% | -36.8% | -55.2% | 0.56 | 0.79 |
- 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 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 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.
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)
| Drawdown | Peak date | Valley date | Recovery date | Duration |
|---|---|---|---|---|
| -13.7% | 2020-02-19 | 2020-03-18 | 2020-04-09 | 37 days |
| -10.42% | 2007-07-23 | 2007-08-16 | 2007-09-24 | 46 days |
| -10.19% | 2011-04-29 | 2011-08-08 | 2011-09-22 | 105 days |
| -8.98% | 2007-10-31 | 2008-07-23 | 2008-11-19 | 276 days |
| -8.89% | 2006-06-02 | 2006-06-13 | 2006-07-28 | 41 days |
The αc Multi-Asset Opportunities IV Slow/Fast (RA) took approximately 3 months on average to recover from a major drawdown.
SPDR S&P 500 ETF Trust
| Drawdown | Peak date | Valley date | Recovery date | Duration |
|---|---|---|---|---|
| -55.19% | 2007-10-09 | 2009-03-09 | 2012-08-16 | 1268 days |
| -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 |
The SPDR S&P 500 ETF Trust took approximately 13 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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2006 | - | - | - | - | 0 | 0.4% | 1.8% | 0.9% | 0.3% | 3.1% | 2.9% | 2.2% |
| 2007 | 0.2% | -0.6% | 2% | 3.2% | 1.4% | 0.8% | 0.1% | 0.9% | 5.4% | 7.8% | -3.4% | 1.6% |
| 2008 | -3.9% | 2.5% | -2.1% | -1.7% | 3.6% | -3.3% | -1.2% | 2.2% | 1.4% | 0.5% | 11.6% | 5.4% |
| 2009 | -3.1% | 2.1% | 2.6% | -2.1% | 8.5% | -1.3% | 6.8% | 1.1% | 6.5% | -2.7% | 5.6% | 1.9% |
| 2010 | -4% | 3.5% | 4.2% | 4% | -4.1% | -2.1% | 3.3% | -0.4% | 8% | 4% | -1.3% | 3% |
| 2011 | -1.2% | 4% | 1% | 3% | -1.3% | -2.4% | 1.3% | -3% | 3.1% | 3.5% | 1.4% | -3.4% |
| 2012 | 9.2% | 1.8% | 0.9% | 0.2% | -3.4% | 1.4% | 1% | 2.4% | 0.9% | -1.5% | 1.5% | 1% |
| 2013 | 1.3% | -0.9% | 1.1% | 1.9% | 0.1% | -3.2% | 4.6% | -1.8% | 3.5% | 2.7% | 1.4% | 1.6% |
| 2014 | 0.3% | 4.1% | -1% | 0.9% | 2.2% | 3% | -0.9% | 3.8% | -2.3% | 1.6% | 1.2% | -0.5% |
| 2015 | 0.1% | 2.9% | -0.3% | -1.3% | 0.7% | -1.5% | 1.6% | -3.8% | -0.9% | 3.4% | 0.4% | -1.9% |
| 2016 | 0.2% | 8.2% | 0.4% | 2.1% | -1.1% | 2.8% | 3.6% | -1% | 0.7% | -2% | 0.9% | 0.9% |
| 2017 | 2.3% | 2.6% | 1.3% | 1.5% | 2.9% | -1.5% | 2.7% | 1.3% | -0.9% | 1.4% | -0.1% | 2.1% |
| 2018 | 5.9% | -2.5% | -0.7% | -1.4% | 2.8% | -0.5% | 1.1% | 2.9% | -0.6% | -6.2% | 0.7% | 0.6% |
| 2019 | 2% | -0.5% | -0.6% | 1.4% | -3.7% | 5.9% | -2.5% | 2.3% | -0.1% | 2.1% | 1.5% | 3.5% |
| 2020 | 1.1% | -2.1% | 1.6% | 5% | 4.4% | 3.1% | 8.3% | 2.7% | -2.7% | -0.9% | 4.4% | 5.6% |
| 2021 | 1.4% | - | - | - | - | - | - | - | - | - | - | - |
| Pos | 73.3% | 64.3% | 64.3% | 71.4% | 64.3% | 46.7% | 80% | 66.7% | 60% | 66.7% | 80% | 80% |
| Avg | 0.8% | 1.8% | 0.7% | 1.2% | 0.9% | 0.1% | 2.1% | 0.7% | 1.5% | 1.1% | 1.9% | 1.6% |
Transaction details
Summary
A complete trade consists of 2 transactions.
| Total number of trades | 75 |
|---|---|
| Percent profitable | 64% |
| Winning trades | 48 |
| Losing trades | 27 |
| Even trades | 0 |
Returns
How much profit was made with each trade.
| Avg returns all trades | 1% |
|---|---|
| Avg returns winning | 2.34% |
| Avg returns losing | -1.38% |
| Largest winning trade | 9.73% |
| Largest losing trade | -3.78% |
Duration
How long a position was held.
| Avg duration | 118 days |
|---|---|
| Median duration | 61 days |
| Longest duration | 910 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 May 2006 to January 2021. For 0% of the time, the portfolio was allocated to bonds, and 100% of the time to equities.