αc Multi-Asset Defensive III (CH)

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 one single asset according to certain calculations, and rebalance once a month.

The investment universe for the portfolio is comprised of multiple assets classes, ranging from large to mid-cap developing markets, emerging markets and fixed-income instruments.
The portfolio pursues a rather defensive strategy that seeks to achieve equity-like returns with low...
17 August 1979  –  29 July 2021
Compare with
S&P 500 (US Large Cap) (SP500.X)

Performance

Annualized Return
20.52%
αc Multi-Asset Defensive III (CH)
11.1%
S&P 500 (US Large Cap)
Sharpe Ratio
1.58
αc Multi-Asset Defensive III (CH)
0.67
S&P 500 (US Large Cap)
Maximum Drawdown
-21.04%
αc Multi-Asset Defensive III (CH)
-55.2%
S&P 500 (US Large Cap)

Metrics

Metric αc Multi-Asset Defensive III (CH) S&P 500 (US Large Cap)
Initial Balance $10,000 $10,000
Final Balance $25,287,722 $829,704
Returns
Month-To-Date 2.53% 2.94%
Year-To-Date 16.32% 18.25%
3M 4.74% 5.54%
6M 10.59% 15.19%
Annual Return (1Y) 23.85% 38.8%
Annual Return (3Y) 23.59% 18.13%
Annual Return (5Y) 17.25% 17.33%
Annual Return (10Y) 19.04% 15.16%
Annual Return (All) 20.52% 11.1%
Enh Ann Return 20.4% 12.6%
Best Year 60.58% 38.03%
Worst Year -3.82% -36.81%
Risk
Annual Volatility 12.33% 18.1%
Max Drawdown -21.04% -55.2%
Sharpe Ratio 1.58 0.67
Sortino Ratio 2.37 0.94
Enhanced Sortino 3.47 1.41

  • 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 August 1979.
  • 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 42 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 Multi-Asset Defensive III (CH) S&P 500 (US Large Cap) Won
1979 1.55% -1.94%
1980 25.69% 28.17%
1981 16.91% -8.47%
1982 60.58% 19.3%
1983 23.22% 17.15%
1984 22.38% 3.69%
1985 23.05% 22.71%
1986 16.84% 9.31%
1987 14.46% 4.7%
1988 19.85% 16.22%
1989 44.41% 31.37%
1990 4.32% -3.33%
1991 39.57% 30.19%
1992 19.1% 8.21%
1993 37.91% 8.75%
1994 -3.82% 0.4%
1995 21.5% 38.03%
1996 10% 22.55%
1997 33.53% 33.48%
1998 15.61% 28.69%
1999 43.79% 20.39%
2000 16.12% -9.73%
2001 1.13% -11.75%
2002 5.61% -21.59%
2003 44.47% 28.18%
2004 18.54% 10.7%
2005 33.21% 4.83%
2006 22.66% 15.85%
2007 24.84% 5.14%
2008 23.07% -36.81%
2009 16.25% 26.37%
2010 -1.48% 15.06%
2011 44.83% 1.89%
2012 19.41% 15.99%
2013 10.16% 32.31%
2014 19.14% 13.46%
2015 2.56% 1.25%
2016 10.26% 12%
2017 15.42% 21.7%
2018 10.71% -4.56%
2019 14.95% 31.22%
2020 34.48% 18.37%
2021 16.32% 18.25%

αc Multi-Asset Defensive III (CH) had 41 positive years and 2 negative years. That's a positive ratio of 95%.

S&P 500 (US Large Cap) had 35 positive years and 8 negative years. That's a positive ratio of 81%.

αc Multi-Asset Defensive III (CH) had a better yearly return 72% of the time compared to S&P 500 (US Large Cap).

