αc Funds of Funds XI

This strategy combines the best of all αc's strategies.
31 December 1976  –  29 July 2021
Compare with
S&P 500 (US Large Cap) (SP500.X)

Performance

Annualized Return
15.97%
αc Funds of Funds XI
10.45%
S&P 500 (US Large Cap)
Sharpe Ratio
1.45
αc Funds of Funds XI
0.65
S&P 500 (US Large Cap)
Maximum Drawdown
-17.61%
αc Funds of Funds XI
-55.2%
S&P 500 (US Large Cap)

Metrics

Metric αc Funds of Funds XI S&P 500 (US Large Cap)
Initial Balance $10,000 $10,000
Final Balance $7,404,087 $840,969
Returns
Month-To-Date 2.22% 2.94%
Year-To-Date 10.11% 18.25%
3M 1.43% 5.54%
6M 6.9% 15.19%
Annual Return (1Y) 26.08% 38.8%
Annual Return (3Y) 17.97% 18.13%
Annual Return (5Y) 16.19% 17.33%
Annual Return (10Y) 14.33% 15.16%
Annual Return (All) 15.97% 10.45%
Enh Ann Return 15.69% 11.8%
Best Year 54.31% 38.03%
Worst Year -4.33% -36.81%
Risk
Annual Volatility 10.6% 17.78%
Max Drawdown -17.61% -55.2%
Sharpe Ratio 1.45 0.65
Sortino Ratio 2.13 0.91
Enhanced Sortino 3.13 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 December 1976.
  • 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 45 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 XI S&P 500 (US Large Cap) Won
1976 0% 0%  =
1977 10.5% -11.68%
1978 15.12% 0.77%
1979 14.98% 11.67%
1980 17.15% 28.17%
1981 4.7% -8.47%
1982 30.08% 19.3%
1983 16.35% 17.15%
1984 4.5% 3.69%
1985 54.31% 22.71%
1986 28.25% 9.31%
1987 6.38% 4.7%
1988 6.85% 16.22%
1989 27.15% 31.37%
1990 -0.08% -3.33%
1991 25.66% 30.19%
1992 4.21% 8.21%
1993 26.56% 8.75%
1994 -3.26% 0.4%
1995 28.5% 38.03%
1996 16.19% 22.55%
1997 19.57% 33.48%
1998 25.73% 28.69%
1999 31.32% 20.39%
2000 3.88% -9.73%
2001 -3.68% -11.75%
2002 3.81% -21.59%
2003 36.97% 28.18%
2004 19.24% 10.7%
2005 4.74% 4.83%
2006 24.82% 15.85%
2007 18.26% 5.14%
2008 20.92% -36.81%
2009 35.53% 26.37%
2010 15.89% 15.06%
2011 6.92% 1.89%
2012 21.32% 15.99%
2013 17.17% 32.31%
2014 11.67% 13.46%
2015 -4.33% 1.25%
2016 15.17% 12%
2017 21.92% 21.7%
2018 0.88% -4.56%
2019 13.64% 31.22%
2020 34.72% 18.37%
2021 10.11% 18.25%

αc Funds of Funds XI had 41 positive years and 4 negative years. That's a positive ratio of 91%.

S&P 500 (US Large Cap) had 37 positive years and 8 negative years. That's a positive ratio of 82%.

