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.'

• Compared with the benchmark SPY (95.4%) in the period of the last 5 years, the total return, or performance of 128.1% of Volatility less than 15% is larger, thus better.
• Compared with SPY (46.9%) in the period of the last 3 years, the total return, or performance of 41.4% is lower, thus worse.

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.'

• The annual performance (CAGR) over 5 years of Volatility less than 15% is 18%, which is greater, thus better compared to the benchmark SPY (14.4%) in the same period.
• Compared with SPY (13.7%) in the period of the last 3 years, the annual performance (CAGR) of 12.3% is lower, thus worse.

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 15.6%, which is lower, thus better compared to the benchmark SPY (21%) in the same period.
• Looking at 30 days standard deviation in of 13.5% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (17.2%).

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.'

• Compared with the benchmark SPY (15%) in the period of the last 5 years, the downside risk of 11% of Volatility less than 15% is lower, thus better.
• Compared with SPY (11.9%) in the period of the last 3 years, the downside risk of 9.4% is smaller, 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.'

• Compared with the benchmark SPY (0.57) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.99 of Volatility less than 15% is larger, thus better.
• During the last 3 years, the Sharpe Ratio is 0.73, which is larger, thus better than the value of 0.66 from the benchmark.

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

• The excess return divided by the downside deviation over 5 years of Volatility less than 15% is 1.41, which is greater, thus better compared to the benchmark SPY (0.79) in the same period.
• Compared with SPY (0.94) in the period of the last 3 years, the ratio of annual return and downside deviation of 1.04 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 Ratio of 5.57 in the last 5 years of Volatility less than 15%, we see it is relatively lower, thus better in comparison to the benchmark SPY (9.29 )
• Compared with SPY (8.57 ) in the period of the last 3 years, the Ulcer Ratio of 6.09 is smaller, thus better.

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

• Looking at the maximum reduction from previous high of -21 days in the last 5 years of Volatility less than 15%, we see it is relatively greater, thus better in comparison to the benchmark SPY (-33.4 days)
• Compared with SPY (-22.1 days) in the period of the last 3 years, the maximum DrawDown of -19 days is larger, 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'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 281 days of Volatility less than 15% is lower, thus better.
• Looking at maximum time in days below previous high water mark in of 281 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (325 days).

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 days under water of 55 days in the last 5 years of Volatility less than 15%, we see it is relatively lower, thus better in comparison to the benchmark SPY (121 days)
• Compared with SPY (90 days) in the period of the last 3 years, the average time in days below previous high water mark of 72 days is lower, thus better.