Volatility less than 15%

TotalReturn:

'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

• Compared with the benchmark SPY (70.2%) in the period of the last 5 years, the total return of 176.1% of Volatility less than 15% is greater, thus better.
• Looking at total return, or performance in of 98.2% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (35.2%).

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

• Looking at the compounded annual growth rate (CAGR) of 22.6% in the last 5 years of Volatility less than 15%, we see it is relatively higher, thus better in comparison to the benchmark SPY (11.2%)
• Looking at annual return (CAGR) in of 25.6% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (10.6%).

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

• The volatility over 5 years of Volatility less than 15% is 14.6%, which is lower, thus better compared to the benchmark SPY (20.3%) in the same period.
• Compared with SPY (23.6%) in the period of the last 3 years, the volatility of 16.3% 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.'

• The downside risk over 5 years of Volatility less than 15% is 10.5%, which is smaller, thus better compared to the benchmark SPY (14.9%) in the same period.
• Looking at downside risk in of 11.6% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (17.4%).

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 Sharpe Ratio over 5 years of Volatility less than 15% is 1.37, which is greater, thus better compared to the benchmark SPY (0.43) in the same period.
• Looking at Sharpe Ratio in of 1.42 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (0.34).

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.'

• Looking at the excess return divided by the downside deviation of 1.92 in the last 5 years of Volatility less than 15%, we see it is relatively larger, thus better in comparison to the benchmark SPY (0.59)
• Compared with SPY (0.46) in the period of the last 3 years, the ratio of annual return and downside deviation of 1.99 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 4.15 in the last 5 years of Volatility less than 15%, we see it is relatively smaller, thus better in comparison to the benchmark SPY (6.69 )
• Compared with SPY (7.65 ) in the period of the last 3 years, the Ulcer Ratio of 4.32 is lower, thus better.

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 15% is -21.3 days, which is higher, thus better compared to the benchmark SPY (-33.7 days) in the same period.
• During the last 3 years, the maximum reduction from previous high is -21.3 days, which is larger, thus better than the value of -33.7 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.'

• Looking at the maximum time in days below previous high water mark of 123 days in the last 5 years of Volatility less than 15%, we see it is relatively smaller, thus better in comparison to the benchmark SPY (139 days)
• Compared with SPY (123 days) in the period of the last 3 years, the maximum days below previous high of 94 days is lower, thus better.

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.'

• Looking at the average time in days below previous high water mark of 29 days in the last 5 years of Volatility less than 15%, we see it is relatively smaller, thus better in comparison to the benchmark SPY (38 days)
• Looking at average time in days below previous high water mark in of 23 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (32 days).