Strategy: αc Developed Markets

Investment Objective

Aggressive Long-Term Capital Appreciation

Annualized Return

14.1%

Time
Horizon

5+ years

Rebalancing Frequency

Monthly

The portfolio pursues a strategy that seeks to achieve equity-like returns with lower volatility and drawdowns compared to traditional equity through active ETF selection, risk management and diversification. It is thus expected to produce higher risk-adjusted returns than market indexes.

We use a systematic approach to constructing the portfolio by ranking ETFs in the investment universe using a number of technical indicators and proprietary formulas. We then select a single ETF which is deemed to outperform the others, and rebalance once a month. During unfavorable market conditions we invest in fixed-income instruments.

The investment universe for the portfolio is comprised of region-based ETFs in the developed world.

Portfolio Performance (Jun 1991 - Jul 2019)

Benchmark:

The performance metrics below are constructed from historical data dating from Jun 1991 to Jul 2019. The portfolio is benchmarked against S&P500 Index.

All metrics shown are inclusive of commission fees as well as transaction tax. For this concrete portfolio, we've applied some sensible defaults: a fixed commission fee of $25 for each transaction, as well as a 0.12% tax for each transaction. Performance may vary depending on the associated costs to investing in these instruments in a certain country, as well as other factors such as the exact time at which the trades were executed, slippage, and more.

Cumulative Returns

Portfolio Initial Balance Final Balance Annual Return Annual Volatility Best Year Worst Year Max Drawdown Sharpe Ratio Sortino Ratio
αc Developed Markets $10,000 $403,882 14.1% 14% 31.7% -6.7% -19% 1.01 1.45
Benchmark: S&P500 Index $10,000 $140,068 9.5% 17.3% 37.4% -37% -55.3% 0.61 0.87

Drawdown Periods

αc Developed Markets

Drawdown Peak date Valley date Recovery date Duration
-18.97% 2015-05-21 2016-01-20 2017-02-21 459 days
-17.88% 1998-07-20 1998-09-02 1999-03-11 169 days
-17.66% 2008-12-18 2009-06-10 2009-10-14 215 days
-13.41% 2006-05-09 2006-06-13 2006-10-04 107 days
-13.04% 2007-07-12 2007-08-16 2007-10-09 64 days

Benchmark: S&P500 Index

Drawdown Peak date Valley date Recovery date Duration
-55.25% 2007-10-09 2009-03-09 2012-08-16 1268 days
-47.52% 2000-09-04 2002-10-09 2006-10-26 1604 days
-19.4% 2018-09-20 2018-12-24 2019-04-12 147 days
-19.2% 1998-07-17 1998-08-31 1998-11-23 92 days
-13.04% 2015-07-20 2016-02-11 2016-04-19 197 days

