αc Funds of Funds XIII

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
16.85%
αc Funds of Funds XIII
11.01%
S&P 500 (US Large Cap)
Sharpe Ratio
1.55
αc Funds of Funds XIII
0.67
S&P 500 (US Large Cap)
Maximum Drawdown
-16.38%
αc Funds of Funds XIII
-55.2%
S&P 500 (US Large Cap)

Metrics

Metric αc Funds of Funds XIII S&P 500 (US Large Cap)
Initial Balance $10,000 $10,000
Final Balance $8,896,065 $952,151
Returns
Month-To-Date 2.91% 2.94%
Year-To-Date 16.28% 18.25%
3M 4.74% 5.54%
6M 11.91% 15.19%
Annual Return (1Y) 30.57% 38.8%
Annual Return (3Y) 22.39% 18.13%
Annual Return (5Y) 18.28% 17.33%
Annual Return (10Y) 16.85% 15.16%
Annual Return (All) 16.85% 11.01%
Enh Ann Return 16.68% 12.35%
Best Year 50.39% 38.03%
Worst Year -6.77% -36.81%
Risk
Annual Volatility 10.37% 17.93%
Max Drawdown -16.38% -55.2%
Sharpe Ratio 1.55 0.67
Sortino Ratio 2.31 0.95
Enhanced Sortino 3.07 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 XIII S&P 500 (US Large Cap) Won
1977 0% 0%  =
1978 12.44% 0.77%
1979 9.3% 11.67%
1980 20.6% 28.17%
1981 2.13% -8.47%
1982 34.42% 19.3%
1983 10.71% 17.15%
1984 4.88% 3.69%
1985 50.39% 22.71%
1986 27.89% 9.31%
1987 11.72% 4.7%
1988 9.02% 16.22%
1989 37.47% 31.37%
1990 4.22% -3.33%
1991 27.75% 30.19%
1992 7.96% 8.21%
1993 23.55% 8.75%
1994 -4.18% 0.4%
1995 26.2% 38.03%
1996 12.23% 22.55%
1997 21.09% 33.48%
1998 20.07% 28.69%
1999 26.92% 20.39%
2000 2.92% -9.73%
2001 6.65% -11.75%
2002 7.98% -21.59%
2003 40.11% 28.18%
2004 21% 10.7%
2005 9.42% 4.83%
2006 28.36% 15.85%
2007 19% 5.14%
2008 23.84% -36.81%
2009 26.98% 26.37%
2010 3.77% 15.06%
2011 21.87% 1.89%
2012 23.05% 15.99%
2013 19.73% 32.31%
2014 8.71% 13.46%
2015 -6.77% 1.25%
2016 12.01% 12%
2017 23.93% 21.7%
2018 6.69% -4.56%
2019 12.9% 31.22%
2020 35.57% 18.37%
2021 16.28% 18.25%

αc Funds of Funds XIII had 42 positive years and 2 negative years. That's a positive ratio of 95%.

