Volatility less than 10%

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• Compared with the benchmark SPY (73.6%) in the period of the last 5 years, the total return, or increase in value of 81.2% of Volatility less than 10% is greater, thus better.
• Looking at total return, or increase in value in of 51.3% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (67.4%).

CAGR:

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

• Compared with the benchmark SPY (11.7%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 12.7% of Volatility less than 10% is greater, thus better.
• Looking at annual performance (CAGR) in of 14.9% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (18.9%).

Volatility:

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

• Compared with the benchmark SPY (17%) in the period of the last 5 years, the 30 days standard deviation of 10.3% of Volatility less than 10% is lower, thus better.
• Looking at 30 days standard deviation in of 10.4% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (15.1%).

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• Compared with the benchmark SPY (11.8%) in the period of the last 5 years, the downside deviation of 7.4% of Volatility less than 10% is lower, thus better.
• Looking at downside volatility in of 7.5% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (10.2%).

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• The Sharpe Ratio over 5 years of Volatility less than 10% is 0.98, which is higher, thus better compared to the benchmark SPY (0.54) in the same period.
• Compared with SPY (1.08) in the period of the last 3 years, the Sharpe Ratio of 1.19 is greater, thus better.

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

• Compared with the benchmark SPY (0.78) in the period of the last 5 years, the ratio of annual return and downside deviation of 1.37 of Volatility less than 10% is higher, thus better.
• Compared with SPY (1.61) in the period of the last 3 years, the downside risk / excess return profile of 1.66 is larger, thus better.

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• Looking at the Ulcer Index of 2.86 in the last 5 years of Volatility less than 10%, we see it is relatively lower, thus better in comparison to the benchmark SPY (8.45 )
• Compared with SPY (3.5 ) in the period of the last 3 years, the Downside risk index of 2.33 is lower, thus better.

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum drop from peak to valley of -10.6 days of Volatility less than 10% is larger, thus better.
• Compared with SPY (-18.8 days) in the period of the last 3 years, the maximum reduction from previous high of -9.9 days is higher, thus better.

MaxDuration:

'The Maximum Drawdown Duration is an extension of the Maximum Drawdown. However, this metric does not explain the drawdown in dollars or percentages, rather in days, weeks, or months. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• The maximum days under water over 5 years of Volatility less than 10% is 243 days, which is smaller, thus better compared to the benchmark SPY (488 days) in the same period.
• Compared with SPY (87 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 95 days is larger, thus worse.

AveDuration:

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. The Avg Drawdown Duration is the average amount of time an investment has seen between peaks (equity highs), or in other terms the average of time under water of all drawdowns. So in contrast to the Maximum duration it does not measure only one drawdown event but calculates the average of all.'

• The average days below previous high over 5 years of Volatility less than 10% is 44 days, which is lower, thus better compared to the benchmark SPY (119 days) in the same period.
• During the last 3 years, the average days under water is 23 days, which is greater, thus worse than the value of 20 days from the benchmark.