Volatility less than 10%

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.'

• Compared with the benchmark SPY (67.8%) in the period of the last 5 years, the total return, or increase in value of 128.8% of Volatility less than 10% is larger, thus better.
• Compared with SPY (47.2%) in the period of the last 3 years, the total return, or performance of 52.3% is higher, thus better.

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 (10.9%) in the period of the last 5 years, the annual return (CAGR) of 18% of Volatility less than 10% is larger, thus better.
• Looking at annual return (CAGR) in of 15.1% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (13.8%).

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• The volatility over 5 years of Volatility less than 10% is 8.1%, which is lower, thus better compared to the benchmark SPY (13.4%) in the same period.
• Looking at historical 30 days volatility in of 7.6% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (12.3%).

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 (14.7%) in the period of the last 5 years, the downside deviation of 9% of Volatility less than 10% is lower, thus better.
• Compared with SPY (13.9%) in the period of the last 3 years, the downside risk of 8.7% is lower, thus better.

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

• The ratio of return and volatility (Sharpe) over 5 years of Volatility less than 10% is 1.92, which is greater, thus better compared to the benchmark SPY (0.63) in the same period.
• Looking at ratio of return and volatility (Sharpe) in of 1.65 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (0.92).

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 (0.57) in the period of the last 5 years, the excess return divided by the downside deviation of 1.72 of Volatility less than 10% is greater, thus better.
• Compared with SPY (0.81) in the period of the last 3 years, the downside risk / excess return profile of 1.45 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.'

• The Ulcer Index over 5 years of Volatility less than 10% is 1.63 , which is smaller, thus better compared to the benchmark SPY (3.99 ) in the same period.
• Looking at Downside risk index in of 1.68 in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (4.04 ).

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

• The maximum DrawDown over 5 years of Volatility less than 10% is -6.4 days, which is greater, thus better compared to the benchmark SPY (-19.3 days) in the same period.
• Compared with SPY (-19.3 days) in the period of the last 3 years, the maximum drop from peak to valley of -6.3 days is higher, thus better.

MaxDuration:

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. The Max Drawdown Duration is the worst (the maximum/longest) amount of time an investment has seen between peaks (equity highs). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• Looking at the maximum days below previous high of 102 days in the last 5 years of Volatility less than 10%, we see it is relatively lower, thus better in comparison to the benchmark SPY (187 days)
• During the last 3 years, the maximum days below previous high is 102 days, which is lower, thus better than the value of 139 days from the benchmark.

AveDuration:

'The Average 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. 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.'

• Compared with the benchmark SPY (41 days) in the period of the last 5 years, the average days below previous high of 19 days of Volatility less than 10% is lower, thus better.
• Compared with SPY (36 days) in the period of the last 3 years, the average time in days below previous high water mark of 22 days is lower, thus better.