αc Multi-Asset Defensive IV
The portfolio pursues a rather defensive strategy that seeks to achieve equity-like returns with low...
31 January 1977 – 29 July 2021
Compare with
S&P 500 (US Large Cap) (SP500.X)
Performance
- Annualized Return
-
15.89%αc Multi-Asset Defensive IV
-
10.59%S&P 500 (US Large Cap)
- Sharpe Ratio
-
1.48αc Multi-Asset Defensive IV
-
0.66S&P 500 (US Large Cap)
- Maximum Drawdown
-
-20.39%αc Multi-Asset Defensive IV
-
-55.2%S&P 500 (US Large Cap)
Metrics
| Metric | αc Multi-Asset Defensive IV | S&P 500 (US Large Cap) |
|---|---|---|
| Initial Balance | $10,000 | $10,000 |
| Final Balance | $7,098,956 | $884,820 |
| Returns | ||
| Month-To-Date | 2.72% | 2.94% |
| Year-To-Date | 16.53% | 18.25% |
| 3M | 4.92% | 5.54% |
| 6M | 10.79% | 15.19% |
| Annualized Return (1Y) | 19.96% | 38.8% |
| Annualized Return (3Y) | 27.6% | 18.13% |
| Annualized Return (5Y) | 19.72% | 17.33% |
| Annualized Return (10Y) | 16.3% | 15.16% |
| Annualized Return (All) | 15.89% | 10.59% |
| Enh Ann Return | 16.25% | 12.18% |
| Best Year | 49.21% | 38.03% |
| Worst Year | -10.66% | -36.81% |
| Risk | ||
| Annual Volatility | 10.35% | 17.79% |
| Max Drawdown | -20.39% | -55.2% |
| Sharpe Ratio | 1.48 | 0.66 |
| Sortino Ratio | 2.22 | 0.92 |
| Enhanced Sortino | 2.98 | 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 January 1977.
- 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 44 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 IV | S&P 500 (US Large Cap) | Won |
|---|---|---|---|
| 1977 | 6.21% | -7.07% | |
| 1978 | 16.85% | 0.77% | |
| 1979 | 6.54% | 11.67% | |
| 1980 | 8.24% | 28.17% | |
| 1981 | -3.47% | -8.47% | |
| 1982 | 32.68% | 19.3% | |
| 1983 | 9.85% | 17.15% | |
| 1984 | 8.65% | 3.69% | |
| 1985 | 25.61% | 22.71% | |
| 1986 | 13.08% | 9.31% | |
| 1987 | 16.27% | 4.7% | |
| 1988 | 13.89% | 16.22% | |
| 1989 | 32.28% | 31.37% | |
| 1990 | -10.66% | -3.33% | |
| 1991 | 19.75% | 30.19% | |
| 1992 | 10.95% | 8.21% | |
| 1993 | 35.7% | 8.75% | |
| 1994 | 3.29% | 0.4% | |
| 1995 | 13.85% | 38.03% | |
| 1996 | 7.08% | 22.55% | |
| 1997 | 13.49% | 33.48% | |
| 1998 | 18.07% | 28.69% | |
| 1999 | 33.91% | 20.39% | |
| 2000 | 7.23% | -9.73% | |
| 2001 | 6.26% | -11.75% | |
| 2002 | 13.9% | -21.59% | |
| 2003 | 49.21% | 28.18% | |
| 2004 | 21.35% | 10.7% | |
| 2005 | 21.12% | 4.83% | |
| 2006 | 23.85% | 15.85% | |
| 2007 | 32.51% | 5.14% | |
| 2008 | 12.26% | -36.81% | |
| 2009 | 42.31% | 26.37% | |
| 2010 | 2.79% | 15.06% | |
| 2011 | 11.9% | 1.89% | |
| 2012 | 25.07% | 15.99% | |
| 2013 | 16.99% | 32.31% | |
| 2014 | 1.57% | 13.46% | |
| 2015 | -7.54% | 1.25% | |
| 2016 | 23.59% | 12% | |
| 2017 | 20.36% | 21.7% | |
| 2018 | 3.81% | -4.56% | |
| 2019 | 22.95% | 31.22% | |
| 2020 | 37.31% | 18.37% | |
| 2021 | 16.53% | 18.25% |
αc Multi-Asset Defensive IV had 42 positive years and 3 negative years. That's a positive ratio of 93%.
S&P 500 (US Large Cap) had 37 positive years and 8 negative years. That's a positive ratio of 82%.
