αc Multi-Asset Defensive IV (CH)

CH
17 August 1979  –  29 July 2021
Compare with
S&P 500 (US Large Cap) (SP500.X)

Performance

Annualized Return
19.85%
αc Multi-Asset Defensive IV (CH)
11.1%
S&P 500 (US Large Cap)
Sharpe Ratio
1.61
αc Multi-Asset Defensive IV (CH)
0.67
S&P 500 (US Large Cap)
Maximum Drawdown
-21.43%
αc Multi-Asset Defensive IV (CH)
-55.2%
S&P 500 (US Large Cap)

Metrics

Metric αc Multi-Asset Defensive IV (CH) S&P 500 (US Large Cap)
Initial Balance $10,000 $10,000
Final Balance $20,020,460 $829,704
Returns
Month-To-Date 2.53% 2.94%
Year-To-Date 16.32% 18.25%
3M 4.74% 5.54%
6M 10.59% 15.19%
Annual Return (1Y) 19.74% 38.8%
Annual Return (3Y) 28.46% 18.13%
Annual Return (5Y) 20.67% 17.33%
Annual Return (10Y) 18.65% 15.16%
Annual Return (All) 19.85% 11.1%
Enh Ann Return 20.15% 12.6%
Best Year 50.29% 38.03%
Worst Year -10.66% -36.81%
Risk
Annual Volatility 11.67% 18.1%
Max Drawdown -21.43% -55.2%
Sharpe Ratio 1.61 0.67
Sortino Ratio 2.42 0.94
Enhanced Sortino 3.45 1.41

  • 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 August 1979.
  • 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 42 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 (CH) S&P 500 (US Large Cap) Won
1979 1.23% -1.94%
1980 13.32% 28.17%
1981 16.4% -8.47%
1982 50.29% 19.3%
1983 25.86% 17.15%
1984 25.43% 3.69%
1985 20.19% 22.71%
1986 13.08% 9.31%
1987 16.27% 4.7%
1988 14.78% 16.22%
1989 37.37% 31.37%
1990 -10.66% -3.33%
1991 23.36% 30.19%
1992 18.35% 8.21%
1993 46.11% 8.75%
1994 0.95% 0.4%
1995 15.66% 38.03%
1996 9.86% 22.55%
1997 26.03% 33.48%
1998 15.28% 28.69%
1999 50.19% 20.39%
2000 16.03% -9.73%
2001 -3.18% -11.75%
2002 12.23% -21.59%
2003 49.21% 28.18%
2004 18.81% 10.7%
2005 29.55% 4.83%
2006 20.93% 15.85%
2007 32.51% 5.14%
2008 19.45% -36.81%
2009 42.37% 26.37%
2010 5.55% 15.06%
2011 18.36% 1.89%
2012 25.15% 15.99%
2013 9.73% 32.31%
2014 13.5% 13.46%
2015 0.81% 1.25%
2016 25.19% 12%
2017 15.99% 21.7%
2018 6.93% -4.56%
2019 25.32% 31.22%
2020 35.61% 18.37%
2021 16.32% 18.25%

αc Multi-Asset Defensive IV (CH) had 41 positive years and 2 negative years. That's a positive ratio of 95%.

S&P 500 (US Large Cap) had 35 positive years and 8 negative years. That's a positive ratio of 81%.

