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 February 1977.
Final balance: The amount of capital we've accrued over time as of January 2025.
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 48 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 Funds of Funds XII
8.71
-2.25
5.89
7
12.37
14.62
S&P 500 (US Large Cap)
23.77
9.42
13.86
13.15
10.3
10.92
Annual Returns
Year
αc Funds of Funds XII
S&P 500 (US Large Cap)
Won
1977
4.74%
-5.64%
1978
7.47%
7.69%
1979
16.59%
18.3%
1980
25.36%
31.11%
1981
-0.51%
-8.55%
1982
36.6%
19.25%
1983
11.22%
17.07%
1984
6.42%
3.67%
1985
32.69%
22.6%
1986
17.06%
9.3%
1987
8.54%
4.69%
1988
19.72%
16.27%
1989
31.76%
31.4%
1990
0.87%
-3.35%
1991
33.87%
30.2%
1992
7.2%
8.21%
1993
30.31%
8.81%
1994
-0.94%
0.4%
1995
21.55%
38.05%
1996
11.87%
22.5%
1997
18.54%
33.47%
1998
25.46%
28.69%
1999
32.09%
20.39%
2000
8.22%
-9.74%
2001
0.66%
-11.76%
2002
5.24%
-21.58%
2003
41.89%
28.18%
2004
21.17%
10.7%
2005
19.64%
4.83%
2006
22.37%
15.85%
2007
24.15%
5.15%
2008
13.61%
-36.8%
2009
24.8%
26.35%
2010
7.68%
15.06%
2011
20.64%
1.89%
2012
18.15%
15.99%
2013
15.18%
32.31%
2014
9.65%
13.46%
2015
-3.03%
1.23%
2016
12.62%
12%
2017
17.91%
21.71%
2018
1.87%
-4.57%
2019
13.77%
31.22%
2020
36.13%
18.33%
2021
9.47%
28.73%
2022
-26.06%
-18.18%
2023
13.48%
26.18%
2024
9.26%
24.89%
2025
-1.03%
-0.66%
αc Funds of Funds XII had 44 positive years and 5 negative years. That's a positive ratio of 90%.
S&P 500 (US Large Cap) had 39 positive years and 10 negative years. That's a positive ratio of 80%.
αc Funds of Funds XII had a better yearly return 55% of the time compared to S&P 500 (US Large Cap).
Monthly Returns
Jan
Feb
Mar
Apr
May
Jun
Jul
Aug
Sep
Oct
Nov
Dec
YTD
1977
-
-0.4%
0.6%
0.8%
0.4%
1.7%
-0.6%
1.6%
0.7%
-0.6%
0.2%
0.3%
4.7%
1978
-0.8%
0.2%
0.5%
0.9%
4.2%
0.3%
3.9%
3%
-0%
-5.4%
-2%
3%
7.5%
1979
1.5%
-0.7%
2%
0.8%
1.2%
2.1%
1.9%
3.8%
1.7%
-5.4%
3.3%
3.5%
16.6%
1980
4.1%
-0.8%
-10.6%
7.9%
4.3%
7.6%
4.2%
2.1%
2.5%
0.5%
6%
-3.5%
25.4%
1981
-2.4%
-1.8%
3.8%
-2.8%
4.2%
-2.1%
-2.1%
-4%
-1.8%
4%
8.9%
-3.4%
-0.5%
1982
0.7%
0.5%
2.2%
3.2%
0.2%
-2.5%
2.5%
6.9%
3.6%
9.7%
3%
2.1%
36.6%
1983
1.6%
3.5%
0.9%
4.3%
-0.3%
2.8%
-2.3%
-0.2%
1.6%
-2%
2%
-0.9%
11.2%
1984
0.9%
-0.6%
-0.4%
-0.6%
-3.5%
1%
2.9%
2.3%
1.1%
1%
0.7%
1.6%
6.4%
1985
4.2%
1.1%
0.6%
1.3%
4.8%
1.5%
2.1%
2.1%
1.1%
4%
3.6%
2.5%
32.7%
1986
0.8%
5%
6.5%
1.8%
0.4%
2.1%
-3%
5.2%
