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 a single ETF which is deemed the most attractive compared to the other ETFs, and rebalance once a month. During unfavorable market conditions we invest in fixed-income instruments.
The investment universe for the portfolio is comprised of international equities (U.S. & ex-U.S.) with mainly large-cap companies.
1 July 1970 – 20 December 2024
Compare with
MSCI World (WORLD.X)
Performance
- Annualized Return
-
11.92%αc International Equities III
-
9.61%MSCI World
- Sharpe Ratio
-
0.53αc International Equities III
-
1.07MSCI World
- Maximum Drawdown
-
-63.22%αc International Equities III
-
-54.03%MSCI World
Metrics
| Metric | αc International Equities III | MSCI World |
|---|---|---|
| Initial Balance | $10,000 | $10,000 |
| Final Balance | $4,627,544 | $1,485,601 |
| Returns [View more details] | ||
| Month-To-Date | -0.23% | -2.3% |
| Year-To-Date | 25.12% | 19.32% |
| 3M | 5.98% | 2.89% |
| 6M | 8.82% | 6.4% |
| Annualized Return (3Y) | 5.82% | 8.04% |
| Annualized Return (5Y) | 10.95% | 11.49% |
| Annualized Return (All) | 11.92% | 9.61% |
| Risk [View more details] | ||
| Annual Volatility | 25.46% | 8.96% |
| Max Drawdown | -63.22% | -54.03% |
| Sharpe Ratio | 0.53 | 1.07 |
| Sortino Ratio | 1.3 | 1.51 |
| Adjusted Sortino (S/√2) | 0.92 | 1.07 |
- 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 July 1970.
- Final balance: The amount of capital we've accrued over time as of December 2024.
- 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 54 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.
- Adjusted Sortino Ratio: Sortino Ratio/√2. To allow for comparing the Sortino ratio to the Sharpe ratio, we multiply the risk measure of the Sortino ratio by the square root of 2 (which is the same as dividing the Sortino ratio by the square root of 2).
- Ulcer Index: The Ulcer Index (UI) is a technical indicator that measures downside risk in terms of both the depth and duration of price declines.
- Gain to Pain Ratio: The sum of all returns divided by the absolute value of the sum of all negative returns. In essence, the GPR shows the ratio of net returns to the losses incurred in getting those returns.
Annualized Returns
| Annual Return 1y | Annual Return 3y | Annual Return 5y | Annual Return 10y | Annual Return 20y | Annual Return | |
|---|---|---|---|---|---|---|
| αc International Equities III | 27.01 | 5.82 | 10.95 | 9.01 | 10.85 | 11.92 |
| MSCI World | 21.5 | 8.04 | 11.49 | 10.08 | 8.17 | 9.61 |
Annual Returns
| Year | αc International Equities III | MSCI World | Won |
|---|---|---|---|
| 1970 | 14.35% | 19.49% | |
| 1971 | 9.7% | 18.36% | |
| 1972 | 20.57% | 22.48% | |
| 1973 | -12.61% | -15.24% | |
| 1974 | 7% | -25.47% | |
| 1975 | 12.71% | 32.81% | |
| 1976 | 17.78% | 13.4% | |
| 1977 | -5.2% | 0.68% | |
| 1978 | -1.54% | 16.52% | |
| 1979 | 11% | 10.95% | |
| 1980 | 19.28% | 25.67% | |
| 1981 | -17.18% | -4.79% | |
| 1982 | 44.14% | 9.71% | |
| 1983 | 21.34% | 21.93% | |
| 1984 | 10.58% | 4.72% | |
| 1985 | 26.17% | 40.56% | |
| 1986 | 42.36% | 41.89% | |
| 1987 | 6.59% | 16.16% | |
| 1988 | 10.55% | 23.29% | |
| 1989 | 27.59% | 16.61% | |
| 1990 | -0.67% | -17.02% | |
| 1991 | 23.22% | 18.28% | |
| 1992 | 5.14% | -5.23% | |
| 1993 | 12.2% | 22.5% | |
| 1994 | 2.73% | 5.08% | |
| 1995 | 37.34% | 20.72% | |
| 1996 | 12.71% | 13.48% | |
| 1997 | 33.48% | 15.76% | |
| 1998 | 14.77% | 24.34% | |
| 1999 | 18.75% | 24.93% | |
| 2000 | -4.52% | -13.18% | |
| 2001 | 8.39% | -16.82% | |
| 2002 | -12.53% | -19.89% | |
| 2003 | 40.93% | 33.11% | |
| 2004 | 11.37% | 14.72% | |
| 2005 | 3.64% | 9.49% | |
| 2006 | 17.58% | 20.07% | |
| 2007 | 10.38% | 9.04% | |
| 2008 | -2.12% | -40.71% | |
| 2009 | 23.61% | 29.99% | |
| 2010 | 5.75% | 11.76% | |
| 2011 | 10.06% | -5.54% | |
| 2012 | 15.38% | 17.04% | |
| 2013 | 30.37% | 26.66% | |
| 2014 | 14.05% | 4.37% | |
| 2015 | -6.45% | -0.64% | |
| 2016 | 6.5% | 7.31% | |
| 2017 | 21.78% | 22.95% | |
| 2018 | 2.95% | -8.56% | |
| 2019 | 14.29% | 28.15% | |
| 2020 | 15.61% | 15.78% | |
| 2021 | 27.64% | 22.27% | |
| 2022 | -24.24% | -17.97% | |
| 2023 | 19.73% | 23.95% | |
| 2024 | 25.12% | 19.32% |
αc International Equities III had 45 positive years and 10 negative years. That's a positive ratio of 82%.
