αc Funds of Funds XII

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
16.04%
αc Funds of Funds XII
11.01%
S&P 500 (US Large Cap)
Sharpe Ratio
1.73
αc Funds of Funds XII
0.67
S&P 500 (US Large Cap)
Maximum Drawdown
-15.53%
αc Funds of Funds XII
-55.2%
S&P 500 (US Large Cap)

Metrics

Metric αc Funds of Funds XII S&P 500 (US Large Cap)
Initial Balance $10,000 $10,000
Final Balance $6,567,206 $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) 20.02% 38.8%
Annual Return (3Y) 18.81% 18.13%
Annual Return (5Y) 14.66% 17.33%
Annual Return (10Y) 14.63% 15.16%
Annual Return (All) 16.04% 11.01%
Enh Ann Return 15.89% 12.35%
Best Year 41.3% 38.03%
Worst Year -2.75% -36.81%
Risk
Annual Volatility 8.85% 17.93%
Max Drawdown -15.53% -55.2%
Sharpe Ratio 1.73 0.67
Sortino Ratio 2.58 0.95
Enhanced Sortino 3.35 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 XII S&P 500 (US Large Cap) Won
1977 0% 0%  =
1978 7.66% 0.77%
1979 16.44% 11.67%
1980 17.88% 28.17%
1981 -0.21% -8.47%
1982 37.5% 19.3%
1983 13.25% 17.15%
1984 5.83% 3.69%
1985 32.08% 22.71%
1986 17.28% 9.31%
1987 9.11% 4.7%
1988 16.76% 16.22%
1989 29.17% 31.37%
1990 0.16% -3.33%
1991 33.28% 30.19%
1992 7.61% 8.21%
1993 30.35% 8.75%
1994 -0.6% 0.4%
1995 21.82% 38.03%
1996 11.06% 22.55%
1997 18.77% 33.48%
1998 24.79% 28.69%
1999 32.93% 20.39%
2000 8.42% -9.73%
2001 0.43% -11.75%
2002 3.48% -21.59%
2003 41.3% 28.18%
2004 19.42% 10.7%
2005 19.39% 4.83%
2006 22.43% 15.85%
2007 24.1% 5.14%
2008 13.68% -36.81%
2009 24.76% 26.37%
2010 7.46% 15.06%
2011 20.61% 1.89%
2012 18.45% 15.99%
2013 15.17% 32.31%
2014 9.65% 13.46%
2015 -2.75% 1.25%
2016 12.62% 12%
2017 17.87% 21.7%
2018 1.87% -4.56%
2019 14% 31.22%
2020 36.16% 18.37%
2021 10.4% 18.25%

αc Funds of Funds XII had 41 positive years and 3 negative years. That's a positive ratio of 93%.

