Max Drawdown less than 15%

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

• Looking at the total return of 78.4% in the last 5 years of Max Drawdown less than 15%, we see it is relatively lower, thus worse in comparison to the benchmark SPY (100.7%)
• Compared with SPY (33.2%) in the period of the last 3 years, the total return, or increase in value of 28% is lower, thus worse.

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.'

• The compounded annual growth rate (CAGR) over 5 years of Max Drawdown less than 15% is 12.3%, which is smaller, thus worse compared to the benchmark SPY (15%) in the same period.
• During the last 3 years, the compounded annual growth rate (CAGR) is 8.6%, which is lower, thus worse than the value of 10% from the benchmark.

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.'

• The historical 30 days volatility over 5 years of Max Drawdown less than 15% is 7.7%, which is lower, thus better compared to the benchmark SPY (20.9%) in the same period.
• Compared with SPY (17.3%) in the period of the last 3 years, the historical 30 days volatility of 6.3% is lower, thus better.

DownVol:

'Risk measures typically quantify the downside risk, whereas the standard deviation (an example of a deviation risk measure) measures both the upside and downside risk. Specifically, downside risk in our definition is the semi-deviation, that is the standard deviation of all negative returns.'

• Compared with the benchmark SPY (15%) in the period of the last 5 years, the downside deviation of 5.5% of Max Drawdown less than 15% is lower, thus better.
• Looking at downside deviation in of 4.4% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (12%).

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

• Looking at the ratio of return and volatility (Sharpe) of 1.27 in the last 5 years of Max Drawdown less than 15%, we see it is relatively greater, thus better in comparison to the benchmark SPY (0.6)
• Looking at risk / return profile (Sharpe) in of 0.96 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (0.44).

Sortino:

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

• Compared with the benchmark SPY (0.83) in the period of the last 5 years, the ratio of annual return and downside deviation of 1.78 of Max Drawdown less than 15% is higher, thus better.
• Compared with SPY (0.62) in the period of the last 3 years, the ratio of annual return and downside deviation of 1.39 is larger, thus better.

Ulcer:

'The Ulcer Index is a technical indicator that measures downside risk, in terms of both the depth and duration of price declines. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. The indicator is usually calculated over a 14-day period, with the Ulcer Index showing the percentage drawdown a trader can expect from the high over that period. The greater the value of the Ulcer Index, the longer it takes for a stock to get back to the former high.'

• Looking at the Ulcer Index of 2.45 in the last 5 years of Max Drawdown less than 15%, we see it is relatively lower, thus better in comparison to the benchmark SPY (9.32 )
• Looking at Ulcer Ratio in of 2.52 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (10 ).

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.'

• Looking at the maximum reduction from previous high of -13.5 days in the last 5 years of Max Drawdown less than 15%, we see it is relatively higher, thus better in comparison to the benchmark SPY (-33.7 days)
• Looking at maximum drop from peak to valley in of -8.1 days in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (-24.5 days).

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.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days under water of 196 days of Max Drawdown less than 15% is lower, thus better.
• During the last 3 years, the maximum time in days below previous high water mark is 196 days, which is lower, thus better than the value of 488 days from the benchmark.

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 Max Drawdown less than 15% is 34 days, which is lower, thus better compared to the benchmark SPY (123 days) in the same period.
• Compared with SPY (180 days) in the period of the last 3 years, the average time in days below previous high water mark of 42 days is lower, thus better.