MSCI World had 42 positive years and 13 negative years. That's a positive ratio of 76%.
αc International Equities III had a better yearly return 45% of the time compared to MSCI World.
Monthly Returns
| Jan | Feb | Mar | Apr | May | Jun | Jul | Aug | Sep | Oct | Nov | Dec | YTD | |
|---|---|---|---|---|---|---|---|---|---|---|---|---|---|
| 1970 | - | - | - | - | - | - | 1.3% | 1.3% | 1.3% | 2.4% | 0.3% | 7.2% | 14.4% |
| 1971 | 3.8% | 4.1% | 3.1% | 3.7% | -1% | -1.7% | -1.6% | -1.2% | 0.8% | -1.7% | 0.4% | 0.7% | 9.7% |
| 1972 | 3.3% | 3.8% | 1.3% | 1.4% | 2% | -2.3% | -0.3% | 2.9% | -1.2% | 0.7% | 5.3% | 2.2% | 20.6% |
| 1973 | 0.4% | -3.2% | 0.1% | -5% | 0.3% | 0.3% | 0.3% | 0.3% | 0.3% | 0.3% | -6.6% | -0.4% | -12.6% |
| 1974 | 0.6% | 0.5% | 0.6% | 0.6% | 0.6% | 0.5% | 0.6% | 0.6% | 0.6% | 0.6% | 0.5% | 0.6% | 7% |
| 1975 | 0.7% | 7.9% | 0.7% | 4.1% | 2.4% | 2.8% | 0.4% | -6.5% | -1.3% | 0.8% | 1.8% | -1.1% | 12.7% |
| 1976 | 9% | -0.7% | 0.9% | 1.1% | -0.3% | 0.9% | 2.6% | -0.5% | 2.4% | -2.9% | 0.9% | 3.7% | 17.8% |
| 1977 | -3.1% | -2.3% | 0.2% | 0.2% | 0.3% | 0.2% | 0.2% | -2% | 0.2% | 0.3% | 0.2% | 0.2% | -5.2% |
| 1978 | 0.1% | 0.1% | 0.1% | 0.1% | 1.2% | 0.7% | -0.1% | 2.5% | 1.2% | -2% | -5.4% | 0.2% | -1.5% |
| 1979 | 0.2% | -1% | 4.1% | -0.2% | -1.9% | 2.3% | 1.5% | 5% | 1.4% | -3.3% | -0.3% | 2.8% | 11% |
| 1980 | 8.5% | 0.4% | -9.8% | 0.4% | 4.7% | 3.6% | 3.7% | 1.7% | 2.7% | 2% | 5.2% | -4% | 19.3% |
| 1981 | -4.4% | -1.6% | 0.8% | -2.6% | -1.9% | 0.5% | 0.5% | -5.3% | 0.8% | 0.5% | 0.5% | -6.1% | -17.2% |
| 1982 | 2.5% | 2.4% | 2.8% | 2.5% | 2.3% | 2.6% | 2.3% | 2.4% | 2.1% | 11.1% | 4.2% | 0.3% | 44.1% |
| 1983 | 3.4% | 2.5% | 3.5% | 7.6% | -2.2% | 3.1% | -3.8% | 1.8% | 1.9% | -1.4% | 2.3% | 1.3% | 21.3% |
| 1984 | 1.3% | 1.2% | 1.2% | 1.2% | 1.2% | 1.1% | 1.2% | 1.2% | 1.1% | 0.3% | -1% | 0.1% | 10.6% |
| 1985 | 4.1% | 0.2% | -1.1% | 0.2% | 5.1% | 1.8% | -0.5% | 1.5% | 0.7% | 1.7% | 5.4% | 4.7% | 26.2% |
| 1986 | 1.5% | 9% | 9.8% | 2.7% | -0.3% | 4% | 0.8% | 8.7% | -4% | 1.1% | 1.8% | 1.8% | 42.4% |
| 1987 | 1.7% | 2.8% | 6.2% | 5.8% | 0.1% | -0.1% | 2% | 4.7% | -2.3% | -15% | 0.7% | 1.6% | 6.6% |
| 1988 | 3.1% | 1.2% | 3% | -0.1% | -1.9% | -0.2% | 0.3% | -3.4% | 0.9% | 3.1% | 3.5% | 0.9% | 10.6% |
