Max Drawdown less than 10%

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• Compared with the benchmark SPY (67.9%) in the period of the last 5 years, the total return of 85.2% of Max Drawdown less than 10% is larger, thus better.
• Compared with SPY (38.6%) in the period of the last 3 years, the total return, or increase in value of 36.7% 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.'

• Looking at the annual return (CAGR) of 13.1% in the last 5 years of Max Drawdown less than 10%, we see it is relatively greater, thus better in comparison to the benchmark SPY (10.9%)
• Looking at annual return (CAGR) in of 11% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (11.5%).

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.'

• Compared with the benchmark SPY (18.7%) in the period of the last 5 years, the volatility of 8.8% of Max Drawdown less than 10% is lower, thus better.
• During the last 3 years, the 30 days standard deviation is 8.7%, which is lower, thus better than the value of 21.5% from the benchmark.

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 (13.6%) in the period of the last 5 years, the downside deviation of 6.1% of Max Drawdown less than 10% is smaller, thus better.
• During the last 3 years, the downside risk is 6.3%, which is lower, thus better than the value of 15.7% from the benchmark.

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• Looking at the Sharpe Ratio of 1.21 in the last 5 years of Max Drawdown less than 10%, we see it is relatively greater, thus better in comparison to the benchmark SPY (0.45)
• Looking at ratio of return and volatility (Sharpe) in of 0.97 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (0.42).

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 (0.62) in the period of the last 5 years, the ratio of annual return and downside deviation of 1.75 of Max Drawdown less than 10% is larger, thus better.
• Looking at excess return divided by the downside deviation in of 1.34 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (0.57).

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 Ratio over 5 years of Max Drawdown less than 10% is 2.8 , which is lower, thus better compared to the benchmark SPY (5.82 ) in the same period.
• Compared with SPY (6.87 ) in the period of the last 3 years, the Ulcer Ratio of 2.71 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 drop from peak to valley of -13.8 days of Max Drawdown less than 10% is greater, thus better.
• Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum reduction from previous high of -13.8 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'

• The maximum time in days below previous high water mark over 5 years of Max Drawdown less than 10% is 231 days, which is larger, thus worse compared to the benchmark SPY (187 days) in the same period.
• Looking at maximum days under water in of 231 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (139 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 below previous high of 48 days in the last 5 years of Max Drawdown less than 10%, we see it is relatively greater, thus worse in comparison to the benchmark SPY (43 days)
• During the last 3 years, the average time in days below previous high water mark is 52 days, which is larger, thus worse than the value of 39 days from the benchmark.