αc Funds of Funds XI 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
1976 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0%
1977 -3.4% 0.6% 0.5% 2.2% -0.2% 1% -1.1% 3.1% 3.1% 1.9% -0.9% 3.6% 10%
1978 -0.2% 0.2% 2.4% -1.1% 3% 0.3% 5.8% 3.8% 0.7% -1% -5.7% 6.4% 14.1%
1979 1.1% 0.9% 4.2% 0.9% -1.3% 2.8% 2.4% 3.9% 0.9% -7.5% 3.5% 2.8% 14%
1980 6% -0.7% -12.7% 1.8% 3.1% 9.6% 2.9% 2.1% 2.3% 0.3% 6.8% -3.7% 17.2%
1981 -1.9% 0.9% 3.3% -1.3% 0.9% -1.5% -0.5% -1.9% -0.8% 0.2% 8.5% -1.1% 4.8%
1982 1.3% -2.4% 2.2% 3% 0.4% -1.3% 0.3% 6.3% 0.4% 10.5% 5.5% 1.1% 27.3%
1983 4.7% 2.3% 3.1% 6.1% 0.4% 2.1% -2.9% -2% 1.5% -2% 2.3% 0.1% 15.4%
1984 2.1% 2% 1.9% -0.7% -4.5% 0.2% -0.7% 2% 1% 0.6% -0.3% 0.8% 4.5%
1985 6.1% 1.2% 0% 2.3% 5.6% 1.2% 6.5% 3.7% 0.6% 7.7% 5.7% 3.9% 43.5%
1986 1.5% 8.6% 6.6% 6.1% -5.3% 2.9% -1.8% 7.6% -4.5% 1.2% 1.7% 1.7% 25%
1987 3.4% 3.9% 3.6% 2.4% -0.1% 1.9% 4.3% 3.2% -1.6% -14.6% 1% 0.4% 6.5%
1988 1.6% 1.1% 1.8% 1.4% -0% 0.3% -1% -2.7% 1.5% 1% 0.9% 0.9% 6.7%
1989 2.3% -0.5% 2.1% 4.8% 1.6% -2.6% 6.7% 1.7% 1.6% -1.2% 0.7% 7.5% 24.3%
1990 1.1% -1.2% -2.6% -0.5% 6.7% 4.1% 4.3% -9.3% -4.2% 0.2% 1.3% 1.2% 0.1%
1991 5.7% 6.2% 2.9% 0.7% 3.9% -3.9% 3.6% 2.4% -1.1% 0.1% -1.2% 4.4% 23.3%
1992 1% 1.3% -1.5% 0.9% 2.3% -1.9% -1.7% -1.5% 0.8% -0.4% 3% 2% 4.4%
1993 1% 0.4% 1.8% -2.3% 3.6% -0.1% 1.4% 7.2% -0.1% 4.4% -0.7% 7.7% 23.8%
1994 3.6% -2.9% -3% 2.7% -0.5% -1.3% 2% 3.3% -3.1% 1.1% -3.4% -1.5% -3%
1995 0.5% 3.8% 2.5% 2.8% 3.6% 2.9% 3.3% -1.3% 3.2% 0.5% 3% 0.6% 25.4%
1996 2.3% 0.2% 0.7% 2.4% 1.8% 0.2% -4.3% 1.9% 3.7% 1.5% 6.2% -1.2% 15.4%
1997 3.2% -0.7% -3.7% 2.9% 6.2% 2.8% 7.7% -3.4% 3.7% -2.5% 1.4% 1.1% 18.9%
1998 1.2% 6% 5% 1.7% 0.9% 2.7% 1.8% -10.5% 3.9% 2.2% 2.5% 6.9% 23.7%
1999 4.3% -3.8% 3.5% 4.7% -2.2% 5.7% -2.3% 0.4% -0.4% 3.8% 4.4% 10.5% 28.2%
2000 -4.7% 6.7% 1.7% -5.2% -2.5% 3.3% -0.3% 4.3% -3.7% 1.3% 1.2% 2.4% 5.3%
2001 1.2% -1.4% -0.5% -2% 1.9% -0.4% 1.8% 0.4% -0.6% -2.4% -1.9% 0.4% -3.6%
2002 0.6% 1.4% 1.5% -0.3% 0.6% -3.9% -1.6% 3.6% 3.6% -2.4% 0.6% 0.3% 4.1%
2003 5.4% 2.5% -3% 1.7% 7.5% -0% 2.6% 1.9% -0% 4.5% 2.6% 6.8% 32.1%
2004 1.2% 2.8% -0.9% -3.3% 1.1% 1.2% -2.2% 2.8% 2.8% 2.3% 6.5% 3.7% 18.2%
2005 -1.6% 4.9% -2.8% -1.4% 1% 1% 1.4% -0.2% 1.3% -2.6% 2.8% 1.2% 5%
2006 5% -0.5% 2.6% 5% -3.6% 0.5% 1.3% 2.3% 1% 3.4% 3.3% 2.5% 23.1%
2007 1.1% -0.8% 2.8% 4.5% 2% 0.3% -0.9% 0.4% 5% 6.4% -3.5% -0.1% 18.3%
2008 -0.4% 2.4% -1.6% -2.2% 3.3% 0.3% -1.1% 2.2% 0.6% 0.5% 11.6% 4.5% 19.6%
2009 -2.9% 2% 4.6% -2.1% 9.2% -2.3% 9.1% 3.4% 5.7% -2.3% 4.9% 2.5% 31.9%
2010 -3.6% 2.9% 5.2% 2.8% -5.9% 0.5% 0.9% 2.6% 5.6% 3.9% -4.5% 5.3% 15.6%
2011 0.6% 3.8% 0.5% 3% -2.1% -2.2% -1.7% 0.5% 6% 3.1% 1.3% -5.5% 7.8%
2012 6.7% 3.1% 2.1% -0.3% -4.6% 2.9% 1.1% 2.5% 1.7% 0.2% 1.9% 2.6% 20%
2013 2.8% -2.2% 2.1% 1.9% 1.2% -2.2% 4.8% -2.4% 3.3% 3.3% 1.2% 2.3% 16.3%
2014 -2.1% 4.2% -0.2% 1.1% 1.4% 2.6% -1.1% 4% -2.2% 2.1% 2% -0.4% 11.5%
2015 -1.5% 4.4% -0.9% -0.1% 0.4% -2.4% 2.1% -4.8% -1.1% 1.7% 0.1% -2% -3.8%
2016 -2.5% 8.4% -0.2% 1.6% 0.4% 1.6% 3.5% -0.4% 0.3% -1.7% 2.4% 1.3% 14.8%
2017 2.1% 3.3% 0.6% 2.8% 3.9% -1% 2.8% 0.8% 1.1% 0.8% 1.9% 1% 20%
2018 5.6% -3.1% -1.8% -0.4% 1.4% -0.4% 2.4% 3% -0% -6.4% 0.7% 0.4% 1.5%
2019 1.9% -0.4% 0.6% 2.9% -4.8% 6.2% -1.3% 0.3% 1% 2.3% 1.5% 3.1% 13.2%
2020 0.6% -5% 3.4% 6.8% 3.2% 2.7% 6.7% 4.8% -3.1% -1.6% 7.5% 5% 31.4%
2021 -0% 1.3% 2.2% 4.5% 2.5% -2.9% 2.2% 0% 0% 0% 0% 0% 10%
Pos 73.3% 68.9% 68.9% 66.7% 68.9% 62.2% 62.2% 72.7% 65.9% 68.2% 79.5% 81.8% 93.3%
Avg 1.4% 1.5% 0.9% 1.4% 1.1% 0.7% 1.5% 1.2% 0.9% 0.6% 2.1% 2.1% 15.2%

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 XI

start valley end Drawdown days
1980-02-14 1980-04-03 1980-07-29 -17.61% 166
1987-08-26 1987-12-10 1989-06-02 -17.26% 646
2020-02-20 2020-03-18 2020-04-09 -15.83% 49
1998-07-21 1998-09-01 1998-12-29 -14.49% 161
2000-03-27 2000-04-14 2003-01-22 -14.4% 1031

The αc Funds of Funds XI took approximately 14 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.