αc Funds of Funds X

This strategy combines the best of all αc's strategies.
30 December 1977  –  29 July 2021
Compare with
S&P 500 (US Large Cap) (SP500.X)

Performance

Annualized Return
15.76%
αc Funds of Funds X
11.01%
S&P 500 (US Large Cap)
Sharpe Ratio
1.64
αc Funds of Funds X
0.67
S&P 500 (US Large Cap)
Maximum Drawdown
-18.14%
αc Funds of Funds X
-55.2%
S&P 500 (US Large Cap)

Metrics

Metric αc Funds of Funds X S&P 500 (US Large Cap)
Initial Balance $10,000 $10,000
Final Balance $5,912,754 $952,151
Returns
Month-To-Date 2.02% 2.94%
Year-To-Date 10.4% 18.25%
3M 1.65% 5.54%
6M 5.89% 15.19%
Annual Return (1Y) 18.08% 38.8%
Annual Return (3Y) 21.07% 18.13%
Annual Return (5Y) 16.25% 17.33%
Annual Return (10Y) 14.34% 15.16%
Annual Return (All) 15.76% 11.01%
Enh Ann Return 15.73% 12.35%
Best Year 43.53% 38.03%
Worst Year -7.43% -36.81%
Risk
Annual Volatility 9.21% 17.93%
Max Drawdown -18.14% -55.2%
Sharpe Ratio 1.64 0.67
Sortino Ratio 2.46 0.95
Enhanced Sortino 3.27 1.4

  • 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 December 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 Funds of Funds X S&P 500 (US Large Cap) Won
1977 0% 0%  =
1978 13.53% 0.77%
1979 14.27% 11.67%
1980 11.5% 28.17%
1981 -0.54% -8.47%
1982 32.95% 19.3%
1983 14.43% 17.15%
1984 7.01% 3.69%
1985 30.55% 22.71%
1986 15.39% 9.31%
1987 9.97% 4.7%
1988 14.27% 16.22%
1989 25.9% 31.37%
1990 -7.43% -3.33%
1991 25.43% 30.19%
1992 7.27% 8.21%
1993 34.1% 8.75%
1994 1.85% 0.4%
1995 18.83% 38.03%
1996 10.99% 22.55%
1997 15.4% 33.48%
1998 24.44% 28.69%
1999 35.9% 20.39%
2000 8.39% -9.73%
2001 -1.79% -11.75%
2002 6.57% -21.59%
2003 43.53% 28.18%
2004 19.55% 10.7%
2005 17.72% 4.83%
2006 21.57% 15.85%
2007 27.85% 5.14%
2008 11.86% -36.81%
2009 37.9% 26.37%
2010 11.09% 15.06%
2011 8.79% 1.89%
2012 21.12% 15.99%
2013 14.89% 32.31%
2014 7.02% 13.46%
2015 -3.77% 1.25%
2016 19.81% 12%
2017 18.16% 21.7%
2018 0.07% -4.56%
2019 18.97% 31.22%
2020 36.61% 18.37%
2021 10.4% 18.25%

αc Funds of Funds X had 40 positive years and 4 negative years. That's a positive ratio of 91%.

S&P 500 (US Large Cap) had 37 positive years and 7 negative years. That's a positive ratio of 84%.

