Volatility less than 7%

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.'

• The total return, or increase in value over 5 years of Volatility less than 7% is 63.4%, which is lower, thus worse compared to the benchmark SPY (141.1%) in the same period.
• Looking at total return in of 21.4% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (30.2%).

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 annual return (CAGR) over 5 years of Volatility less than 7% is 10.4%, which is smaller, thus worse compared to the benchmark SPY (19.3%) in the same period.
• During the last 3 years, the annual return (CAGR) is 6.7%, which is smaller, thus worse than the value of 9.3% 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 volatility over 5 years of Volatility less than 7% is 5.3%, which is smaller, thus better compared to the benchmark SPY (17.3%) in the same period.
• Compared with SPY (17%) in the period of the last 3 years, the historical 30 days volatility of 4.7% is lower, thus better.

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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 (12%) in the period of the last 5 years, the downside risk of 3.5% of Volatility less than 7% is lower, thus better.
• During the last 3 years, the downside volatility is 3.2%, which is lower, thus better than the value of 12% from the benchmark.

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 (0.97) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 1.49 of Volatility less than 7% is larger, thus better.
• During the last 3 years, the risk / return profile (Sharpe) is 0.89, which is greater, thus better than the value of 0.4 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.'

• Looking at the downside risk / excess return profile of 2.22 in the last 5 years of Volatility less than 7%, we see it is relatively higher, thus better in comparison to the benchmark SPY (1.4)
• Looking at downside risk / excess return profile in of 1.31 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (0.56).

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

• Looking at the Ulcer Ratio of 1.48 in the last 5 years of Volatility less than 7%, we see it is relatively smaller, thus better in comparison to the benchmark SPY (8.31 )
• During the last 3 years, the Downside risk index is 1.64 , which is smaller, thus better than the value of 8.15 from the benchmark.

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 -4.7 days in the last 5 years of Volatility less than 7%, we see it is relatively higher, thus better in comparison to the benchmark SPY (-24.5 days)
• Compared with SPY (-21.3 days) in the period of the last 3 years, the maximum drop from peak to valley of -4.7 days is greater, 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) in days.'

• The maximum days under water over 5 years of Volatility less than 7% is 300 days, which is lower, thus better compared to the benchmark SPY (488 days) in the same period.
• Looking at maximum days under water in of 196 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (318 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.'

• The average days under water over 5 years of Volatility less than 7% is 57 days, which is lower, thus better compared to the benchmark SPY (119 days) in the same period.
• During the last 3 years, the average days below previous high is 44 days, which is lower, thus better than the value of 86 days from the benchmark.