Strategy: αc Funds of Funds IX (RA)
Investment Objective
Aggressive Long-Term Capital Appreciation
Annualized Return
13.6%
Time
Horizon
5+ years
Rebalancing Frequency
N/A
About
This strategy combines the best of all αc's strategies.
Period: December 2013 - April 2021.
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αc Funds of Funds IX (RA)
- Annualized Return: 13.6%
- Sharpe: 1.37
- Sortino: 2
SPDR S&P 500 ETF Trust- Annualized Return: 13.9%
- Sharpe: 0.84
- Sortino: 1.16
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Chart
Metrics
Metric αc Funds of Funds IX (RA) SPDR S&P 500 ETF Trust Initial Balance $10,000 $10,000 Final Balance $25,375 $25,866 Returns Month-To-Date 2.01% 4.76% Year-To-Date 4.18% 11.42% 3M 1.99% 10.88% 6M 5.95% 20.46% Annualized Return (1Y) 28.11% 47.19% Annualized Return (3Y) 16.7% 17.52% Annualized Return (5Y) 15.38% 16.88% Annualized Return (10Y) 13.6% 13.9% Annualized Return (All) 13.6% 13.9% Enh Ann Return 10.27% 11.17% Best Year 35.33% 31.22% Worst Year -3.86% -4.56% Risk Annual Volatility 9.68% 17.4% Max Drawdown -14.04% -33.7% Sharpe Ratio 1.37 0.84 Sortino Ratio 2 1.16 Enhanced Sortino 1.92 1.37
- 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 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 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.
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αc Funds of Funds IX (RA)
- Max Drawdown: -14.04%
- Average recovery time of large downturns: 8 months
SPDR S&P 500 ETF Trust- Max Drawdown: -33.7%
- Average recovery time of large downturns: 6 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 Funds of Funds IX (RA)
start valley end Drawdown days 2020-03-10 2020-03-18 2020-04-06 -14.04% 27 2014-09-08 2015-08-25 2016-02-08 -8.25% 518 2020-09-03 2020-09-23 2021-01-05 -7.54% 124 2018-01-29 2018-12-24 2019-04-23 -7.3% 449 2016-04-20 2016-05-19 2016-06-08 -5.26% 49 The αc Funds of Funds IX (RA) took approximately 8 months on average to recover from a major drawdown.
SPDR S&P 500 ETF Trust
start valley end Drawdown days 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 2020-09-03 2020-09-23 2020-11-11 -9.44% 69 The SPDR S&P 500 ETF Trust took approximately 6 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 Funds of Funds IX (RA)
- Positive year ratio: 88%
- Outperformance ratio (vs. benchmark): 38%
SPDR S&P 500 ETF Trust- Positive year ratio: 88%
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Chart
Table
Year αc Funds of Funds IX (RA) SPDR S&P 500 ETF Trust Won 2013 0% 0% = 2014 13.19% 13.46% 2015 -3.86% 1.25% 2016 20.77% 12% 2017 16.18% 21.7% 2018 1.73% -4.56% 2019 15.87% 31.22% 2020 35.33% 18.37% 2021 4.18% 11.42% αc Funds of Funds IX (RA) had 7 positive years and 1 negative years. That's a positive ratio of 88%.
SPDR S&P 500 ETF Trust had 7 positive years and 1 negative years. That's a positive ratio of 88%.
αc Funds of Funds IX (RA) had a better yearly return 38% 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 2013 0 0 0 0 0 0 0 0 0 0 0 0 0 2014 3% 2.4% 0.2% 0.5% 2.5% 2.5% -0.5% 4% -3.7% 0.9% 1.2% -0.3% 12.6% 2015 1.3% 0.6% -1.2% -2.5% -1.2% -0.9% 1% -1.8% -0% 1.7% 0.1% -1.1% -3.8% 2016 2.1% 8.3% 0.4% 2.1% -1.3% 5.7% 2.8% -0.7% 0.8% -1.2% 0.2% 0.3% 19.5% 2017 1.5% 2.1% -0.2% 1.4% 2.4% -0.5% 3.3% 1.5% -0.2% 1.6% 1% 1.1% 15.2% 2018 6.1% -1.8% -0% -1.5% 1.4% -1.5% 0.2% 2.4% -0.7% -3.7% 0.4% 0.6% 1.9% 2019 2.1% 0.5% 0.8% 2.4% -4.7% 5.5% -1.9% 5.2% -1.5% 1.7% 2.1% 3.2% 15.1% 2020 -1.1% 1.7% 3.4% 5.8% 6.1% 2.5% 7.2% 3.8% -2.9% -0.7% 0.1% 5.4% 31.8% 2021 1% 0.6% 0.5% 2% 0 0 0 0 0 0 0 0 4.2% Pos 87.5% 87.5% 62.5% 75% 57.1% 57.1% 71.4% 71.4% 14.3% 57.1% 100% 71.4% 87.5% Avg 2% 1.8% 0.5% 1.3% 0.7% 1.9% 1.7% 2.1% -1.2% 0.1% 0.7% 1.3% 12.1%