Strategy: αc Multi-Asset Opportunities

Investment Objective

Aggressive Long-Term Capital Appreciation

Annualized Return

17.2%

Time
Horizon

5+ years

Rebalancing Frequency

Quarterly

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 2 to 4 ETFs, weight them variably according to certain metrics, and usually rebalance once a quarter. Rebalance frequency may vary depending on certain market conditions.

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

Portfolio Performance (Jun 2005 - Jul 2019)

Benchmark:

The performance metrics below are constructed from historical data dating from Jun 2005 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 Multi-Asset Opportunities $10,000 $93,800 17.2% 14.1% 49.5% 2.1% -21.7% 1.2 1.76
Benchmark: Vanguard Global Equity Fund $10,000 $27,315 7.1% 18.8% 33% -46.6% -63.7% 0.46 0.64

Drawdown Periods

αc Multi-Asset Opportunities

Drawdown Peak date Valley date Recovery date Duration
-21.7% 2007-11-06 2008-10-31 2008-12-18 293 days
-15.24% 2010-04-23 2010-07-27 2011-01-12 189 days
-15.16% 2009-01-06 2009-03-09 2009-04-02 63 days
-14.77% 2006-05-10 2006-06-13 2006-11-10 133 days
-10.01% 2010-01-08 2010-02-08 2010-03-10 44 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
-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
-13.82% 2007-07-13 2007-08-16 2007-10-05 61 days

Underwater plot

Annual Returns

Monthly Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
2005 - - - - - -0.8% 3.6% 0.6% 5.5% -2.6% 6.3% 3.3%
2006 8.9% -1.3% 2.5% 4.3% -4.2% -2% 0.4% 1.9% 1% 4.6% 4.6% 0.6%
2007 0.8% 0.7% 1.2% 2.5% 3.2% 0.5% 2.2% 1.5% 5.2% 8.9% -5.6% 1.6%
2008 -8.9% -1% -2% 0.3% -1.3% -0.5% -0.6% -1.2% 2.3% -6.6% 13.8% 14.5%
2009 -3.3% -3.3% 5.4% 15.1% 8.1% 0.6% 6% 2.4% 4% -3.4% 6% 4.8%
2010 -5.5% 3.9% 7.7% 2.1% -7.9% -3.6% -1.1% 2.7% 0.8% 4.3% 0 6.3%
2011 0.4% 2.6% 2.1% 2.8% -0.2% -2.5% 4.4% 9.6% 12.3% 0.1% -0.3% 1.2%
2012 8.6% 5.4% 0.8% 1.1% -1.3% 0.3% 1.4% 0 -0.2% -1.5% 1% 2%
2013 2.2% -0.3% 1.3% 1.4% 1.3% -1.2% -2.3% -1.3% 1.3% 4.3% 1.3% 1.6%
2014 0.7% 3.4% -0.8% 1.7% 3% 1.4% -2.2% 3.5% -3.8% 2.8% 3% 2.3%
2015 1% 1% 0.7% -0.7% 0.3% -1.1% 4.5% -0.7% 1.7% 0.1% -0.4% -0.7%
2016 5.6% 3.1% -1.1% -0.3% 1.1% 0.1% 2.6% -0.9% 1.1% -1% -1.6% 0.2%
2017 2.5% 2.9% 0.2% 1.9% 2.3% -0.5% 0.5% 0.1% 1% 2.3% 2.1% 0.9%
2018 2.7% -4.4% 0.3% -0.9% 0.7% -0.5% 0 2.9% -2.3% -2.9% 1.8% 5.2%
2019 1.6% -0.2% 0.9% 1.7% -1.6% 3% 1.7% - - - - -

Transaction details

Summary

A complete trade consists of 2 transactions.

Total number of trades 101
Percent profitable 85.15%
Winning trades 86
Losing trades 15
Even trades 0

Returns

How much profit was made with each trade.

Avg returns all trades 2.12%
Avg returns winning 2.75%
Avg returns losing -1.53%
Largest winning trade 23.37%
Largest losing trade -3.8%

Duration

How long a position was held.

Avg duration 168 days
Median duration 94 days
Longest duration 640 days
Shortest duration 27 days

Allocation

The bond to equity ratio for this portfolio is dynamic through time. The provided values are the average historical percentages from Jun 2005 to Jul 2019. For 21% of the time, the portfolio was allocated to bonds, and 79% of the time to equities.