Strategy: αc U.S. Equities

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 those that rank in the top 2, weight them equally, and rebalance once a month at most. During unfavorable market conditions the portfolio invests in fixed income instruments.

The investment universe for the portfolio is comprised of U.S. equities only, mostly consisting of large-cap companies.

Portfolio Performance (May 1986 - Jul 2019)

Benchmark:

The performance metrics below are constructed from historical data dating from May 1986 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 U.S. Equities $10,000 $468,320 12.3% 14.6% 39.1% -11.9% -32.3% 0.87 1.2
Benchmark: S&P500 Index $10,000 $229,853 9.6% 17.7% 37.4% -37% -55.3% 0.61 0.84

Drawdown Periods

αc U.S. Equities

Drawdown Peak date Valley date Recovery date Duration
-32.29% 1987-08-25 1987-10-26 1989-08-07 510 days
-25.71% 1989-10-09 1990-08-23 1991-04-02 387 days
-23.98% 2000-03-24 2000-05-23 2001-10-31 419 days
-21.87% 1998-07-20 1998-08-31 1999-01-28 139 days
-17.83% 2011-04-29 2011-08-19 2012-02-13 207 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
-33.08% 1987-08-25 1987-10-19 1989-05-19 454 days
-19.4% 2018-09-20 2018-12-24 2019-04-12 147 days
-19.2% 1990-07-16 1990-10-11 1991-02-11 151 days

Underwater plot

Annual Returns

Monthly Returns

Jan Feb Mar Apr May Jun Jul Aug Sep Oct Nov Dec
1986 - - - - 0 1.7% -6.9% 5.2% -8.2% 1.6% 1.2% -6.4%
1987 12.4% 5.9% 2% -1.9% 0.4% 3.4% 3.6% 4.1% -2.3% -23.7% 2% 1.6%
1988 4.6% 1.1% -2.2% -1.1% -1.6% 4% -0.7% -3.1% 3.6% 0.7% -2.1% 2.2%
1989 6.3% -1.5% 2% 5.1% 4.2% -1.5% 6.7% 2.6% 0.1% -2.9% 1.1% 1.1%
1990 -7.5% -0.7% -0.4% -2.7% 4.5% 0.6% -2.8% -10.8% 1.1%