αc Funds of Funds X had a better yearly return 59% 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% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0%
1978 0.1% 0.7% 0.6% -0.9% 3.1% 0.4% 3.1% 3.7% -1.4% -3.4% -2.8% 10.3% 12.8%
1979 1.3% -1.4% 0.8% 0.5% 1% 2.7% 2.2% 4% 0.6% -4.7% 3.5% 3.2% 13.4%
1980 0.7% -0.8% -10.6% 1.7% 1.8% 7.8% 4.2% 2.1% 2.4% 0.5% 5.1% -2.8% 12%
1981 -1.5% -2% 1.6% -2.1% 0.9% -1.4% -0.5% -1.9% -0.8% 0.2% 8.5% -1.1% -0.5%
1982 1.3% -0.3% 2.2% 3% 1.1% -1% 0.3% 6.3% 0.4% 8.6% 4.6% 2.8% 29.6%
1983 6.7% -0.2% 1.8% 3.1% 1.5% 2.9% -2.2% -0.3% 1.6% -2% 2.1% -1% 13.7%
1984 0.9% 0.7% 0.7% 0.1% -0.8% 0.3% -0.7% 2% 0.7% 0.8% 0.6% 1.5% 6.8%
1985 4.3% 1.1% 0.6% 1.3% 4.8% 1.4% 2.2% 2% 0.5% 2.9% 3.5% 2.5% 26.7%
1986 0.9% 5.1% 6.4% 1.8% 0.4% 2.1% -2.6% 2.6% -3.8% 1.2% 2.3% -1.5% 14.4%
1987 1.6% 4.3% 3.4% 1.7% 0.5% 1.7% 3.3% 3.7% -1.5% -9.8% 1.1% 0.4% 9.8%
1988 1.6% 2.2% 5.1% 1.6% 1.1% 2.3% -1.8% -3% 2.2% 0.2% 0.7% 1.4% 13.4%
1989 1.1% -0.6% 3.8% 9.3% 1% -1.5% 2.6% 0.9% 4.7% -0.3% -0.1% 2.8% 23.1%
1990 1.3% -0.7% -7.1% 1.1% 2.9% 2% 4.1% -9.6% -3.4% 0.2% 1.3% 1.2% -7.5%
1991 0.2% 8% 3.2% 0.9% 4.8% -3.6% 2.5% 2.4% 0% 1.8% -0.9% 4% 22.9%
1992 4.1% 2.5% -0.1% -0.3% 0.4% -4.2% 1.1% 0.1% 0.8% -0.8% 1.3% 2.3% 7.1%
1993 1.1% 0.5% 2.1% 0.7% 5.5% 1% 2.4% 6.1% 0.5% 5.5% 0.1% 4.5% 29.5%
1994 3.2% -1.9% -0.7% -0.1% 2.8% -2% 2.1% 5.7% -1.6% 0.2% -3.8% -1.6% 1.9%
1995 -0.3% 2.7% 1.4% 1.9% 3% 1.7% 3.7% 0.2% 1% 0.6% 1.1% 0.4% 17.5%
1996 2.1% -0.6% 0.6% 2.8% 1.1% -0% -4.9% -0.3% 5% 1.6% 4% -0.6% 10.7%
1997 4.8% 0.1% -3.3% 1.8% 6% 3% 6.8% -3.8% 1.6% -3.2% 1.1% 0.1% 14.8%
1998 0.9% 2.2% 3.6% 1.3% -1.1% 2.7% 0.9% -3.7% 4.3% 2.2% 4.7% 4.4% 22.2%
1999 4% -2.1% 3.4% 7.6% -2.7% 6.3% -2.4% 0.5% -0.6% 2.2% 4.9% 10.9% 31.2%
2000 -3.7% 6.2% 1.4% -4.9% -1.3% 2.7% -0.1% 5.2% -1.6% 1.1% 1.2% 2.4% 8.9%
2001 1.2% -1.4% -0.5% -2% 1.6% -0.3% 1.8% 0.4% -0.6% -2.4% -1.9% 2.5% -1.5%
2002 0.6% 1.4% 1.5% -0.8% 3.2% -2% -1.8% 3.6% 3.6% -2.4% 4% -4.2% 6.7%
2003 6.5% 2.5% -3% 1.7% 7.1% 0.7% 3.7% 4.1% 0.7% 5.8% 1.1% 6.2% 36.6%
2004 1.8% 2.8% 0.6% -5.3% 1% 0.8% -2.4% 2.8% 3.5% 2.3% 6.7% 3.9% 18.2%
2005 -1.3% 5.5% -3.7% 0.8% 1.7% 2.2% 4.3% 0.5% 4% -3.5% 3.2% 3.2% 16.7%
2006 6.7% -0.9% 1.4% 5.1% -5.8% 0% 1.7% 1.7% 1% 3.3% 3.5% 2.4% 20.1%
2007 0.6% -0.9% 2.5% 3.6% 3.3% 1.2% 1% 0.7% 6.7% 8.1% -4.8% 3.4% 25.7%
2008 0% 2.4% -1.6% -2.2% 3.3% -6.2% -2.7% 2.2% 0.6% 0.5% 11.6% 4.5% 11.9%
2009 -2.9% 2% 4.6% -2.1% 10.5% -1.1% 8.2% 1.5% 6.8% -2.1% 5.9% 2.2% 33.5%
2010 -4.4% 2.7% 5.3% 2.2% -6.2% 0.6% 0.9% -2.4% 6.4% 3.6% -1.9% 4.8% 11.2%
2011 0.8% 3.8% 0.2% 2.8% -1.8% -1.9% -0% 0.6% 6% 3.1% 1% -5.4% 9.4%
2012 9.3% 2.8% 0.7% -0.1% -0.7% 0.6% 0.8% 1.6% 2.2% -1.7% 1.2% 3% 19.6%
2013 1.9% 0% 1.9% 1.6% 1.7% -3.5% 2.6% -1.7% 2.3% 3.5% 2% 1.8% 14.2%
2014 -1.7% 1.5% 0.2% 0.5% 2.5% 2.5% -0.5% 4% -3.6% 1% 1.1% -0.5% 7%
2015 1.2% 0.8% -1.1% -2.2% -1.2% -1% 1% -2% 0.1% 1.7% 0.1% -1.1% -3.7%
2016 1.9% 8.7% -0.2% 2% -1.3% 5.6% 2.5% -0.7% 0.8% -1.2% 0.3% 0.3% 18.7%
2017 1.9% 2.4% 0.8% 1.4% 2.3% -0.4% 3.3% 1.5% -0.1% 1.6% 1% 1.1% 16.9%
2018 6.1% -3.5% 0.2% -1.5% 1.5% -1.5% 0.2% 2.4% -0.7% -3.5% 0.4% 0.4% 0.4%
2019 1.9% 0.7% 1% 2.4% -4.7% 6.2% -1.4% 6.2% -1.3% 1.9% 1.9% 3.3% 17.7%
2020 -1.1% 2% 3.2% 6.8% 5.4% 2.7% 7.3% 3.8% -2.8% -0.7% 0.3% 5.4% 32.7%
2021 1% 1% 1.5% 4.3% 1.1% -1% 2% 0% 0% 0% 0% 0% 10.3%
Pos 81.8% 68.2% 75% 70.5% 75% 61.4% 68.2% 74.4% 67.4% 65.1% 83.7% 76.7% 90.9%
Avg 1.6% 1.4% 0.8% 1.2% 1.4% 0.7% 1.3% 1.3% 1.1% 0.6% 1.9% 1.9% 14.9%

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 Funds of Funds X

start valley end Drawdown days
1980-01-22 1980-04-03 1980-08-21 -18.14% 212
2020-03-10 2020-03-18 2020-04-06 -14% 27
1990-08-01 1990-10-16 1991-03-26 -13.4% 237
1982-09-08 1982-10-04 1982-11-29 -12.24% 82
1987-08-26 1987-10-28 1988-05-04 -12.13% 252

The αc Funds of Funds X took approximately 5 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.