Table

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD
1979 0% 0% 0% 0% 0% 0% 0% 0.5% 0.6% -3.6% 3.1% 1% 1.6%
1980 -6.8% -0.6% -8.3% 9.3% 4.6% 3.8% 4.8% 1.6% 3.5% 6.1% 11% -3.9% 23.2%
1981 -0.6% -1.6% 6.7% -0.3% 10.5% 1.7% -3.9% -5% -5.2% 8% 11.5% -4% 15.7%
1982 4% 3.9% 3.5% 4.4% 1.8% -0.2% 5.8% 9% 7.6% 9.6% -3.3% 2.9% 47.4%
1983 -2.4% 5% 0.3% 5.8% 1.9% 4.7% 0.8% 1.3% 2.2% -0.7% 4.4% -1.9% 21%
1984 1.1% -5.1% -1.6% 0.9% -5.3% 3.9% 10.3% 6.1% 3.8% -1.7% 4.1% 5.1% 20.3%
1985 7.1% 1.2% -5.5% 2.2% 1.9% 1.6% 0.9% 1.7% 1.3% 3.6% 3.7% 1.7% 20.9%
1986 0.8% 4.9% 7.9% 0.7% 2.5% 2.8% -2.4% 3.9% -5.4% 0.8% 3.7% -3.9% 15.9%
1987 1% 2.9% 4.5% 2.5% 0.6% 2.5% 3.5% 4.8% -2% -7.2% 0.2% 0.9% 13.8%
1988 3.9% 3.3% 6.8% -1.1% 1.2% 7.5% 1.3% -4.6% -0.4% -1.5% 0.9% 1.6% 18.3%
1989 2.5% -0.4% 6.6% 14.2% 4.6% 3.8% 0% 3% 3.2% -2% -0.4% 3.1% 37%
1990 0.1% -1.3% -0.3% -2.8% 4.5% 3.1% 4.3% -11% 0% 2.1% 4.6% 2% 4.6%
1991 1.1% 13% 8.2% 2.1% 8.4% -2.1% -0.6% 1.4% 0.2% -0.3% -2.8% 6.4% 33.7%
1992 4.4% 2.9% 0.9% -1.4% 2.7% -5.6% 3.5% 0.7% 1.4% -1.1% 3.7% 6% 17.7%
1993 2.8% 1.5% -0.4% 4.9% 0.4% 7.4% 0.8% 4.7% 1.8% 8.8% -0% 0.4% 32.3%
1994 4.4% -3.2% -3.9% -2.2% -0.5% -1.1% 2% 7.4% -1.1% -0.7% -5.1% 0.7% -3.6%
1995 2.6% 2.8% 0.7% 1.7% 3.1% -0.3% 4% -0.9% -0.1% -0.8% 2.7% 4.3% 19.7%
1996 4.1% -1.1% 2.4% 2.7% -0.4% -0.7% -5.9% -2.4% 4.6% 2.2% 3.2% 1.3% 9.9%
1997 8.2% 3.9% -1.8% 1% 8.9% 6.4% 9.2% -8.3% 0.1% -2.5% 2.3% 3.5% 29.5%
1998 1.5% -0.7% 4% -0.6% -1.5% 1.3% -1.4% 4.8% 3.3% -1.7% 4.2% 1.7% 15%
1999 3.1% -1.6% 6.2% 11.1% -2.2% 8.4% -6.6% -0% -2.1% 3.3% 8% 11.3% 37.4%
2000 -2.6% 3.9% 3.9% 0.6% -2.4% -0.9% 4.9% 6.5% 0.7% 5.8% -0.2% -4.4% 16.2%
2001 -2.2% 1.8% -0.4% -3.2% 6% 0.1% 0.4% -3.1% 0.9% 5.1% -6.2% 2.7% 1.9%
2002 3.3% 0.6% -4.7% -5.5% 0.2% 1.8% 2.7% 5.5% 4.3% -3.7% 6.5% -4.5% 6.2%
2003 1.6% 3.1% -1.4% 1% 5.7% 2.5% 4.3% 4.3% 0.7% 7.6% 1.3% 7.1% 37.2%
2004 2.4% 3% -0.1% -5.1% -2.5% 1.4% -3% 3.6% 3.4% 2.4% 7.7% 4.6% 17.4%
2005 -1.1% 6.2% -4.6% 4.3% 5.6% 4.9% 5.3% -0.6% 6.7% -3.9% 3.3% 4.1% 29.4%
2006 5.2% 0.8% -0.3% 5.5% -7.4% 1.1% 2.2% 2.1% 1.1% 3.6% 4.2% 3% 21%
