Volatility 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.'

• The total return, or increase in value over 5 years of Volatility less than 15% is 146.6%, which is greater, thus better compared to the benchmark SPY (61.9%) in the same period.
• Looking at total return, or increase in value in of 96% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (79.4%).

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

• Compared with the benchmark SPY (10.1%) in the period of the last 5 years, the annual return (CAGR) of 19.8% of Volatility less than 15% is higher, thus better.
• Looking at annual performance (CAGR) in of 25.1% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (21.5%).

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 Volatility less than 15% is 15.3%, which is lower, thus better compared to the benchmark SPY (21.5%) in the same period.
• Looking at volatility in of 16.2% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (21.2%).

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.'

• Looking at the downside volatility of 10.8% in the last 5 years of Volatility less than 15%, we see it is relatively lower, thus better in comparison to the benchmark SPY (15.5%)
• Looking at downside volatility in of 11% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (14.1%).

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.'

• The ratio of return and volatility (Sharpe) over 5 years of Volatility less than 15% is 1.13, which is greater, thus better compared to the benchmark SPY (0.36) in the same period.
• Looking at ratio of return and volatility (Sharpe) in of 1.4 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (0.9).

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.'

• The excess return divided by the downside deviation over 5 years of Volatility less than 15% is 1.6, which is higher, thus better compared to the benchmark SPY (0.49) in the same period.
• Looking at ratio of annual return and downside deviation in of 2.05 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (1.35).

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.'

• Compared with the benchmark SPY (9.15 ) in the period of the last 5 years, the Ulcer Ratio of 5.48 of Volatility less than 15% is lower, thus better.
• Compared with SPY (9.78 ) in the period of the last 3 years, the Downside risk index of 6.12 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 (-33.7 days) in the period of the last 5 years, the maximum reduction from previous high of -21.3 days of Volatility less than 15% is greater, thus better.
• During the last 3 years, the maximum DrawDown is -19 days, which is larger, thus better than the value of -24.5 days from the benchmark.

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) in days.'

• Compared with the benchmark SPY (305 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 231 days of Volatility less than 15% is smaller, thus better.
• During the last 3 years, the maximum days under water is 231 days, which is lower, thus better than the value of 305 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 Volatility less than 15% is 45 days, which is lower, thus better compared to the benchmark SPY (65 days) in the same period.
• Looking at average time in days below previous high water mark in of 58 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (80 days).