Strategy: αc Multi-Asset Defensive

Investment Objective

Aggressive Long-Term Capital Appreciation

Annualized Return

12.6%

Time
Horizon

5+ years

Rebalancing Frequency

Monthly

The portfolio pursues a rather defensive 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 one single asset according to certain calculations, and rebalance once a month.

The investment universe for the portfolio is comprised of multiple assets classes, ranging from large to mid-cap developing markets, emerging markets and fixed-income instruments.

Portfolio Performance (Nov 2004 - Jul 2020)

Benchmark:

The performance metrics below are constructed from historical data dating from November 2004 to July 2020, which is approximately a total of 16 year(s). The portfolio is benchmarked against Vanguard Global Equity Fund Investor Shares.

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

The chart above shows the cumulative return of the assets, which is the aggregate amount that an asset has gained or lost over time. αc Multi-Asset Defensive returned a total of 542.36% between November 2004 and July 2020. Meanwhile, Vanguard Global Equity Fund Investor Shares returned a total of 220.71% during the same period. In terms of cumulative returns, αc Multi-Asset Defensive has been the better investment.

Portfolio Initial Balance Final Balance Annual Return Annual Volatility Best Year Worst Year Max Drawdown Sharpe Ratio Sortino Ratio
αc Multi-Asset Defensive $10,000 $64,236 12.6% 14.2% 42.4% -1.8% -15.3% 0.91 1.32
Benchmark: Vanguard Global Equity Fund Investor Shares $10,000 $32,071 7.7% 19.7% 33% -46.6% -63.7% 0.48 0.65

Explanation of columns:

  • 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 November 2004.
  • Final balance: The amount of capital we've accrued over time as of July 2020.
  • 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 16 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.

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

Drawdown Peak date Valley date Recovery date Duration
-15.34% 2007-10-31 2007-11-26 2008-12-18 297 days
-13.81% 2010-11-04 2011-11-25 2012-11-29 541 days
-11.66% 2009-06-01 2009-06-22 2009-07-20 36 days
-11.57% 2005-03-07 2005-03-29 2005-06-17 75 days
-10.19% 2010-04-14 2010-08-26 2010-11-04 147 days

The αc Multi-Asset Defensive took approximately 7 months on average to recover from a major drawdown.

Benchmark: Vanguard Global Equity Fund Investor Shares

Drawdown Peak date Valley date Recovery date Duration
-63.67% 2007-10-31 2009-03-09 2013-10-18 1558 days
-33.23% 2020-02-19 2020-03-23 - -
-19.69% 2018-01-26 2018-12-24 2019-07-01 372 days
-18.77% 2015-05-21 2016-02-11 2016-12-09 407 days
-14.17% 2006-05-09 2006-06-13 2006-10-16 115 days

The Vanguard Global Equity Fund Investor Shares took approximately 16 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.

Annual Returns

Monthly Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2004 - - - - - - - - - - 8.5% 4.7%
2005 -0.5% 9.7% -7.9% 1.2% 2.3% 4% 7.7% 3.4% 6.8% 0.9% 0.4% 0.3%
2006 9.4% -3.8% 2.2% 3.8% 0.2% 0.2% 0.7% 1.6% -1.1% 3.5% 5.8% 5.5%
2007 0.1% -3.2% -3.4% 1.7% 5.1% 1.9% -1.6% 2% 10.4% 11.9% -7.6% -2.1%
2008 3.4% 1.2% 1.3% -2.4% -0.1% -1.4% 0.6% 1.5% -0.1% 1.2% 1.1% 3.7%
2009 -2.4% -5.2% 2.7% 7.5% 15.9% -2.2% 11% -1.3% 4.9% -3.8% 7.9% 3.3%
2010 3.6% 0.5% 4.9% -0.2% -3.3% 2.6% 0.9% -5.2% 4.1% 1.6% -2.9% 2.9%
2011 0.8% 1.1% 1.7% 1% -4.1% -3% -3.1% 1.2% 2.2% -1.3% 1.3% 2.9%
2012 1.3% 2.7% -3.1% 0 2.6% -0.4% 1.1% -1.2% 1.1% -2% 3.6% 4.4%
2013 -0.9% -0.3% 3.5% 1.1% -2.2% 0.8% 0.2% -0.1% 0.2% 2.8% 1.9% -1%
2014 1.6% 1.1% 0 -0.7% 2% 2.1% -1.3% 1.1% -2.6% -1% 1.3% 0.1%
2015 4.3% -2.5% 0 -0.9% -0.6% 0 0 -0.3% 1.6% -0.6% -0.8% -1.8%
2016 2.8% 1.5% -0.1% 1% -0.2% 2% 1.3% 0 2.5% -0.8% -1.9% 0.1%
2017 -0.5% -0.1% -1.5% 0.8% 3.6% 0.8% 5.8% 2.4% 0 2.3% -1.3% 1%
2018 6.2% -2.7% 0.2% -0.2% 0.4% 0 -0.1% 0.1% -1.4% -2.4% 0.3% 2.1%
2019 0.7% -1.3% 1.2% 4.1% -6.4% 1.6% 0.4% 1.6% -0.8% 0.4% -0.8% 3.1%
2020 -6.9% 4.9% 3.2% 0.2% 2.5% 0.2% 4.4% - - - - -
Pos 68.8% 50% 64.3% 66.7% 56.3% 71.4% 73.3% 64.3% 64.3% 53.3% 62.5% 81.3%
Avg 1.4% 0.2% 0.4% 1.2% 1.1% 0.7% 1.9% 0.5% 2% 0.8% 1.1% 1.8%

Transaction details

Summary

A complete trade consists of 2 transactions.

Total number of trades 110
Percent profitable 62%
Winning trades 68
Losing trades 42
Even trades 0

Returns

How much profit was made with each trade.

Avg returns all trades 1.56%
Avg returns winning 3.38%
Avg returns losing -1.38%
Largest winning trade 23.71%
Largest losing trade -5.99%

Duration

How long a position was held.

Avg duration 52 days
Median duration 32 days
Longest duration 181 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 November 2004 to July 2020. For 54.1% of the time, the portfolio was allocated to bonds, and 45.9% of the time to equities.