Strategy: αc Funds of Funds IX (RA)

Investment Objective

Aggressive Long-Term Capital Appreciation

Annualized Return

14.1%

Time
Horizon

5+ years

Rebalancing Frequency

N/A

This strategy combines the best of all αc's strategies.

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 $25,357 14.1% 9.6% 30.9% -3.1% -14% 1.43 2.08
$10,000 $22,887 12.5% 17.5% 31.2% -4.6% -34.1% 0.76 1.05

  • 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 December 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 7 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 Funds of Funds IX (RA)

Drawdown Peak date Valley date Recovery date Duration
-14.04% 2020-03-09 2020-03-18 2020-04-06 21 days
-7.55% 2020-09-02 2020-09-23 2021-01-05 90 days
-7.12% 2018-01-26 2018-10-29 2019-02-20 279 days
-7.03% 2015-03-20 2015-08-25 2016-02-08 232 days
-5% 2019-05-03 2019-05-31 2019-06-24 37 days

The αc Funds of Funds IX (RA) took approximately 4 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
2014 3% 2.4% 0.2% 0.5% 2.5% 2.4% -0.7% 3.6% -3.5% 0.8% 1.6% 0
2015 1.3% 0.6% -0.1% -2.4% -1.4% -0.9% 1% -1.8% -0.1% 1.7% 0.1% -1.1%
2016 2.1% 8.3% 0.4% 2.1% -0.2% 5.7% 2.8% -0.7% 1% -1.7% 0.1% 0.5%
2017 1.4% 2.1% -0.1% 1.5% 2.4% -0.4% 3.4% 1.3% 0 1.8% 0.5% 1.8%
2018 6.2% -2% 0.1% -1.5% 1.4% -1.5% 0.2% 2.4% -0.7% -3.7% 0.6% 2.9%
2019 2.3% 0.2% 0.5% 2.7% -4.9% 5.6% -2% 5.3% -1.5% 1.9% 2.4% 3.2%
2020 -1.2% 1.8% 3.4% 5.7% 3.3% 2.7% 6.4% 3.9% -3.1% -0.8% 0.2% 5.3%
2021 2.2% - - - - - - - - - - -
Pos 87.5% 85.7% 71.4% 71.4% 57.1% 57.1% 71.4% 71.4% 16.7% 57.1% 100% 83.3%
Avg 2.2% 1.9% 0.6% 1.2% 0.4% 1.9% 1.6% 2% -1.3% 0% 0.8% 2.1%