| 1989 | 3.6% | -0.7% | -0.7% | 4.8% | 4% | -0.6% | 9% | 1.9% | -0.4% | -2.3% | 2% | 4.5% | 27.6% |
| 1990 | -4.7% | 0.4% | 0.1% | -0.9% | 9.2% | -0.7% | -0.4% | -9% | 1.1% | 1.5% | 2.2% | 1.5% | -0.7% |
| 1991 | 6.2% | 7.1% | 2.4% | 0.2% | 4.3% | -4.6% | 4.6% | 2.3% | -1.7% | 1.9% | -4.4% | 3.4% | 23.2% |
| 1992 | -2.2% | 1.2% | -1.9% | 2.9% | 0.5% | -1.5% | 2.9% | -2.3% | -0.3% | 0.5% | 3.4% | 1.9% | 5.1% |
| 1993 | 0.1% | 1.1% | 2.2% | 4.6% | 2.1% | -0.7% | 2% | 4.6% | -1.9% | 2.7% | -5.7% | 0.8% | 12.2% |
| 1994 | 5.9% | -1.3% | -4.3% | 1.2% | 0% | -0.1% | 1.8% | 2.7% | -2.7% | 3.1% | -4% | 0.9% | 2.7% |
| 1995 | 2.8% | 4.1% | 2.8% | 3% | 4% | 2% | 3.2% | 0.5% | 4.2% | -0.3% | 4.5% | 1.6% | 37.3% |
| 1996 | 3.6% | 0.3% | 1.7% | 1.1% | 0% | 0.9% | -4.5% | -0.9% | 1.7% | 3.7% | 7.3% | -2.4% | 12.7% |
| 1997 | 6.2% | 1% | -4.4% | 6.3% | 6.3% | 4.1% | 7.9% | -5.2% | 4.8% | -2.5% | 3.9% | 1.9% | 33.5% |
| 1998 | 1.3% | 6.9% | 4.9% | 1.3% | -2.1% | 4.3% | -1.4% | -12.2% | 2.1% | -0.6% | 4.3% | 6.5% | 14.8% |
| 1999 | 3.5% | -3.2% | 3.8% | 3.9% | -2.8% | 5.5% | -3.1% | -0.2% | -1% | 0.9% | 2.4% | 8.1% | 18.8% |
| 2000 | -5.7% | 0.3% | 6.9% | -3.8% | -1.6% | 2% | 0.7% | 6.4% | -5.5% | 1% | -6.8% | 2.7% | -4.5% |
| 2001 | 1.8% | 0.9% | 0.6% | -0.5% | 0.7% | 0.5% | 2.2% | 1.1% | 0.9% | 1.9% | -1.3% | -0.7% | 8.4% |
| 2002 | -2% | -1.8% | -0.7% | -5.6% | 0.7% | 0.3% | 0.5% | 1.7% | 1.5% | -0.6% | -0.2% | -6.8% | -12.5% |
| 2003 | 1.4% | 1.4% | -0.1% | 7.9% | 5.5% | 1.1% | 1.6% | 2.2% | 0.6% | 5.9% | 1.5% | 6.3% | 40.9% |
| 2004 | 1.6% | 1.7% | -0.7% | -2.1% | 0.8% | 2.1% | -3.1% | 0.8% | 0.5% | 0.9% | 4.7% | 3.8% | 11.4% |
| 2005 | -2.3% | 3.2% | -1.9% | -2.2% | 1.8% | 0.2% | 3.6% | -0.9% | 2.5% | -2.4% | 0.3% | 2.2% | 3.6% |
| 2006 | 4.5% | -0.2% | 2.2% | 3% | -3.4% | -0.2% | 0.5% | 1.5% | 1.1% | 3.5% | 2% | 2% | 17.6% |
| 2007 | 1.2% | -0.5% | 1.8% | 4.4% | 2.8% | -1.9% | -1.7% | 1.3% | 4.6% | 2.8% | -4.1% | -0.4% | 10.4% |
| 2008 | 2.3% | -0.2% | 0.1% | 0.3% | -1.3% | -7.9% | -1.4% | 0.7% | -1.8% | -2.3% | 3% | 6.7% | -2.1% |
| 2009 | -2% | -1.1% | 1.1% | 0.5% | 5.6% | -0.1% | 8.6% | 4.1% | 4.2% | -4.1% | 4.1% | 1.1% | 23.6% |
| 2010 | -3.6% | 3.1% | 6.1% | 1.6% | -8% | 0.9% | 0.9% | -3.5% | 0.5% | 3.5% | -2.2% | 7.4% | 5.8% |
