Strategy: αc U.S. Equities

Investment Objective

Aggressive Long-Term Capital Appreciation

Annualized Return



5+ years

Rebalancing Frequency


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 (Mar 1987 - Jul 2020)


The performance metrics below are constructed from historical data dating from March 1987 to July 2020, which is approximately a total of 33 year(s). The portfolio is benchmarked against S&P 500 (US Large Cap).

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 U.S. Equities returned a total of 5032.24% between March 1987 and July 2020. Meanwhile, S&P 500 (US Large Cap) returned a total of 2035.15% during the same period. In terms of cumulative returns, αc U.S. Equities 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 U.S. Equities $10,000 $513,224 12.6% 15.2% 42% -15.4% -33.2% 0.86 1.19
Benchmark: S&P 500 (US Large Cap) $10,000 $213,515 9.6% 18.9% 38% -36.8% -55.2% 0.58 0.81

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 March 1987.
  • 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 33 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 U.S. Equities

Drawdown Peak date Valley date Recovery date Duration
-33.16% 1987-08-25 1987-10-26 1989-08-24 523 days
-25.92% 1989-10-09 1990-08-23 1991-04-02 387 days
-25.53% 2000-03-24 2000-05-23 2001-11-01 420 days
-22.22% 1998-07-20 1998-08-31 1999-01-26 137 days
-17.77% 2011-04-29 2011-08-19 2012-02-16 210 days

The αc U.S. Equities took approximately 11 months on average to recover from a major drawdown.

Benchmark: S&P 500 (US Large Cap)

Drawdown Peak date Valley date Recovery date Duration
-55.19% 2007-10-09 2009-03-09 2012-08-16 1268 days
-47.52% 2000-03-24 2002-10-09 2006-10-26 1720 days
-34.1% 2020-02-19 2020-03-23 - -
-33.08% 1987-08-25 1987-10-19 1989-05-19 454 days
-19.35% 2018-09-20 2018-12-24 2019-04-12 147 days

The S&P 500 (US Large Cap) took approximately 24 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
1987 - - 0 -1.7% 0.4% 3.5% 3.7% 4.2% -2.3% -24.3% 2.1% 1.6%
1988 4.7% 1.2% -2.2% -1.1% -1.6% 4.1% -0.7% -3.1% 3.6% 0.7% -2.1% 2.2%
1989 6.3%