Strategy: αc Multi-Asset Defensive IV (RA)
Investment Objective
Aggressive Long-Term Capital Appreciation
Annualized Return
14%
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 - April 2021.
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αc Multi-Asset Defensive IV (RA)
- Annualized Return: 14.04%
- Sharpe: 1.15
- Sortino: 1.7
S&P 500 (US Large Cap)- Annualized Return: 15.44%
- Sharpe: 0.94
- Sortino: 1.3
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Chart
Metrics
Metric αc Multi-Asset Defensive IV (RA) S&P 500 (US Large Cap) Initial Balance $10,000 $10,000 Final Balance $29,438 $32,556 Returns Month-To-Date 5.12% 4.76% Year-To-Date 10.56% 11.42% 3M 7.44% 10.88% 6M 7.19% 20.46% Annualized Return (1Y) 31.22% 47.19% Annualized Return (3Y) 21.72% 17.52% Annualized Return (5Y) 18.96% 16.88% Annualized Return (10Y) 14.04% 15.44% Annualized Return (All) 14.04% 15.44% Enh Ann Return 13.24% 14.87% Best Year 35.64% 31.22% Worst Year -7.44% -4.56% Risk Annual Volatility 12.05% 16.82% Max Drawdown -14.81% -33.7% Sharpe Ratio 1.15 0.94 Sortino Ratio 1.7 1.3 Enhanced Sortino 1.72 1.61
- 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 April 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.
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αc Multi-Asset Defensive IV (RA)
- Max Drawdown: -14.81%
- Average recovery time of large downturns: 9 months
S&P 500 (US Large Cap)- Max Drawdown: -33.7%
- Average recovery time of large downturns: 6 months
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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 2020-04-06 -14.81% 27 2014-09-08 2015-06-10 2016-02-11 -13.33% 521 2018-01-29 2018-02-08 2019-02-25 -10.96% 392 2020-09-03 2020-11-30 2021-01-20 -9.84% 139 2013-05-22 2013-09-10 2013-12-23 -9.71% 215 The αc Multi-Asset Defensive IV (RA) took approximately 9 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.
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αc Multi-Asset Defensive IV (RA)
- Positive year ratio: 89%
- Outperformance ratio (vs. benchmark): 33%
S&P 500 (US Large Cap)- Positive year ratio: 89%
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Chart
Table
Year αc Multi-Asset Defensive IV (RA) S&P 500 (US Large Cap) Won 2013 12.73% 25.86% 2014 1.3% 13.46% 2015 -7.44% 1.25% 2016 24.98% 12% 2017 20.44% 21.7% 2018 3.68% -4.56% 2019 19% 31.22% 2020 35.64% 18.37% 2021 10.56% 11.42% 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).
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Table
Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec YTD 2013 0 0% 3% 1% 3.3% -4.3% 0.7% -1.5% 1.1% 4.4% 2.5% 2.1% 12.4% 2014 -3.8% -1% 1.5% 0.2% 2.7% 2% -0.2% 3.9% -4.3% 0% 0.9% -0.2% 1.7% 2015 2.6% -1.6% -2.1% -3.7% -3.3% -0.2% 0.4% 0.3% 0.6% -0% -0.3% -0.3% -7.5% 2016 4.1% 8.3% 0.4% 2.1% -1.6% 8.4% 2.2% -0.5% 1% -0.8% -0.6% 0% 23.2% 2017 1.4% 2.1% 0.6% 1.4% 1.8% 0.6% 3.9% 1.6% 0.8% 2.1% 1.2% 1.3% 18.9% 2018 6.6% -4.5% 1.1% -1.6% 0.1% -2.4% -0.7% 1.9% -0.8% -1.1% 0.5% 5.1% 4.1% 2019 2.7% 1.4% 1.6% 2.9% -6.1% 5.2% -1.6% 8.1% -2.8% 1.2% 2.6% 3% 18% 2020 -3.3% 5.7% 5.1% 6.3% 7.6% 2% 6.2% 4.8% -3.2% -0.6% -3.9% 5.1% 32.8% 2021 1.2% 2% 1.9% 5.1% 0 0 0 0 0 0 0 0 10.4% Pos 75% 66.7% 88.9% 77.8% 62.5% 62.5% 62.5% 75% 50% 50% 62.5% 75% 88.9% Avg 1.4% 1.4% 1.5% 1.5% 0.6% 1.4% 1.4% 2.3% -0.9% 0.7% 0.4% 2% 12.7%
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Transaction details
Summary
A complete trade consists of 2 transactions.
Total number of trades 71 Percent profitable 72% Winning trades 51 Losing trades 20 Even trades 0 Returns
How much profit was made with each trade.
Avg returns all trades 1.35% Avg returns winning 2.52% Avg returns losing -1.62% Largest winning trade 15.71% Largest losing trade -4.74% Duration
How long a position was held.
Avg duration 65 days Median duration 32 days Longest duration 305 days Shortest duration 28 days
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The bond to equity ratio for this portfolio is dynamic through time. The provided values are the average historical percentages from January 2013 to April 2021.
For 0% of the time, the portfolio was allocated to bonds, and 100% of the time to equities.