Strategy: αc Multi-Asset Opportunities II

Investment Objective

Aggressive Long-Term Capital Appreciation

Annualized Return

12.8%

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 - Sep 2019)

Benchmark:

The performance metrics below are constructed from historical data dating from Nov 2004 to Sep 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 II $10,000 $60,132 12.8% 14.4% 43.9% -1.8% -15.2% 0.91 1.33
Benchmark: Vanguard Global Equity Fund $10,000 $29,538 7.3% 18.4% 33% -46.6% -63.7% 0.47 0.65

Drawdown Periods

αc Multi-Asset Opportunities II

Drawdown Peak date Valley date Recovery date Duration
-15.24% 2007-10-31 2007-11-26 2008-12-17 296 days
-13.89% 2010-11-04 2011-11-25 2012-03-01 346 days
-12.05% 2009-06-01 2009-06-22 2009-07-20 36 days
-11.61% 2005-03-07 2005-03-29 2005-06-17 75 days
-10.2% 2010-04-14 2010-08-26 2010-11-04 147 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
2004 - - - - - - - - - - 8.6% 4.8%
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 9.5% -3.9% 2.2% 3.8% 0.2% 0.2% 0.7% 1.6% -1.2% 3.5% 5.8% 5.5%
2007 0.1% -3.3% -3.4% 1.8% 5.1% 1.9% -1.6% 2% 10.3% 11.8% -7.6% -2.1%
2008 3.4% 1.2% 1.3% -2.4% -0.1% -1.5% 0.6% 1.5% -0.1% 1.2% 1.1% 3.7%
2009 -2.4% -5.2% 2.7% 7.8% 16.6% -2.3% 11.4% -1.4% 4.8% -3.8% 7.9% 3.3%
2010 3.6% -1.7% 8.1% -0.2% -3.3% 2.6% 0.9% -5.1% 4.5% 0.9% -2.9% 2.9%
2011 0.8% 1.1% 1.7% 1% -4.1% -3.1% -3.1% 1.3% 2.3% -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% 3.4% 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% 2.3% 0 2.3% -1.3% 1%
2018 6.3% -2.7% 0.3% -0.2% 0.4% 0 -0.1% 0.1% -1.4% -0.2% 0.4% 2.1%
2019 0.7% -1.3% 1.2% 4.1% -6.4% 1.6% 0.4% 1.6% -1.1% - - -
Pos 73.3% 40% 61.5% 64.3% 53.3% 69.2% 71.4% 64.3% 64.3% 50% 66.7% 80%
Avg 2% -0.2% 0.4% 1.3% 1.1% 0.7% 1.7% 0.5% 2% 1% 1.2% 1.7%

Transaction details

Summary

A complete trade consists of 2 transactions.

Total number of trades 102
Percent profitable 69.61%
Winning trades 71
Losing trades 31
Even trades 0

Returns

How much profit was made with each trade.

Avg returns all trades 1.88%
Avg returns winning 3.3%
Avg returns losing -1.35%
Largest winning trade 24.79%
Largest losing trade -5.77%

Duration

How long a position was held.

Avg duration 53 days
Median duration 32 days
Longest duration 181 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 Nov 2004 to Sep 2019. For 53.6% of the time, the portfolio was allocated to bonds, and 46.4% of the time to equities.