αc Multi-Asset Defensive IV (RA)
The portfolio pursues a rather defensive strategy that seeks to achieve equity-like returns with low...
31 January 2013 – 29 July 2021
Compare with
S&P 500 (US Large Cap) (SP500.X)
Performance
- Annualized Return
-
14.88%αc Multi-Asset Defensive IV (RA)
-
15.71%S&P 500 (US Large Cap)
- Sharpe Ratio
-
1.22αc Multi-Asset Defensive IV (RA)
-
0.96S&P 500 (US Large Cap)
- Maximum Drawdown
-
-14.83%αc Multi-Asset Defensive IV (RA)
-
-33.7%S&P 500 (US Large Cap)
Metrics
| Metric | αc Multi-Asset Defensive IV (RA) | S&P 500 (US Large Cap) |
|---|---|---|
| Initial Balance | $10,000 | $10,000 |
| Final Balance | $32,501 | $34,551 |
| Returns | ||
| Month-To-Date | 2.72% | 2.94% |
| Year-To-Date | 17.18% | 18.25% |
| 3M | 5.51% | 5.54% |
| 6M | 11.41% | 15.19% |
| Annualized Return (1Y) | 20.62% | 38.8% |
| Annualized Return (3Y) | 27.84% | 18.13% |
| Annualized Return (5Y) | 19.85% | 17.33% |
| Annualized Return (10Y) | 14.88% | 15.71% |
| Annualized Return (All) | 14.88% | 15.71% |
| Enh Ann Return | 14.68% | 15.84% |
| Best Year | 37.31% | 31.22% |
| Worst Year | -7.54% | -4.56% |
| Risk | ||
| Annual Volatility | 12.01% | 16.66% |
| Max Drawdown | -14.83% | -33.7% |
| Sharpe Ratio | 1.22 | 0.96 |
| Sortino Ratio | 1.8 | 1.33 |
| Enhanced Sortino | 2.06 | 1.62 |
- 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 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 Multi-Asset Defensive IV (RA) | S&P 500 (US Large Cap) | Won |
|---|---|---|---|
| 2013 | 13.29% | 25.86% | |
| 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 | 17.18% | 18.25% |
αc Multi-Asset Defensive IV (RA) had 8 positive years and 1 negative years. That's a positive ratio of 89%.
S&P 500 (US Large Cap) had 8 positive years and 1 negative years. That's a positive ratio of 89%.
αc Multi-Asset Defensive IV (RA) had a better yearly return 33% 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 | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 2013 | 0% | 0% | 3% | 1.2% | 3.2% | -4% | 0.7% | -1.5% | 1.1% | 4.4% | 2.5% | 2.1% | 12.9% |
| 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% | 1.9% | 2.7% | 0% | 0% | 0% | 0% | 0% | 16.4% |
| Pos | 75% | 66.7% | 77.8% | 77.8% | 66.7% | 66.7% | 66.7% | 62.5% | 50% | 50% | 62.5% | 75% | 88.9% |
| Avg | 1.3% | 1.5% | 1.4% | 1.7% | 0.5% | 1.6% | 1.6% | 2.5% | -0.9% | 0.7% | 0.4% | 2% | 13.8% |
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 (RA)
| start | valley | end | Drawdown | days |
|---|---|---|---|---|
| 2020-03-10 | 2020-03-18 | 2020-04-03 | -14.83% | 24 |
| 2014-09-08 | 2015-06-10 | 2016-02-11 | -12.96% | 521 |
| 2018-01-29 | 2018-02-08 | 2019-02-25 | -10.96% | 392 |
| 2020-09-03 | 2020-11-30 | 2021-01-20 | -9.64% | 139 |
| 2013-05-22 | 2013-09-10 | 2013-11-29 | -9.46% | 191 |
The αc Multi-Asset Defensive IV (RA) took approximately 8 months on average to recover from a major drawdown.
S&P 500 (US Large Cap)
| 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 S&P 500 (US Large Cap) 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.