αc Multi-Asset Defensive IV had a better yearly return 62% 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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1977 | 0% | 1.5% | 0.9% | 0.4% | 0.3% | 0% | -0.4% | 1% | 0.6% | 0.2% | -0.1% | 1.5% | 6.1% |
| 1978 | 0.7% | 0.8% | -0.1% | -1.3% | 0.6% | 1.1% | 2.1% | 3.3% | -0.2% | -0.2% | -3.1% | 12.8% | 15.8% |
| 1979 | 0.9% | -2.8% | -0.3% | 0.4% | -0.4% | 2.6% | 1.7% | 3.6% | 0.6% | -3.6% | 2.1% | 1.7% | 6.4% |
| 1980 | -2.3% | 0.3% | -10.3% | 1.6% | 0.9% | 3.8% | 4.8% | 1.6% | 2.8% | 2.4% | 7.6% | -4.1% | 9.4% |
| 1981 | -3.7% | -3.7% | 0.3% | -3.8% | 0.4% | -1.4% | 0.1% | 0.2% | 0.2% | 0.2% | 8.5% | -0.3% | -3.5% |
| 1982 | 1.4% | 0.4% | 2.2% | 3% | 1.4% | 0.9% | 0.4% | 6.3% | -0.1% | 7% | 2.3% | 3.9% | 29.9% |
| 1983 | 7.3% | -2.5% | 0.9% | 1.5% | -0.3% | 3.4% | -2.5% | 1.2% | 1.6% | -1.3% | 2% | -1.4% | 9.8% |
| 1984 | 1.5% | 0.2% | 0.2% | 0.2% | 0.2% | 0.2% | 0.2% | 2.1% | 0.6% | 0.7% | 0.8% | 1.5% | 8.3% |
| 1985 | 4% | 1.1% | 1.1% | 1.2% | 3.7% | 1.6% | 0.9% | 1.7% | 1.3% | 1.4% | 3.6% | 1.7% | 22.9% |
| 1986 | 0.8% | 4.9% | 7.9% | 0.7% | 2.5% | 2.8% | -2.4% | 1.2% | -5.1% | 0.4% | 3.1% | -3.9% | 12.6% |
| 1987 | 0.8% | 4.3% | 4.5% | 2.5% | 0.6% | 2.5% | 3.5% | 4.8% | -2% | -7.2% | 1.2% | 0.3% | 15.4% |
| 1988 | 0.1% | 2.7% | 6.8% | 1% | 0.5% | 3% | -1.5% | -3.9% | 1.1% | 1.1% | 0.9% | 1.6% | 13.1% |
| 1989 | 1.1% | -1.4% | 4.1% | 11.8% | 2.6% | 1.6% | 0.8% | 0.3% | 5.9% | -0.6% | 0.4% | 2.3% | 28.1% |
| 1990 | 0.1% | -1.4% | -7.5% | 0.6% | 0.7% | 1% | 4.3% | -11% | 0% | -0.2% | 1.3% | 1.9% | -10.9% |
| 1991 | -4.3% | 10.8% | 3.2% | 0.7% | 6.1% | -4% | 2.3% | 2.3% | 0.5% | 1.4% | -2.8% | 2.9% | 18.4% |
| 1992 | 4.7% | 2.9% | 0.9% | 0.6% | 0.7% | -5.6% | 2% | 1.1% | 1.2% | -0.5% | 0% | 2.6% | 10.5% |
| 1993 | 0.3% | 1.4% | 2.8% | 3.4% | 5.3% | 1% | 2.3% | 6.5% | 1% | 6.1% | -0.1% | 1.2% | 30.7% |
| 1994 | 4.1% | -1.5% | 1.5% | -0.8% | 2.6% | -2.5% | 0.3% | 6.6% | -1.1% | -0.1% | -4.9% | -0.3% | 3.4% |
| 1995 | 1.8% | 1.9% | 0.5% | 1.2% | 2.9% | -0.3% | 4% | -0.9% | 0.4% | -0.1% | 0.6% | 1.2% | 13.1% |
| 1996 | 3.2% | -1.1% | 1.6% | 1.9% | 0.8% | 0.4% | -5.6% | -1.8% | 4.4% | 2.2% | 2.5% | -1.2% | 7.1% |
| 1997 | 5.9% | 2% | -3.8% | -0.2% | 6.4% | 4.5% | 6.3% | -5.9% | 0.6% | -3.8% | 0.8% | 0.9% | 13.1% |
| 1998 | 0.8% | -0.2% | 4.5% | 1.1% | -1.7% | 1.1% | 0.3% | 1.1% | 3.1% | 0.4% | 4.5% | 1.7% | 17% |
| 1999 | 3.1% | 0.3% | 4.1% | 9.6% | -3.3% | 6.8% | -3.3% | -0.4% | -1.4% | 0.5% | 3.8% | 11% | 29.7% |
| 2000 | -5.3% | 4.3% | 1.9% | -4.4% | 0.9% | 0.8% | 0.5% | 2% | 0.8% | 1.6% | 2.6% | 1.6% | 7.6% |
| 2001 | 1.1% | 1% | 0.5% | -2.1% | 1.2% | 0.2% | 2.3% | 1% | 1.5% | -2.3% | -2% | 3.8% | 6.4% |
