Max Drawdown 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.'

• Looking at the total return, or performance of 222.8% in the last 5 years of Max Drawdown less than 15%, we see it is relatively higher, thus better in comparison to the benchmark SPY (63%)
• During the last 3 years, the total return, or performance is 92.9%, which is larger, thus better than the value of 39.8% from the benchmark.

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.'

• Looking at the annual performance (CAGR) of 26.4% in the last 5 years of Max Drawdown less than 15%, we see it is relatively greater, thus better in comparison to the benchmark SPY (10.3%)
• During the last 3 years, the annual return (CAGR) is 24.5%, which is larger, thus better than the value of 11.8% 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.'

• Compared with the benchmark SPY (13.6%) in the period of the last 5 years, the 30 days standard deviation of 13.9% of Max Drawdown less than 15% is larger, thus worse.
• Looking at historical 30 days volatility in of 13.7% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (12.7%).

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• Looking at the downside deviation of 15.6% in the last 5 years of Max Drawdown less than 15%, we see it is relatively larger, thus worse in comparison to the benchmark SPY (14.9%)
• Compared with SPY (14.4%) in the period of the last 3 years, the downside risk of 15.4% is greater, thus worse.

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.'

• Looking at the ratio of return and volatility (Sharpe) of 1.72 in the last 5 years of Max Drawdown less than 15%, we see it is relatively higher, thus better in comparison to the benchmark SPY (0.57)
• Looking at Sharpe Ratio in of 1.61 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (0.73).

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.'

• The excess return divided by the downside deviation over 5 years of Max Drawdown less than 15% is 1.54, which is higher, thus better compared to the benchmark SPY (0.52) in the same period.
• During the last 3 years, the excess return divided by the downside deviation is 1.43, which is larger, thus better than the value of 0.65 from the benchmark.

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.'

• The Ulcer Index over 5 years of Max Drawdown less than 15% is 3.12 , which is smaller, thus better compared to the benchmark SPY (4.01 ) in the same period.
• Compared with SPY (4.08 ) in the period of the last 3 years, the Ulcer Ratio of 3.17 is lower, 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 DrawDown of -11.5 days in the last 5 years of Max Drawdown less than 15%, we see it is relatively higher, thus better in comparison to the benchmark SPY (-19.3 days)
• Compared with SPY (-19.3 days) in the period of the last 3 years, the maximum reduction from previous high of -10.5 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.'

• Compared with the benchmark SPY (187 days) in the period of the last 5 years, the maximum days below previous high of 158 days of Max Drawdown less than 15% is lower, thus better.
• Looking at maximum time in days below previous high water mark in of 158 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (139 days).

AveDuration:

'The Average Drawdown Duration is an extension of the Maximum Drawdown. However, this metric does not explain the drawdown in dollars or percentages, rather in days, weeks, or months. 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 Max Drawdown less than 15% is 25 days, which is lower, thus better compared to the benchmark SPY (41 days) in the same period.
• Looking at average time in days below previous high water mark in of 30 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (36 days).