αc Multi-Asset Defensive IV (CH) had a better yearly return 65% 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
1979 0% 0% 0% 0% 0% 0% 0% 0.5% 0.6% -3.6% 2.1% 1.7% 1.3%
1980 -2.3% 0.3% -8.3% -2.5% -0.2% 3.8% 4.8% 1.6% 3.5% 6.1% 11% -3.9% 14%
1981 -0.6% -0.7% 3.9% 1.3% 4.3% 2.4% -0.7% -0.7% -3.4% 0.5% 9% 0.6% 15.2%
1982 5.2% 2.4% 3.3% 4% 2.3% 3% 1.5% 7.4% 0.9% 8.2% -0.7% 4.3% 42.4%
1983 7.8% -2.5% 1.9% 3.6% 2% 4.7% 0.8% 1.3% 2.2% -0.7% 4.4% -1.9% 23.4%
1984 0.9% -3.1% 0.7% 2.3% 0.3% 2.5% 2.8% 5.7% 3.8% -1.7% 4.1% 5.1% 22.7%
1985 7.1% 1.2% -5.5% 2.2% 1.9% 1.6% 0.9% 1.7% 1.3% 1.4% 3.6% 1.7% 18.5%
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% 1.6% 7.5% 1.3% -4.6% -2.4% -1.9% 0.9% 1.6% 13.9%
1989 2.5% -0.4% 6.6% 14.2% 4.6% 0.2% -0.5% 2.1% 3.2% -2% 0.4% 2.3% 31.9%
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% 8.2% 2.1% 8.4% -2.1% -0% 0.9% -0.7% -0.9% -2.8% 2.9% 21.4%
1992 4.7% 2.9% 0.9% 0.6% 0.7% -5.6% 2% 1.1% 1.2% 0.4% 3.2% 5.2% 16.9%
1993 2.8% 1.5% -0.4% 4.9% 7% 5.4% 0.8% 4.7% 1.8% 8.8% -0% 1.7% 38.1%
1994 4.5% -3.2% 1.4% -1.7% 2.6% -2.5% 0.3% 6.6% -1.1% -0.1% -4.9% -0.3% 1.1%
1995 1.8% 1.9% 0.5% 1.2% 2.9% -0.3% 4% -0.9% -0.2% -0.9% 2.1% 2.8% 14.7%
1996 4% -1.1% 2.4% 2.7% -0.4% -0.7% -5.9% -1.8% 4.4% 2.2% 2.7% 1.3% 9.7%
1997 8.2% 3.9% -1.8% -0.1% 8.2% 6.4% 9.2% -8.3% -1.2% -3.4% 1.2% 2.7% 23.6%
1998 0.8% -0.2% 4.5% -0.6% -1.5% 1.1% -0.6% 1.1% 3.1% 0.4% 4.5% 1.7% 14.6%
1999 3.1% 2.8% 6.7% 11.1% -2.2% 8.4% -6.6% 0.7% -2.2% 2.5% 7.5% 11.3% 41.7%
2000 -2.6% 5.2% 3.6% 0.6% -1.5% -1.8% 3.9% 5.9% 2.4% 5.8% -0.5% -5.2% 16.4%
2001 -1.5% 1% 0.5% -2.6% 5.9% 0.2% -0.9% -4% 1.5% -2.3% -3.2% 2.5% -2.7%
2002 3.3% 1.3% -1.2% -5.8% 5.1% 0.5% 1.3% 3.8% 3.6% -2.4% 7.4% -4.5% 12.2%
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% -5.1% -1.4% 1.2% -3% 2.9% 3.4% 2.4% 7.7% 4.6% 17.5%
2005 -1.1% 6.2% -4.6% 2.4% 4.1% 4.7% 5.3% -0.6% 6.7% -3.9% 4% 4% 26.6%
2006 5.2% 0.8% -0.3% 5.5% -7.4% 0% 1.8% 2.2% 1.1% 3.6% 4.2% 3% 19.6%
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% 2.7% 3.7% 12.7% 11.8% -4.4% 19.5%
2009 5.1% 3.4% -0.6% -1.8% 6.2% -0.8% 9.7% 1.7% 6.9% -2.1% 6.5% 2.5% 37.5%
2010 -4.5% 5.7% 7% 1.5% -1.7% 4.1% -7.5% -2% -2.8% 2.7% -2.5% 6.5% 6.5%
2011 2.7% 3.5% -0.5% 2.6% -2.2% -1.6% -1.3% 4.2% 9.4% -0.3% 5.5% -4.1% 18.2%
2012 6.8% 1.7% 1% 0.8% 8.6% -1.9% 3.2% -1.9% 0.9% -2% 1% 5.1% 23.1%
2013 2.3% 0.9% 3% -0.7% 1.7% -6.2% 0.1% -1.5% 1.1% 4.4% 2.5% 2.1% 9.8%
2014 -3.8% -0.7% 1.4% 0.2% 2.7% 1.3% 1.9% 5.4% 0.3% 0.7% 1.3% 2.4% 13.2%
2015 10.1% -1% 2.5% -7.2% -0.9% -2.6% 2.5% -2.4% 0.7% -0.6% 3.8% -3.1% 1.6%
2016 3.5% 9% -3.1% 2% -1.6% 8.3% 1.7% -0.5% 1% -0.4% 2.4% 0.9% 23.5%
2017 -0.7% 3.6% -0.3% -0.8% 1.7% 0.6% 3.9% 1.6% 0.8% 2.1% 1.2% 1.3% 15.2%
2018 6.6% -4.5% 1.4% -1.6% 0.9% -2.2% -1.3% 2.7% -0.1% 1.1% 0.1% 4.3% 7.3%
2019 2.1% 2.3% 3.2% 3.1% -5.5% 3.9% 1% 11.1% -1.5% -0.8% 4% 0.7% 23.3%
2020 -1.7% 6.7% 5.3% 8.3% 4.1% 0.2% 6.4% 4.8% -3.2% -0.6% -3.7% 5% 32.7%
2021 1.2% 2% 1.9% 5.2% 1.1% 1.3% 2.5% 0% 0% 0% 0% 0% 15.7%
Pos 76.2% 71.4% 64.3% 69% 71.4% 69% 69% 69% 69% 50% 78.6% 78.6% 95.3%
Avg 2.3% 1.9% 1.3% 1.4% 1.9% 1.1% 1.3% 1.3% 1.3% 1.1% 2.4% 1.8% 18.3%

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 (CH)

start valley end Drawdown days
1980-01-22 1980-05-01 1980-11-03 -21.43% 286
2008-05-22 2008-07-23 2008-10-22 -16.81% 153
1990-02-08 1991-01-31 1991-03-26 -15.84% 411
2015-03-19 2015-08-25 2016-06-09 -14.66% 448
1997-08-01 1997-10-27 1998-11-04 -14.47% 460

The αc Multi-Asset Defensive IV (CH) took approximately 12 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.