-4.8%
1.6%
2.8%
-2.1%
17.1%
1987
2%
3%
2.5%
1.7%
0.5%
1.9%
3.3%
3.7%
-1.5%
-10.4%
1.2%
1.3%
8.5%
1988
4.7%
3%
5.2%
0.9%
0.8%
2.2%
-1.9%
-3.1%
4.1%
0.5%
0.7%
1.4%
19.7%
1989
1.5%
-0.8%
3.9%
9.4%
1.4%
0.8%
3.3%
1.5%
5%
-0.2%
-0.2%
2.8%
31.8%
1990
1.2%
-0.4%
-3.6%
-0.7%
4.9%
2.8%
4.2%
-9.7%
-3.4%
1.5%
3.4%
1.6%
0.9%
1991
2.8%
8.7%
3.2%
0.7%
4.6%
-3.9%
3.3%
2.6%
0.7%
1.9%
-1.9%
7.4%
33.9%
1992
3.8%
2.5%
-0.1%
-1.3%
2%
-4.6%
1.7%
-0.1%
0.8%
-1.8%
1.8%
2.7%
7.2%
1993
1.3%
0.2%
2.3%
0.7%
2.4%
1.7%
2.1%
6.1%
0.4%
5.6%
0.2%
4%
30.3%
1994
2.9%
-1.9%
-3.2%
-0.5%
0.8%
-1.8%
3.7%
5.8%
-1.5%
-0.1%
-4.1%
-0.7%
-0.9%
1995
0.1%
3.1%
1.5%
2.1%
2.9%
1.7%
3.6%
0.2%
1.3%
0.5%
1.6%
1.1%
21.6%
1996
2.2%
-0.7%
0.7%
2.8%
1%
0%
-4.7%
-0.1%
4.7%
2%
4.7%
-0.8%
11.9%
1997
4.8%
0.1%
-3.7%
2.5%
5.5%
3.4%
7.1%
-3.8%
2.5%
-2.9%
1.9%
0.5%
18.5%
1998
1.6%
1.9%
3.2%
1.3%
-1.2%
3.1%
0.5%
-1.9%
4.4%
1.1%
4.6%
4.6%
25.5%
1999
4%
-4.4%
2.8%
7.5%
-2.8%
6.3%
-2.4%
0.1%
-0.5%
2.5%
5%
11.1%
32.1%
2000
-3.8%
5.6%
1.6%
-4.8%
-2%
3.5%
0.4%
5.1%
-2.3%
1.1%
1.5%
2.8%
8.2%
2001
0.8%
-1%
-1.1%
-2.3%
1.8%
-0.4%
2.5%
0.9%
-0.8%
1.4%
-3.6%
2.7%
0.7%
2002
0.7%
1%
-0.3%
-0.6%
0.7%
-1.4%
-0.9%
4.5%
4%
-3.1%
3.4%
-2.6%
5.2%
2003
3.5%
2.5%
-2.2%
1.9%
7%
1.3%
3.9%
4.3%
0.9%
6%
1.2%
5.7%
41.9%
2004
2%
3%
0.8%
-5.3%
0.5%
1.3%
-2%
3.1%
3.7%
2.4%
7.3%
3.3%
21.2%
2005
-1.2%
5.6%
-3.7%
1.8%
2.4%
2.3%
4.3%
0.5%
4%
-3.5%
2.9%
3.2%
19.6%
2006
6.8%
-1%
1.4%
5.1%
-5.9%
0.6%
1.9%
1.7%
1%
3.4%
3.5%
2.4%
22.4%
2007
0.6%
-0.8%
2.4%
3.6%
3.3%
1.2%
1%
0.8%
6.7%
8.1%
-4.8%
0.3%
24.2%
2008
-1.2%
1%
0%
-2.2%
0.4%
-6.3%
-2.4%
2.5%
1.1%
-0.7%
13%
9.1%
13.6%
2009
-8%
0.3%
4.3%
-4.5%
10.3%
-1.1%
8.2%
1.5%
6.8%
-2.1%
6%
2.2%
24.8%
2010
-4.4%
1.7%
5.3%
2.2%
-5.8%
0.8%
1.1%
-2.6%
3.9%
3%
-1.9%
4.8%
7.7%
2011
0.8%
3.8%
0.2%
2.8%
-1.8%
-1.9%
-0%
4%
8.6%
-0.5%
2.9%
0.6%
20.6%
2012
4.5%
2.5%
0.7%
-0.1%
2.8%
-0.2%
1%
1.4%
2%
-1.7%
1.2%
3%
18.2%
2013
1.9%
0%
1.9%
3.4%
1.9%
-3.6%
1.1%
-1.6%
2.1%
3.5%
2%
1.8%
15.2%
2014
-1.7%
1.8%
0.4%
0.5%
2.5%
2.5%
-0.5%
4%
-3.6%
1.8%
1.1%
0.8%
9.7%
2015
4.9%
-1.8%
-1.2%
-2.6%
-1.3%
-2.6%
3%
-2.3%
0.7%
1.5%
-0.2%
-1.1%
-3%
2016
2.8%
5.9%
-0.2%
2.2%
-1.3%
4.5%
2.8%
-0.8%
0.8%
-1.2%
-3.2%
0.1%
12.6%
2017
1.7%
2.4%
0.8%
1.4%
2.3%
-0.4%
3.3%
1.5%
-0.1%
1.6%
1%
1.1%
17.9%
2018
6.1%
-3.5%
1.2%
-1.7%
2.4%
0.1%
-0.2%
2%
-1.6%
-4.4%
1.1%
0.8%
1.9%
2019
0.9%
0.6%
1%
2.4%
-4.7%
3.5%
-0.9%
6.4%
-1.4%
0.6%
1.9%
