Strategy: αc Multi-Asset Defensive III (RA)
Investment Objective
Aggressive Long-Term Capital Appreciation
Annualized Return
12.3%
Time
Horizon
5+ years
Rebalancing Frequency
N/A
About
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.
Period: January 2013 - March 2021.
-
αc Multi-Asset Defensive III (RA)
- Annualized Return: 12.3%
- Sharpe: 0.9
- Sortino: 1.29
SPDR S&P 500 ETF Trust- Annualized Return: 14.45%
- Sharpe: 0.89
- Sortino: 1.23
-
Chart
Metrics
Metric αc Multi-Asset Defensive III (RA) SPDR S&P 500 ETF Trust Initial Balance $10,000 $10,000 Final Balance $25,569 $29,809 Returns Month-To-Date 0.96% 0.28% Year-To-Date 4.2% 2.02% 3M 7.02% 5.8% 6M 4.97% 10.1% Annualized Return (1Y) 37.48% 25.75% Annualized Return (3Y) 19.01% 14.48% Annualized Return (5Y) 15.86% 16.12% Annualized Return (10Y) 12.3% 14.45% Annualized Return (All) 12.3% 14.45% Enh Ann Return 10.49% 13.52% Best Year 36.16% 31.22% Worst Year -5.94% -4.56% Risk Annual Volatility 14.06% 16.87% Max Drawdown -19.36% -33.7% Sharpe Ratio 0.9 0.89 Sortino Ratio 1.29 1.23 Enhanced Sortino 1.43 1.56
- 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 January 2013.
- Final balance: The amount of capital we've accrued over time as of March 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.
-
αc Multi-Asset Defensive III (RA)
- Max Drawdown: -19.36%
- Average recovery time of large downturns: 11 months
SPDR S&P 500 ETF Trust- Max Drawdown: -33.7%
- Average recovery time of large downturns: 6 months
-
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 (RA)
start valley end Drawdown days 2015-02-02 2015-06-26 2016-07-01 -19.36% 515 2020-03-10 2020-03-18 2020-04-21 -15.72% 42 2013-05-22 2013-08-21 2014-06-06 -13.67% 380 2016-09-07 2016-12-14 2017-07-19 -11.68% 315 2018-01-29 2018-02-08 2019-01-03 -10.96% 339 The αc Multi-Asset Defensive III (RA) took approximately 11 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.
-
αc Multi-Asset Defensive III (RA)
- Positive year ratio: 89%
- Outperformance ratio (vs. benchmark): 33%
SPDR S&P 500 ETF Trust- Positive year ratio: 89%
-
Chart
Table
Year αc Multi-Asset Defensive III (RA) SPDR S&P 500 ETF Trust Won 2013 13.72% 25.86% 2014 6.61% 13.46% 2015 -5.94% 1.25% 2016 8.87% 12% 2017 19.76% 21.7% 2018 7.48% -4.56% 2019 12.78% 31.22% 2020 36.16% 18.37% 2021 4.2% 2.02% αc Multi-Asset Defensive III (RA) had 8 positive years and 1 negative years. That's a positive ratio of 89%.
SPDR S&P 500 ETF Trust had 8 positive years and 1 negative years. That's a positive ratio of 89%.
αc Multi-Asset Defensive III (RA) had a better yearly return 33% 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% 3% 4.8% 3.7% -4.2% -2.3% -1.3% 0.7% 4.4% 2.5% 2.1% 13.6% 2014 -3.8% -0.2% 1.8% 0.2% 2.7% 2% -0.2% 3.9% -4.3% 1.8% 0.9% 2.1% 7% 2015 9.8% -6.1% -2% -4% -3.3% -3.7% 4.5% -0.7% 2% -0.4% -0.9% -0.3% -5% 2016 5.6% 3.1% -0.1% 2.3% -1.6% 6.2% 2.1% -0.7% 1% -0.8% -7.4% -0.5% 9.5% 2017 0.8% 2.1% 0.6% 1.4% 1.8% 0.6% 3.9% 1.6% 0.8% 2.1% 1.2% 1.3% 18.3% 2018 6.6% -4.5% 3.3% -2.1% 2% 0.6% -1.4% 1.1% -2.5% -2.9% 1.8% 5.8% 7.9% 2019 0.4% 1.5% 1.6% 2.9% -6.1% 0.7% 0% 10.4% -2.7% -1.1% 2.3% 3% 12.7% 2020 -3.3% 7.5% 6.4% 1.2% 7.6% 1.1% 5.9% 4.8% -3.2% -0.6% 1.9% 2.7% 33.6% 2021 1.2% 2% 1% 0 0 0 0 0 0 0 0 0 4.4% Pos 75% 66.7% 77.8% 75% 62.5% 75% 62.5% 62.5% 50% 37.5% 75% 75% 88.9% Avg 2.2% 0.6% 1.7% 0.8% 0.9% 0.4% 1.6% 2.4% -1% 0.3% 0.3% 2% 11.3%
-
Transaction details
Summary
A complete trade consists of 2 transactions.
Total number of trades 70 Percent profitable 74% Winning trades 52 Losing trades 18 Even trades 0 Returns
How much profit was made with each trade.
Avg returns all trades 1.2% Avg returns winning 2.32% Avg returns losing -2.05% Largest winning trade 13.92% Largest losing trade -9.4% Duration
How long a position was held.
Avg duration 64 days Median duration 32 days Longest duration 305 days Shortest duration 28 days
-
The bond to equity ratio for this portfolio is dynamic through time. The provided values are the average historical percentages from January 2013 to March 2021.
For 30% of the time, the portfolio was allocated to bonds, and 70% of the time to equities.