Strategy: αc International Equities II

Investment Objective

Aggressive Long-Term Capital Appreciation

Annualized Return

12.3%

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 the most attractive compared to the other ETFs, and rebalance once a month. During unfavorable market conditions we invest in fixed-income instruments.

The investment universe for the portfolio is comprised of international equities (U.S. & ex-U.S.) with mainly large-cap companies.

Portfolio Performance (Apr 1997 - Jul 2019)

Benchmark:

The performance metrics below are constructed from historical data dating from Apr 1997 to Jul 2019. The portfolio is benchmarked against Vanguard Global Equity Fund.

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 International Equities II $10,000 $131,796 12.3% 13% 55.2% -10.9% -22.8% 0.96 1.37
Benchmark: Vanguard Global Equity Fund $10,000 $65,160 8.5% 16.7% 45.6% -46.6% -63.7% 0.57 0.79

Drawdown Periods

αc International Equities II

Drawdown Peak date Valley date Recovery date Duration
-22.79% 2015-05-15 2016-06-27 2017-11-24 661 days
-19.12% 1998-07-17 1998-08-31 1999-03-15 172 days
-14.28% 2006-05-09 2006-07-18 2007-01-03 172 days
-12.54% 2000-03-28 2000-04-14 2000-08-23 107 days
-12.37% 2000-09-01 2000-12-01 2003-04-22 688 days

Benchmark: Vanguard Global Equity Fund

Drawdown Peak date Valley date Recovery date Duration
-63.67% 2007-10-31 2009-03-09 2013-10-18 1558 days
-27.6% 2002-05-17 2002-10-09 2003-08-14 325 days
-22.97% 1998-04-15 1998-10-05 1999-04-08 257 days
-21.72% 2001-05-21 2001-09-21 2002-04-17 238 days
-19.69% 2018-01-26 2018-12-24 2019-07-01 372 days

Underwater plot

Annual Returns

Monthly Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
1997 - - - 0 6.3% 4.4% 7.9% -5.6% 5.4% -3.3% 4.6% 1.7%
1998 1.1% 7.2% 5.1% 1% -1.7% 4.1% -1% -14.4% 5.8% -0.5% 4.1% 5.9%
1999 4.3% -3.2% 4% 3.9% -2.4% 5.6% -3.2% 0.5% 0.8% 0.9% 3.7% 9.4%
2000 -6.2% 2.8% 3.5% -5% -2.1% 2.5% 1.5% 5.6% -5.3% 0.4% -7.4% 1.9%
2001 1.8% 0.9% 0.5% -0.5% 0.7% 0.5% 2.2% 1.1% 0.9% 1.9% -1.3% -0.7%
2002 -2.7% -0.3% -1.5% 0.1% 0.7% 0.3% 0.5% 1.7% 1.5% -0.6% -0.2% -5.7%
2003 3.9% 1.3% -0.1% 6.7% 5.5% 2.7% 3.2% 2.5% 2.8% 6.5% 2.1% 7.8%
2004 1.6% 2.5% 0.5% -3.2% 0.5% 2.4% -3.1% 2% 0.2% 0.8% 6.2% 4.5%
2005 -1.7% 4.7% -3% -2.1% 0.1% -0.4% 3.7% -0.9% 3% -3.4% 2.7% 5.2%
2006 7% -0.7% 3.2% 5.2% -4.5% 0.4% -0.2% 0.2% -0.6% 3.7% 1.9% 2.7%
2007 1% 0.1% 2.8% 3.9% 3.1% 0.6% -1.1% 0.5% 5.1% 6% -4.6% -0.8%
2008 1.8% 0.1% 0.3% -0.4% -0.7% 0 0 0.7% -1.1% -2.6% 3.7% 3.4%
2009 -0.7% -0.4% 1.5% 0.4% 13% -1.3% 10.1% 3.5% 5.3% -2.1% 3.8% 3.3%
2010 -3.6% 3% 5.9% 1.6% -7.9% -0.4% 1% 1.5% 0 2.4% -4.6% 7.2%
2011 2.3% 3.4% 0 2.9% -1.1% -1.7% -2% 0.5% 0.9% 0.2% 2.9% 1%
2012 4.3% 4.2% 3.2% -0.6% -5.9% -2.9% 1.2% 2.2% 2.6% -1.9% 1.7% 4.2%
2013 3.3% -1.2% 0.9% 1.2% 2.3% -1.4% 5.1% -2.9% 3.1% 3.4% 2% 2.5%
2014 -3.5% 4.6% 0.8% 0.7% 2.4% 2.1% -1.4% 4% -1.4% 2.4% 2.7% -0.3%
2015 -3% 5.8% -1.6% 1% -0.4% -2.7% 1.3% -5.8% -2.7% 0 -1.2% -1.6%
2016 -5% 0.6% 0.9% -0.4% -1.1% 0 3.7% 0.1% 0 -2.4% -2.2% 1.9%
2017 1.9% 4% 0.1% 1.8% 3% 0.5% 3.4% 0.6% 1.8% 1.9% 0.7% 0.7%
2018 5.7% -3.7% -2.6% -0.3% 0.1% -0.9% 3.8% 3.3% 0.6% -6.9% 1.4% 1.8%
2019 1% 2.6% 1.9% 4.1% -6.4% 0.4% 1.9% - - - - -

Transaction details

Summary

A complete trade consists of 2 transactions.

Total number of trades 67
Percent profitable 76.12%
Winning trades 51
Losing trades 15
Even trades 1

Returns

How much profit was made with each trade.

Avg returns all trades 3.72%
Avg returns winning 5.88%
Avg returns losing -3.37%
Largest winning trade 30.26%
Largest losing trade -9.06%

Duration

How long a position was held.

Avg duration 121 days
Median duration 62 days
Longest duration 546 days
Shortest duration 24 days

Allocation

The bond to equity ratio for this portfolio is dynamic through time. The provided values are the average historical percentages from Apr 1997 to Jul 2019. For 26.7% of the time, the portfolio was allocated to bonds, and 73.3% of the time to equities.