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 XIII 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 -0.4% -0.1% 1.6% -0.7% 0.6% 1% 4.6% 3.2% 2% 2.2% -3.7% 1.8% 11.8%
1979 1.3% -0.3% 4.1% 0.8% -2.7% 3% 1.7% 3.5% 1% -6.4% 2.6% 1% 9%
1980 0.8% -0.1% -12.4% 7.8% 4.8% 5.5% 3.5% 1.6% 2.8% 2.2% 9.2% -5% 19.6%
1981 -4.1% -1.2% 3.4% -3.7% 3.5% -1.8% -1.5% -2% -0.8% 3.9% 9.8% -2.6% 2.3%
1982 0.9% -1.1% 2.3% 3.1% 0.4% -0.9% 2.5% 7.1% 3.2% 9.6% 1.9% 1.4% 30%
1983 0.3% 3.7% 1.4% 5.6% -1.4% 2.6% -3.2% -0.5% 1.5% -1.3% 2.1% -0.3% 10.4%
1984 2.8% 0.5% 0.3% -1.3% -6.3% 0.9% 3.8% 2.3% 0.9% 0.5% -0.1% 0.9% 4.9%
1985 5.8% 1.2% 0.6% 2.2% 4.4% 1.4% 5.2% 3.4% 1.5% 7.4% 5.8% 3% 40.9%
1986 1.4% 8.4% 8.1% 5% -3.2% 3.6% -1.7% 7.5% -5.9% 0.7% 2.8% -0.8% 24.8%
1987 2.7% 3.3% 4.7% 3.2% 0% 2.7% 4.4% 4.3% -2.1% -12% 0.6% 0.6% 11.4%
1988 2% 1.9% 3.5% -0.2% -0.8% 1% -0.6% -3.7% 1.4% 2.2% 1.1% 1% 8.8%
1989 2.4% -1.2% 2.4% 7.3% 3.3% 2.3% 5.2% 1.5% 2.7% -1.5% 0.8% 7.4% 32.1%
1990 -0.1% -1.9% 0.5% -2.8% 6.3% 4.3% 4.4% -10.6% -0.8% 0.9% 3% 2% 4.4%
1991 3.8% 10% 2.8% 0.5% 5.2% -4.3% 3.2% 2.6% -0.1% 0.1% -3.1% 5% 25%
1992 1.4% 1.7% -0.6% 0.7% 3.5% -3.2% -0.1% -0.6% 1.3% -0.8% 2% 2.7% 7.9%
1993 0.2% 1.2% 2.5% 0.4% 0.1% 0.7% 1.4% 7.6% 0.4% 4.8% -1.4% 3.8% 21.4%
1994 4.3% -2.6% -3.4% 1.8% -2.3% -1.1% 1% 4.7% -2.6% 0.5% -4.5% 0.4% -4%
1995 3% 3.4% 1.7% 2.3% 3.5% 0.8% 3.6% -2.3% 2.7% -0.2% 2.9% 2.1% 23.5%
1996 3.4% -0.4% 1.7% 1.5% 1.5% 0.7% -5.1% 0% 3.3% 2.2% 5% -1.8% 12%
1997 4.3% 1.2% -4.1% 1.4% 6.9% 4.3% 7.1% -5.6% 3.4% -2.7% 1.6% 2.3% 20.1%
1998 1.3% 3.4% 5.6% 1.5% 0.4% 1.3% 0.7% -3.9% 2.9% -0.7% 2.2% 4.2% 18.9%
1999 3.3% -3.6% 3.8% 6.7% -2.7% 6.1% -3.2% -0.8% -1.1% 2.4% 3.6% 10.6% 24.6%
2000 -6.2% 4.2% 2.3% -4.7% -0.8% 1.9% 0.9% 1.4% -2.1% 1.8% 2.8% 2% 3.6%
2001 0.7% 1.4% -0% -2.3% 1.5% 0% 3% 1.5% 1.2% 1.4% -3.5% 1.8% 6.7%
2002 0.4% 1.1% -2.1% -2.1% 0.2% -0.8% 2.2% 4.6% 3.9% -3.1% 3.6% 0.1% 8%
2003 3.1% 2.8% -2.2% 0.8% 6.5% 1.8% 3.1% 2% -0% 6.2% 2.8% 7.6% 34.2%
2004 1.7% 2.9% -1.6% -2.9% 0.8% 1.3% -2.9% 3.3% 2.7% 2.4% 7.5% 4.4% 19.5%
2005 -1.5% 5.5% -3.5% 1% 1.7% 1.5% 2.3% -0.4% 2.7% -3.1% 1% 2.2% 9.3%
2006 6.3% -0.7% 2.9% 5.3% -5.1% 1.1% 1.6% 2.7% 1.1% 3.7% 4% 3% 25.6%
2007 1.1% -1.4% 3.4% 4.9% 3.4% 0.5% -1% 0.6% 6.9% 6.4% -5.1% -1.7% 18.7%
2008 2.9% 0.9% 0.4% -2.5% 0.2% -2.5% -1.6% 2.4% 1.1% -0.7% 12.9% 9.1% 22.4%
2009 -8% 0.2% 4.3% -4.5% 9.9% -2% 10.5% 3.6% 5.9% -2.3% 5.5% 2.8% 25.6%
2010 -4.4% 2% 6.1% 0.9% -8.2% 3.4% -1.4% 0.2% 1.5% 2.8% -5.2% 7.1% 4.7%
2011 2.5% 3.5% -0.2% 2.7% -2.6% -1.8% -3% 7.6% 10.6% -0.2% 3.3% -1.5% 21.4%
2012 1.7% 3.7% 1.8% -0.5% 1.4% 1.3% 1.1% 1.4% 2.9% -0.1% 1.7% 4.7% 21.3%
2013 3.3% -1.2% 3.1% 3.4% 3% -2.8% 1.4% -2.1% 1.9% 4.2% 1.8% 2.5% 18.5%
2014 -4.2% 2.2% 1.2% 0.7% 1.7% 2% -0.8% 3.9% -2.8% 2.1% 1.8% 0.9% 8.8%
2015 3.4% -0.3% -1.8% -1.5% -1.5% -3.5% 3.6% -3.3% 0.1% -0.2% -0.6% -1.2% -6.6%
2016 0.3% 5.7% -0.2% 1.7% 0% 3.3% 2.9% -0.3% 0.5% -1.3% -1.9% 0.8% 11.9%
2017 1.3% 3% 0.4% 2.8% 3.4% 0.1% 3.4% 0.8% 2% 1.3% 2.1% 1.2% 21.7%
2018 6.1% -4.1% 0.3% -0.8% 1% 0.2% 1.2% 2.2% -0.9% -4.9% 1.3% 5.5% 7%
2019 1.4% 0.5% 1.2% 3.5% -6.2% 3.4% -0.4% 4.3% -0.3% 0.6% 1.9% 2.8% 12.5%
2020 -1.7% -0.2% 5.9% 4.4% 4.9% 1.7% 5.6% 5.9% -3.5% -1.6% 6.4% 3.6% 32.6%
2021 0.1% 2.3% 2.6% 5.4% 2.5% -0.5% 2.9% 0% 0% 0% 0% 0% 15.6%
Pos 79.5% 63.6% 72.7% 68.2% 70.5% 72.7% 68.2% 69.8% 69.8% 58.1% 76.7% 81.4% 95.5%
Avg 1.2% 1.4% 1.2% 1.3% 1% 0.9% 1.6% 1.4% 1.2% 0.7% 2.1% 2.3% 16%

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 XIII

start valley end Drawdown days
1979-09-21 1980-04-03 1980-06-10 -16.38% 263
1987-08-26 1987-12-11 1989-04-14 -16.1% 597
2020-03-10 2020-03-18 2020-04-06 -15.26% 27
2010-04-15 2010-06-03 2011-01-18 -12.72% 278
1980-12-01 1981-09-30 1982-04-12 -12.69% 497

The αc Funds of Funds XIII took approximately 11 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.