| 2011 | 1.8% | 4% | -1% | 2.4% | -1.1% | -1.7% | -2% | 2.7% | 0.8% | 0.1% | 2.6% | 1.3% | 10.1% |
| 2012 | 2.7% | 4.3% | 3.2% | -0.7% | -8.9% | 5.7% | 1.2% | 2.5% | 2.5% | -1.9% | 1.3% | 3.1% | 15.4% |
| 2013 | 4.7% | 0.6% | 2.1% | 2.4% | 2.4% | -1.3% | 4.6% | -3% | 3.2% | 5.7% | 3.1% | 2.8% | 30.4% |
| 2014 | -3% | 4.6% | 0.8% | 0.7% | 2.3% | 2.1% | -1.3% | 4% | -1.4% | 2.4% | 2.8% | -0.3% | 14.1% |
| 2015 | -3% | 5.6% | -1.6% | 1.7% | 0.4% | -2.7% | 2.8% | -6.1% | -1.7% | 0.1% | 0% | -1.7% | -6.5% |
| 2016 | -5% | 0.3% | 0.9% | 0.9% | 1.7% | 0.4% | 3.7% | 0.1% | 0% | -1.9% | 3.6% | 2% | 6.5% |
| 2017 | 1.8% | 3.9% | 0.1% | 1% | 1.4% | 0.6% | 2.4% | 0.1% | 2.1% | 2.1% | 3.1% | 1.2% | 21.8% |
| 2018 | 5.6% | -3.6% | -2.7% | 0.5% | 0.5% | -0.2% | 3.7% | 3.2% | 0.6% | -6.9% | 1% | 2% | 3% |
| 2019 | 0.9% | 3.1% | 1.8% | 4.1% | -6.4% | 1% | 0.4% | -1.7% | 2% | 2.2% | 3.6% | 2.9% | 14.3% |
| 2020 | -0% | -7.9% | -0.1% | 1.7% | 0.7% | 0.7% | 5.4% | 7% | -3.7% | -2.5% | 10.9% | 4% | 15.6% |
| 2021 | -0.8% | 2.5% | 3.7% | 5.3% | 0.7% | 2.2% | 2.4% | 3% | -4.7% | 7% | -0.8% | 4.6% | 27.6% |
| 2022 | -5.3% | -1% | -2.8% | -9.6% | 1.1% | -1.6% | 2.5% | -3.3% | -4.3% | -1.3% | 3.8% | -5% | -24.2% |
| 2023 | 7.1% | -2.6% | 3% | 1.6% | -1% | 6.8% | 3.3% | -1.6% | -4.7% | -2.2% | 4.6% | 4.7% | 19.7% |
| 2024 | 1% | 5.2% | 3.8% | -4% | 4.5% | 3.5% | 1.2% | 2.3% | 1.8% | -2% | 6.1% | -0.2% | 25.1% |
| Pos | 72.2% | 68.5% | 72.2% | 75.9% | 68.5% | 64.8% | 74.5% | 65.5% | 67.3% | 61.8% | 76.4% | 78.2% | 81.8% |
| Avg | 1.3% | 1.3% | 1.1% | 1.2% | 0.7% | 0.8% | 1.4% | 0.4% | 0.3% | 0.3% | 1.5% | 1.7% | 12.7% |
Other Return Metrics
| Metric | αc International Equities III | MSCI World |
|---|---|---|
| Cumulative Return | 46175.44% | 14756.01% |
| Enh Ann Return | 12.83% | 11.4% |
| Best Year | 44.14% | 41.89% |
| Worst Year | -24.24% | -40.71% |
| Best Month | 11.13% | 14.58% |
| Worst Month | -15.02% | -18.96% |
| Best Day | 163.42% | 9.1% |
| Worst Day | -40.81% | -11.38% |
| Win Ratio (Yearly) | 81.82% | 76.36% |
| Win Ratio (Quarterly) | 71.56% | 72.02% |
| Win Ratio (Monthly) | 70.49% | 62.69% |
| Win Ratio (Daily) | 62.57% | 59.46% |
Annual Volatility
| Annual Volatility 1y | Annual Volatility 3y | Annual Volatility 5y | Annual Volatility 10y | Annual Volatility 20y | Annual Volatility | |