2007 0.6% -1.5% 3.1% 4.1% 4.7% 1.3% 0.8% 1% 8.7% 8.2% -6.5% -1.3% 23.4%
2008 2.1% -0.5% 2.1% -2.5% -2.7% -8.9% -3.1% 3.2% 4.5% 10% 14.6% 3.9% 23.2%
2009 -5.6% -0.2% -1.1% -6.7% 5.9% -0.8% 9.7% 1.7% 6.9% -2.1% 6.5% 2.5% 17.7%
2010 -4.5% 3.7% 6.9% 1.5% -1.7% 4.8% -6.7% -2.3% -7.4% 1.4% -2.5% 6.5% -0.1%
2011 2.7% 3.5% -0.5% 2.6% -2.2% -1.6% -1.3% 11.1% 14.9% -7.3% 9.5% 8.4% 39.7%
2012 -2.1% 1% 1% 0.8% 15.9% -3.1% 3.6% -2.3% 0.6% -2% 1% 5.1% 18.7%
2013 2.3% 0.9% 3% 2.9% 2.2% -6.4% -2.9% -1.3% 0.7% 4.4% 2.5% 2.1% 10.5%
2014 -3.8% -0.2% 1.8% 0.2% 2.7% 1.3% 1.9% 5.4% 0.3% 2.2% 1.2% 5% 18.1%
2015 17.9% -5.6% 2.4% -8% -1.1% -5.5% 6.6% -2.9% 2.1% -1% 3.2% -3.1% 4.3%
2016 5.3% 3.4% -3% 2.3% -1.6% 6.2% 2.1% -0.7% 1% -0.4% -4.7% 0.4% 10.9%
2017 -1.2% 3.6% -0.3% -0.8% 1.7% 0.6% 3.9% 1.6% 0.8% 2.1% 1.2% 1.3% 14.7%
2018 6.6% -4.5% 3.3% -2.1% 2.8% 1% -2.1% 1.9% -1.8% -0.7% 1.4% 5% 11.1%
2019 0% 2.1% 3.2% 3.1% -5.5% -1.3% 2.1% 11.5% -1.4% -3.5% 4% 0.7% 14.7%
2020 -1.7% 8.2% 6.6% 2% 5% -1% 6% 4.8% -3.2% -0.6% 1.9% 2.7% 32.3%
2021 1.2% 2% 1.9% 5.2% 1.1% 1.3% 2.5% 0% 0% 0% 0% 0% 15.7%
Pos 71.4% 64.3% 59.5% 66.7% 66.7% 64.3% 71.4% 66.7% 73.8% 47.6% 76.2% 81% 95.3%
Avg 1.6% 1.6% 1.4% 1.4% 1.9% 1.1% 1.7% 1.7% 1.5% 1.2% 2.6% 2.2% 19%

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 Defensive III (CH)

start valley end Drawdown days
2007-11-01 2008-07-25 2008-10-23 -21.04% 357
2015-02-02 2015-06-10 2016-07-05 -18.97% 519
1979-12-18 1980-03-26 1980-06-25 -17.19% 190
2013-05-22 2013-08-21 2014-07-23 -17.15% 427
2010-07-01 2010-10-01 2011-08-04 -16.75% 399

The αc Multi-Asset Defensive III (CH) took approximately 13 months on average to recover from a major drawdown.

S&P 500 (US Large Cap)

start valley end Drawdown days
2007-10-10 2009-03-09 2012-08-16 -55.2% 1772
2000-03-27 2002-10-09 2006-10-26 -47.5% 2404
2020-02-20 2020-03-23 2020-08-10 -33.7% 172
1987-08-26 1987-10-19 1989-05-19 -33.08% 632
1980-12-01 1982-08-12 1982-10-13 -25.09% 681

The S&P 500 (US Large Cap) took approximately 38 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.