αc Funds of Funds IX (RA)

This strategy combines the best of all αc's strategies.
31 December 2013  –  29 July 2021
Compare with
SPDR S&P 500 ETF Trust (SPY)

Performance

Annualized Return
13.26%
αc Funds of Funds IX (RA)
14.3%
SPDR S&P 500 ETF Trust
Sharpe Ratio
1.35
αc Funds of Funds IX (RA)
0.86
SPDR S&P 500 ETF Trust
Maximum Drawdown
-14%
αc Funds of Funds IX (RA)
-33.7%
SPDR S&P 500 ETF Trust

Metrics

Metric αc Funds of Funds IX (RA) SPDR S&P 500 ETF Trust
Initial Balance $10,000 $10,000
Final Balance $25,707 $27,542
Returns
Month-To-Date 2.22% 2.94%
Year-To-Date 3.3% 18.64%
3M -1.32% 5.89%
6M -0.92% 15.57%
Annual Return (1Y) 10.48% 39.26%
Annual Return (3Y) 18.41% 18.26%
Annual Return (5Y) 14.64% 17.4%
Annual Return (10Y) 13.26% 14.3%
Annual Return (All) 13.26% 14.3%
Enh Ann Return 10.34% 12.2%
Best Year 36.6% 31.22%
Worst Year -3.76% -4.56%
Risk
Annual Volatility 9.58% 17.21%
Max Drawdown -14% -33.7%
Sharpe Ratio 1.35 0.86
Sortino Ratio 1.97 1.2
Enhanced Sortino 1.8 1.44

  • 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 July 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 8 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.

Chart

Table

Year αc Funds of Funds IX (RA) SPDR S&P 500 ETF Trust Won
2013 0% 0%  =
2014 12.65% 13.46%
2015 -3.76% 1.25%
2016 19.81% 12%
2017 16.33% 21.7%
2018 1.34% -4.56%
2019 18.97% 31.22%
2020 36.6% 18.37%
2021 3.3% 18.64%

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.

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 3.1% 1.9% 0.2% 0.5% 2.5% 2.5% -0.5% 4% -3.6% 1% 1.1% -0.5% 12.2%
2015 1.2% 0.8% -1.1% -2.2% -1.2% -1% 1% -2% 0.1% 1.7% 0.1% -1.1% -3.7%
2016 1.9% 8.7% -0.2% 2% -1.3% 5.6% 2.5% -0.7% 0.8% -1.2% 0.3% 0.3% 18.7%
2017 1.6% 2.1% -0.2% 1.4% 2.3% -0.4% 3.3% 1.5% -0.1% 1.6% 1% 1.1% 15.3%
2018 6.1% -2.1% 0% -1.5% 1.5% -1.5% 0.2% 2.4% -0.7% -3.5% 0.4% 0.4% 1.5%
2019 1.9% 0.7% 1% 2.4% -4.7% 6.2% -1.4% 6.2% -1.3% 1.9% 1.9% 3.3% 17.7%
2020 -1.1% 2% 3.2% 6.8% 5.4% 2.7% 7.3% 3.8% -2.8% -0.7% 0.3% 5.4% 32.7%
2021 1% 0.6% 0.5% 2.3% 1.1% -4.2% 2.2% 0% 0% 0% 0% 0% 3.5%
Pos 87.5% 87.5% 62.5% 75% 62.5% 50% 75% 71.4% 28.6% 57.1% 100% 71.4% 87.5%
Avg 2% 1.8% 0.4% 1.5% 0.7% 1.2% 1.8% 2.2% -1.1% 0.1% 0.7% 1.3% 12.2%

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% 27
2014-09-08 2015-08-25 2016-02-08 -8.05% 518
2018-01-29 2018-12-24 2019-06-21 -7.66% 508
2020-09-03 2020-09-23 2020-12-31 -7.35% 119
2021-06-02 2021-07-19 - -5.73% 57

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.