αc Multi-Asset Defensive IV (CH) (EU)

CH-EU
24 December 2018  –  29 July 2021
Compare with
S&P 500 (US Large Cap) (SP500.X)

Performance

Annualized Return
27.79%
αc Multi-Asset Defensive IV (CH) (EU)
29.55%
S&P 500 (US Large Cap)
Sharpe Ratio
1.65
αc Multi-Asset Defensive IV (CH) (EU)
1.23
S&P 500 (US Large Cap)
Maximum Drawdown
-9.18%
αc Multi-Asset Defensive IV (CH) (EU)
-33.7%
S&P 500 (US Large Cap)

Metrics

Metric αc Multi-Asset Defensive IV (CH) (EU) S&P 500 (US Large Cap)
Initial Balance $10,000 $10,000
Final Balance $18,905 $19,588
Returns
Month-To-Date 2.13% 2.94%
Year-To-Date 18.13% 18.25%
3M 5.02% 5.54%
6M 12.08% 15.19%
Annual Return (1Y) 17.54% 38.8%
Annual Return (3Y) 27.79% 29.55%
Annual Return (5Y) 27.79% 29.55%
Annual Return (10Y) 27.79% 29.55%
Annual Return (All) 27.79% 29.55%
Enh Ann Return 21.82% 18.31%
Best Year 27.25% 31.22%
Worst Year 0.21% 6.65%
Risk
Annual Volatility 15.58% 23.21%
Max Drawdown -9.18% -33.7%
Sharpe Ratio 1.65 1.23
Sortino Ratio 2.38 1.72
Enhanced Sortino

  • 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 2018.
  • 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 3 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) (EU) S&P 500 (US Large Cap) Won
2018 0.21% 6.65%
2019 25.51% 31.22%
2020 27.25% 18.37%
2021 18.13% 18.25%

αc Multi-Asset Defensive IV (CH) (EU) had 4 positive years and 0 negative years. That's a positive ratio of 100%.

S&P 500 (US Large Cap) had 4 positive years and 0 negative years. That's a positive ratio of 100%.

αc Multi-Asset Defensive IV (CH) (EU) had a better yearly return 25% 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
2018 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0% 0.2% 0.2%
2019 2.4% 2% 2.8% 2.8% -5% 3.1% 1.3% 10.8% -2.3% 0.2% 4.3% 1.2% 23.4%
2020 -1.9% 7.1% 6.2% 6.7% 1.3% 2% 3.4% 4.8% -2.6% -1.1% -4% 3.4% 26.1%
2021 1.9% 2.2% 3% 4.7% 1% 1.9% 2.1% 0% 0% 0% 0% 0% 17.1%
Pos 66.7% 100% 100% 100% 66.7% 100% 100% 100% 0% 50% 50% 100% 100%
Avg 0.8% 3.8% 4% 4.7% -0.9% 2.3% 2.3% 7.8% -2.5% -0.4% 0.1% 1.6% 16.7%

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) (EU)

start valley end Drawdown days
2020-09-03 2020-11-30 2021-02-05 -9.18% 155
2020-03-10 2020-03-19 2020-03-25 -9.17% 15
2019-09-04 2019-09-13 2019-11-25 -7.44% 82
2019-04-30 2019-06-11 2019-08-02 -7.09% 94
2020-04-24 2020-05-04 2020-05-28 -6.27% 34

The αc Multi-Asset Defensive IV (CH) (EU) took approximately 3 months on average to recover from a major drawdown.

S&P 500 (US Large Cap)

start valley end Drawdown days
2020-02-20 2020-03-23 2020-08-10 -33.7% 172
2020-09-03 2020-09-23 2020-11-11 -9.44% 69
2019-05-06 2019-06-03 2019-06-20 -6.62% 45
2019-07-29 2019-08-05 2019-10-25 -6.02% 88
2021-02-16 2021-03-04 2021-03-11 -4.06% 23

The S&P 500 (US Large Cap) took approximately 3 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.