αc Multi-Asset Defensive IV

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...
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
1.48
αc Multi-Asset Defensive IV
0.66
S&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%
Annual Return (1Y) 19.96% 38.8%
Annual Return (3Y) 27.6% 18.13%
Annual Return (5Y) 19.72% 17.33%
Annual Return (10Y) 16.3% 15.16%
Annual 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.