3.3%
13.8%
2020
-1.1%
2.7%
3.9%
3.7%
5.8%
2.1%
7.1%
3.8%
-2.9%
-0.7%
3.1%
4.2%
36.1%
2021
1%
1%
1.5%
4.3%
1.2%
-0.4%
1.7%
0.6%
-4.1%
3.5%
-1.9%
0.9%
9.5%
2022
-5.7%
-0.5%
-3.4%
-6.7%
-1.7%
-1.8%
0.4%
-2.8%
-5.4%
-2.6%
4.3%
-3.4%
-26.1%
2023
6.4%
-3.6%
4%
1.7%
-0.3%
1.5%
3%
-2.3%
-5.3%
-3.1%
7%
4.6%
13.5%
2024
0.2%
9.7%
-5%
-4.2%
4%
0.4%
1.8%
1.8%
2.2%
-1.6%
3.1%
-2.7%
9.3%
2025
-1%
-
-
-
-
-
-
-
-
-
-
-
-1%
Pos
77.1%
64.6%
70.8%
66.7%
72.9%
66.7%
70.8%
70.8%
64.6%
56.3%
79.2%
79.2%
89.8%
Avg
1.3%
1.2%
0.7%
1%
1.3%
0.7%
1.6%
1.3%
0.9%
0.4%
2.1%
1.8%
15%
Other Return Metrics
Metric
αc Funds of Funds XII
S&P 500 (US Large Cap)
Cumulative Return
69698.45%
14367.39%
Enh Ann Return
15.32%
12.43%
Best Year
41.89%
38.05%
Worst Year
-26.06%
-36.8%
Best Month
12.95%
13.27%
Worst Month
-10.6%
-21.73%
Best Day
87.57%
14.52%
Worst Day
-47.02%
-20.46%
Win Ratio (Yearly)
89.8%
79.59%
Win Ratio (Quarterly)
75.65%
69.95%
Win Ratio (Monthly)
69.97%
63.54%
Win Ratio (Daily)
58.11%
54.18%
Annual Volatility
Annual Volatility 1y
Annual Volatility 3y
Annual Volatility 5y
Annual Volatility 10y
Annual Volatility 20y
Annual Volatility
αc Funds of Funds XII
101.26
59.35
46.8
33.64
25.21
17.08
S&P 500 (US Large Cap)
12.69
17.51
21.02
17.6
19.04
17.5
Sharpe Ratio
Sharpe Ratio 1y
Sharpe Ratio 3y
Sharpe Ratio 5y
Sharpe Ratio 10y
Sharpe Ratio 20y
Sharpe Ratio
αc Funds of Funds XII
0.51
0.21
0.32
0.35
0.57
0.88
S&P 500 (US Large Cap)
1.75
0.6
0.73
0.79
0.61
0.68
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 Funds of Funds XII
Start
Valley
End
Days
Drawdown
2021-11-19
2024-09-06
-
1152
-54.09%
2007-11-01
2008-07-23
2008-12-01
396
-15.56%
2020-03-10
2020-03-18
2020-04-14
35
-14.49%
1990-08-01
1990-10-11
1991-02-11
194
-13.88%
1980-02-14
1980-03-27
1980-06-04
111
-12.9%
The αc Funds of Funds XII took approximately 13 months on average to recover from a major drawdown. The longest drawdown lasted 38 months.
S&P 500 (US Large Cap)
Start
Valley
End
Days
Drawdown
2007-10-10
2009-03-09
2012-08-16
1772
-55.19%
2000-03-27
2002-10-09
2006-10-26
2404
-47.52%
2020-02-20
2020-03-23
2020-08-10
172
-33.72%
1987-08-26
1987-10-19
1989-05-19
632
-33.08%
1980-12-01
1982-08-12
1982-10-13
681
-25.2%
The S&P 500 (US Large Cap) took approximately 38 months on average to recover from a major drawdown. The longest drawdown lasted 80 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.