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 XII had a better yearly return 61% 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 -0.7% 0.3% 0.5% -0.3% 3.1% 0.4% 2.9% 3.5% -1.4% -3.4% -0.5% 3.2% 7.4%
1979 1.9% -1.2% 1.8% 0.4% 1% 2.9% 2% 4% 0.6% -4.7% 4% 2.9% 15.3%
1980 -1.6% -1.2% -10.6% 7.8% 4.3% 7.8% 4.2% 2.1% 2.4% 0.5% 5.1% -2.8% 16.9%
1981 -1.5% -2.4% 2.9% -2.8% 3.8% -1.8% -2.1% -4% -1.8% 4% 9.8% -3.4% -0.1%
1982 0.8% 0.4% 2.3% 3.2% 0.9% -2.6% 2.4% 7.1% 3.7% 9.4% 3.2% 2.2% 32.1%
1983 1.6% 3.5% 1% 4.1% 1.4% 2.9% -2.2% -0.3% 1.6% -2% 2.1% -1% 12.5%
1984 1% -0.3% -0.4% -0.6% -3.6% 0.9% 2.9% 2.2% 0.7% 0.8% 0.6% 1.5% 5.7%
1985 4.3% 1.1% 0.6% 1.3% 4.8% 1.4% 2.2% 2% 0.5% 4% 3.6% 2.5% 27.9%
1986 0.9% 5.1% 6.4% 1.8% 0.4% 2.1% -2.6% 4% -4% 1.3% 2.6% -1.5% 16.1%
1987 1.6% 3.6% 3.4% 1.7% 0.5% 1.7% 3.3% 3.7% -1.5% -9.8% 0.6% 0.7% 8.9%
1988 3.5% 2.5% 5.1% 0.5% 0.9% 2.3% -1.8% -3% 3.3% 0.4% 0.7% 1.4% 15.6%
1989 1.1% -0.6% 3.8% 9.3% 1% 0.3% 2.9% 1.4% 4.7% -0.3% -0.5% 3.3% 25.7%
1990 1.3% -0.7% -3.5% -0.6% 4.8% 3% 4.1% -9.6% -3.4% 1.4% 3% 1.2% 0.4%
1991 2.9% 9% 3.2% 0.9% 4.8% -3.6% 2.2% 2.6% 0.5% 2.1% -0.9% 5.8% 28.9%
1992 4% 2.5% -0.1% -1.3% 1.4% -4.2% 1.8% -0.1% 0.9% -1.5% 1.5% 2.7% 7.5%
1993 1.1% 0.5% 2.1% 0.7% 2.3% 1.9% 2.4% 6.1% 0.5% 5.5% 0.1% 3.8% 26.6%
1994 3.2% -1.9% -3.4% -0.3% 1.3% -1.3% 3% 6.1% -1.6% -0.1% -3.9% -1.1% -0.4%
1995 0.1% 3.2% 1.5% 2.1% 3.2% 1.7% 3.7% 0.2% 1.1% 0.7% 1.4% 1.1% 20%
1996 2.2% -0.6% 0.6% 2.8% 1.1% -0% -4.9% -0.6% 5.1% 1.6% 4.2% -0.6% 10.8%
1997 4.8% 0.1% -3.3% 2.3% 6.3% 3% 6.8% -3.8% 2.3% -2.7% 1.7% 0.5% 17.7%
1998 1.2% 1.9% 3.4% 1.3% -1.1% 2.8% 0.5% -1.9% 4.3% 1.1% 4.6% 4.4% 22.6%
1999 4% -4.2% 3.2% 7.6% -2.7% 6.3% -2.4% 0.1% -0.5% 2.6% 5.1% 10.9% 29%
2000 -3.7% 5.6% 1.6% -4.9% -1.8% 3.2% 0.3% 5.5% -2.4% 1.1% 1.4% 2.9% 8.8%
2001 0.8% -1% -1.1% -2.3% 1.7% -0.3% 2.5% 1% -0.9% 1.3% -3.5% 2.6% 0.8%
2002 0.6% 1% -0.3% -0.7% 0.8% -1.4% -1.1% 4.5% 3.9% -3.1% 3.6% -4.2% 3.8%
2003 3.9% 2.8% -2.2% 1.9% 6.7% 0.7% 3.7% 4.1% 0.7% 5.8% 1.1% 6.2% 34.9%
2004 1.8% 2.8% 0.6% -5.3% 0.4% 0.9% -2.4% 3.1% 3.5% 2.3% 6.7% 3.9% 18.1%
2005 -1.3% 5.5% -3.7% 1.7% 2.4% 2.3% 4.3% 0.5% 4% -3.5% 2.9% 3.2% 18.1%
2006 6.7% -0.9% 1.4% 5.1% -5.8% 0.6% 1.9% 1.7% 1% 3.3% 3.5% 2.4% 20.8%
2007 0.6% -0.9% 2.5% 3.6% 3.3% 1.2% 1% 0.8% 6.7% 8.1% -4.8% 0.3% 22.6%
2008 -1.2% 1% 0.1% -2.2% 0.4% -6.2% -2.5% 2.4% 1.1% -0.7% 12.9% 9.1% 13.7%
2009 -8% 0.2% 4.3% -4.5% 10.3% -1.1% 8.2% 1.5% 6.8% -2.1% 5.9% 2.2% 23.6%
2010 -4.4% 1.7% 5.3% 2.2% -6.2% 0.9% 1.3% -2.6% 3.9% 3% -1.9% 4.8% 7.8%
2011 0.8% 3.8% 0.2% 2.8% -1.8% -1.9% -0% 4% 8.6% -0.5% 2.8% 0.6% 19.7%
2012 4.5% 2.5% 0.7% -0.1% 2.8% 0.1% 1% 1.3% 2% -1.7% 1.2% 3% 17.4%
2013 1.9% 0% 1.9% 3.4% 1.9% -3.6% 1.1% -1.6% 2.1% 3.5% 2% 1.8% 14.5%
2014 -1.7% 1.8% 0.4% 0.5% 2.5% 2.5% -0.5% 4% -3.6% 1.8% 1.1% 0.8% 9.5%
2015 4.9% -1.6% -1.1% -2.6% -1.3% -2.5% 3% -2.3% 0.7% 1.5% -0.2% -1.1% -2.5%
2016 2.8% 5.9% -0.2% 2.2% -1.3% 4.5% 2.7% -0.8% 0.8% -1.2% -3.2% 0% 12.5%
2017 1.7% 2.4% 0.8% 1.4% 2.3% -0.4% 3.3% 1.5% -0.1% 1.6% 1% 1.1% 16.6%
2018 6.1% -3.5% 1.2% -1.7% 2.4% 0.1% -0.2% 2% -1.6% -4.4% 1.1% 0.8% 2.3%
2019 0.9% 0.6% 1% 2.4% -4.7% 3.5% -0.9% 6.3% -1.3% 0.6% 1.9% 3.3% 13.4%
2020 -1.1% 2.7% 3.9% 3.7% 5.8% 2.1% 7.1% 3.8% -2.8% -0.7% 3.1% 4.2% 32.4%
2021 1% 1% 1.5% 4.3% 1.1% -1% 2% 0% 0% 0% 0% 0% 10.3%
Pos 77.3% 68.2% 72.7% 65.9% 77.3% 65.9% 70.5% 72.1% 67.4% 60.5% 79.1% 81.4% 93.2%
Avg 1.3% 1.2% 0.9% 1.2% 1.4% 0.7% 1.5% 1.5% 1.2% 0.6% 2% 2% 15.1%

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 XII

start valley end Drawdown days
2007-11-01 2008-07-23 2008-12-01 -15.53% 396
2020-03-10 2020-03-18 2020-04-14 -14.49% 35
1980-01-22 1980-03-27 1980-06-05 -14.17% 135
1990-08-01 1990-09-25 1991-02-11 -13.2% 194
1987-08-26 1987-12-11 1988-03-31 -12.31% 218

The αc Funds of Funds XII took approximately 7 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.