Underwater plot

Annual Returns

Monthly Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
1991 - - - - - -0.1% 4.6% 2.3% -1.9% -2.4% -4.2% 7.3%
1992 -2.1% 0.3% -1.9% 2.7% 5.5% -0.8% -3.9% -2.1% 1.2% 0.3% 3.4% 1.9%
1993 0.1% 1.4% 2.1% -2.7% 1.6% -1.4% 0.4% 8.8% -0.2% 3.7% -2.2% 7.7%
1994 4.7% -3.6% -3% 4.9% -4.1% -1.1% 5.3% 3% -4.3% 2.3% -3.9% 1.4%
1995 2.6% 3.9% 2.9% 2.9% 3.7% 0.9% 3.1% -4.2% 4.2% -0.4% 4.4% 1.9%
1996 3.4% 0.9% 1% 1.5% 2.6% 0.4% -4.7% 3% 1.7% 2.8% 7.6% -2%
1997 6.2% 0.8% -4.4% -0.7% 5.9% 4.9% 8% -5.7% 5.5% -3.6% 1.1% 1.7%
1998 0.9% 7.9% 7.3% 1.9% 2.5% 1.2% 1.9% -12.8% 3.4% -2% 6.2% 5.9%
1999 4.3% -3.2% 4% 3.9% -2.4% 5.6% -3.2% -0.7% -1.1% -0.1% 1.8% 10.3%
2000 -7.2% 5.4% 2.2% -3% -2% 2.2% 1.2% -1.3% -5.6% 1.6% 3.1% 2.5%
2001 0.3% 1.8% -0.6% -2.6% 0.2% 0.8% 3.7% 2.1% 0.9% 5.2% -5.2% -1.8%
2002 1.2% 1.3% -3.9% 3.8% 0.4% 1.8% 3% 4.4% 4.1% -2.9% -1.4% 4.6%
2003 -0.4% 3.1% -1.1% 0.9% 5.5% 1% 2% -0.4% -1.3% 6.7% 4.3% 8.3%
2004 1.1% 2.9% -3.2% -0.8% 1.5% 1.6% -3% 3.5% 0.7% 3.6% 7.3% 4.2%
2005 -1.9% 4.9% -2.5% -2% -0.3% 0.1% 3.7% -1.2% 2.2% -3.3% 1.1% -0.2%
2006 6.6% 0 3.8% 5.2% -2.5% 0.1% 1.7% 3.1% 0.8% 4% 1.6% 2.7%
2007 1.2% -1% 3.9% 5.7% 2.5% -0.3% -2.9% -0.1% 5.2% 4.9% -3.7% -2.1%
2008 2.7% 0.4% 1% -1.9% -2.2% 1.8% 0.3% 1.8% 0.3% -3.7% 12.4% 9.1%
2009 -8.6% -1% 5.4% -5.1% -2.7% 0.7% 0.6% 5.4% 5.1% -2.1% 4% 0.2%
2010 -3.6% 3.1% 6% 1.6% -8.2% 4.8% -0.2% 7.2% -2.1% 4.7% -8.2% 6.8%
2011 2.4% 3.5% 0 2.7% -3% -2.1% -4% 8.9% 10.4% -3.4% 1.9% 3.2%
2012 -0.2% 4.3% 3.3% -0.6% -6% 4.1% 1.4% 2.2% 2.3% 1.6% 2.4% 3.5%
2013 5% -3.2% 0.1% 1.9% 2.3% -1.3% 5.1% -3.1% 6.9% 4.1% 1.1% 2.6%
2014 -4% 7.2% -0.9% 0.5% 0.5% 2.1% -1.4% 4% -1.4% 2.4% 2.7% -0.3%
2015 -3% 5.8% -1.6% 0.7% 0.2% -3.3% 2.3% -6.2% 1.9% -0.5% -1.1% -1.6%
2016 -5.2% 2.8% 0.1% -0.9% 1.8% 0.3% 3.7% 0.1% 0 -1.8% 3.7% 1.9%
2017 1.9% 3.9% -0.1% 4.1% 4.8% -0.8% 3% 0.1% 3.2% 0.2% 3.1% 1.1%
2018 5.7% -3.7% -2.6% 0.1% -2.9% 0.6% 3.7% 3.2% 0.6% -7.1% 1.8% 5.4%
2019 0.5% -1.5% 1.9% 4% -6.4% 7% 3% - - - - -

Transaction details

Summary

A complete trade consists of 2 transactions.

Total number of trades 75
Percent profitable 76%
Winning trades 57
Losing trades 18
Even trades 0

Returns

How much profit was made with each trade.

Avg returns all trades 4.76%
Avg returns winning 7.26%
Avg returns losing -3.18%
Largest winning trade 29.76%
Largest losing trade -9.39%

Duration

How long a position was held.

Avg duration 137 days
Median duration 91 days
Longest duration 973 days
Shortest duration 28 days

Allocation

The bond to equity ratio for this portfolio is dynamic through time. The provided values are the average historical percentages from Jun 1991 to Jul 2019. For 23.2% of the time, the portfolio was allocated to bonds, and 76.8% of the time to equities.