| 2002 | 0.4% | 1.5% | -0.4% | -2.7% | 5.3% | 0.5% | 1.3% | 3.8% | 3.6% | -2.4% | 7.4% | -4.5% | 13.6% |
| 2003 | 6.8% | 2.5% | -3% | 0.6% | 6.6% | 2.5% | 4.3% | 4.3% | 0.7% | 7.6% | 1.3% | 7.1% | 40.5% |
| 2004 | 2.4% | 3% | -0.1% | -5.2% | 1.2% | 0.8% | -3% | 2.9% | 3.4% | 2.4% | 7.7% | 4.6% | 19.7% |
| 2005 | -1.1% | 6.2% | -4.6% | 2.4% | 1.7% | 2.6% | 5.3% | 0.2% | 5.3% | -4.1% | 1.8% | 4.2% | 19.6% |
| 2006 | 8.1% | -1.2% | 1.7% | 5.5% | -7.6% | 0% | 1.8% | 2.2% | 1.1% | 3.6% | 4.2% | 3% | 22% |
| 2007 | 0.6% | -1.5% | 3.1% | 4.1% | 4.7% | 1.3% | 0.8% | 0.8% | 8.7% | 8.2% | -6.5% | 5% | 29.4% |
| 2008 | 4.5% | 2.2% | -1.3% | -2.5% | 3% | -8.9% | -3.4% | 2.2% | 0.6% | 0.5% | 11.6% | 4.5% | 12.5% |
| 2009 | -3.2% | 2% | 4.6% | -2.1% | 11.3% | -0.8% | 9.7% | 1.7% | 6.9% | -2.1% | 6.5% | 2.5% | 36.8% |
| 2010 | -5.2% | 2.7% | 6.3% | 0.2% | -8.6% | 3.2% | -1.8% | -4.6% | 4.7% | 3.1% | -2.5% | 6.5% | 3.6% |
| 2011 | 2.7% | 3.5% | -0.5% | 2.6% | -2.2% | -1.6% | -1.3% | 4.2% | 7.9% | 3.4% | 1.1% | -7.5% | 12.7% |
| 2012 | 8.7% | 3.8% | 0.3% | -0.2% | 1.9% | -0.4% | 0.7% | 0.8% | 3.5% | -2% | 1% | 5.1% | 23% |
| 2013 | 2.3% | 0.9% | 3% | 1.2% | 3.2% | -4% | 0.8% | -1.5% | 1.1% | 4.4% | 2.5% | 2.1% | 16.1% |
| 2014 | -3.8% | -0.7% | 1.4% | 0.2% | 2.7% | 2% | -0.2% | 3.9% | -4.3% | 0.3% | 1% | -0.5% | 1.9% |
| 2015 | 2.5% | -1.6% | -1.9% | -3.2% | -3.1% | -0.6% | 0.4% | -0.2% | 0.6% | -0% | -0.3% | -0.3% | -7.6% |
| 2016 | 3.8% | 8.7% | -0.2% | 2% | -1.6% | 8.3% | 1.7% | -0.5% | 1% | -0.8% | -0.5% | 0% | 22.1% |
| 2017 | 1.3% | 2.1% | 0.6% | 1.4% | 1.8% | 0.6% | 3.9% | 1.6% | 0.8% | 2.1% | 1.2% | 1.3% | 18.8% |
| 2018 | 6.6% | -4.5% | 1.4% | -1.6% | 0.1% | -2.5% | -0.7% | 1.9% | -0.8% | -1.2% | 0.5% | 5.1% | 4.2% |
| 2019 | 2.4% | 1.7% | 1.6% | 2.9% | -6.1% | 6% | -1% | 10% | -2.8% | 1.6% | 2.4% | 3% | 21.3% |
| 2020 | -3.3% | 6% | 5.1% | 7.5% | 6.6% | 2.3% | 6.4% | 4.8% | -3.2% | -0.6% | -3.7% | 5% | 34% |
| 2021 | 1.2% | 2% | 1.9% | 5.2% | 1.1% | 1.3% | 2.7% | 0% | 0% | 0% | 0% | 0% | 15.9% |
| Pos | 79.5% | 71.1% | 71.1% | 71.1% | 77.8% | 73.3% | 71.1% | 77.3% | 77.3% | 56.8% | 75% | 77.3% | 93.3% |
| Avg | 1.5% | 1.5% | 1.1% | 1.1% | 1.3% | 0.9% | 1.2% | 1.4% | 1.3% | 0.7% | 1.6% | 2.1% | 15.1% |
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 IV
| start | valley | end | Drawdown | days |
|---|---|---|---|---|
| 1980-01-22 | 1980-04-03 | 1980-10-15 | -20.39% | 267 |
| 2008-05-22 | 2008-07-23 | 2008-12-15 | -16.81% | 207 |
| 1990-02-08 | 1991-01-31 | 1991-05-24 | -15.84% | 470 |
| 1980-12-01 | 1981-07-01 | 1982-05-20 | -15.12% | 535 |
| 1982-09-08 | 1982-10-04 | 1983-01-10 | -15.01% | 124 |
The αc Multi-Asset Defensive IV took approximately 11 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.