|---|---|---|---|---|---|---|
| αc International Equities III | 172.93 | 100.37 | 78.27 | 55.94 | 40.32 | 25.46 |
| MSCI World | 11.93 | 16.8 | 20.38 | 17.28 | 13.99 | 8.96 |
Sharpe Ratio
| Sharpe Ratio 1y | Sharpe Ratio 3y | Sharpe Ratio 5y | Sharpe Ratio 10y | Sharpe Ratio 20y | Sharpe Ratio | |
|---|---|---|---|---|---|---|
| αc International Equities III | 0.65 | 0.35 | 0.37 | 0.32 | 0.38 | 0.53 |
| MSCI World | 1.69 | 0.54 | 0.64 | 0.64 | 0.63 | 1.07 |
3-Year Rolling Sharpe Ratio
The rolling Sharpe Ratio gives a clue about the continued consistency or stability of the risk-adjusted returns.
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 International Equities III
| Start | Valley | End | Days | Drawdown |
|---|---|---|---|---|
| 2024-07-17 | 2024-09-09 | 2024-09-19 | 64 | -63.22% |
| 2022-01-04 | 2022-12-28 | 2024-05-15 | 862 | -25.63% |
| 2007-11-01 | 2008-10-10 | 2009-07-13 | 620 | -21.64% |
| 1980-12-01 | 1981-12-29 | 1982-09-03 | 641 | -21.07% |
| 2015-05-20 | 2016-01-20 | 2017-03-01 | 651 | -19.57% |
The αc International Equities III took approximately 19 months on average to recover from a major drawdown. The longest drawdown lasted 29 months.
MSCI World
| Start | Valley | End | Days | Drawdown |
|---|---|---|---|---|
| 2007-11-01 | 2009-02-27 | 2013-04-11 | 1988 | -54.03% |
| 2000-04-03 | 2002-09-30 | 2006-01-31 | 2129 | -46.8% |
| 1973-04-02 | 1974-09-30 | 1978-05-08 | 1862 | -41.07% |
| 2020-02-13 | 2020-03-23 | 2020-08-24 | 193 | -34.01% |
| 2022-01-05 | 2022-10-12 | 2023-12-19 | 713 | -26.05% |
The MSCI World took approximately 46 months on average to recover from a major drawdown. The longest drawdown lasted 71 months.
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.
Other Risk Metrics
| Metric | αc International Equities III | MSCI World |
|---|---|---|
| Sharpe Ratio | 0.53 | 1.07 |
| Sortino Ratio | 1.3 | 1.51 |
| Adjusted Sortino (S/√2) | 0.92 | 1.07 |
| Calmar Ratio | 0.19 | 0.18 |
| Omega Ratio | 1.31 | 1.3 |
| Gain to Pain Ratio | 0.31 | 0.3 |
| Ulcer Index | 0.07 | 0.14 |
| Kelly Criterion | 14.85% | 13.85% |
| Skew | 74.87 | -0.98 |
| Kurtosis | 7887.97 | 47.36 |
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