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.'

• The total return, or increase in value over 5 years of Max Drawdown less than 15% is 206%, which is larger, thus better compared to the benchmark SPY (67.1%) in the same period.
• Compared with SPY (51.3%) in the period of the last 3 years, the total return of 81.8% is higher, thus better.

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 Max Drawdown less than 15% is 25.1%, which is higher, thus better compared to the benchmark SPY (10.8%) in the same period.
• Looking at compounded annual growth rate (CAGR) in of 22.1% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (14.8%).

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• Compared with the benchmark SPY (13.5%) in the period of the last 5 years, the historical 30 days volatility of 13.9% of Max Drawdown less than 15% is larger, thus worse.
• Compared with SPY (12.8%) in the period of the last 3 years, the 30 days standard deviation of 12.7% is lower, thus better.

DownVol:

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

• The downside volatility over 5 years of Max Drawdown less than 15% is 15.6%, which is larger, thus worse compared to the benchmark SPY (14.8%) in the same period.
• Looking at downside deviation in of 15.1% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (14.7%).

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.'

• The Sharpe Ratio over 5 years of Max Drawdown less than 15% is 1.63, which is larger, thus better compared to the benchmark SPY (0.62) in the same period.
• During the last 3 years, the ratio of return and volatility (Sharpe) is 1.54, which is higher, thus better than the value of 0.96 from the benchmark.

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 (0.56) in the period of the last 5 years, the ratio of annual return and downside deviation of 1.45 of Max Drawdown less than 15% is higher, thus better.
• Compared with SPY (0.84) in the period of the last 3 years, the ratio of annual return and downside deviation of 1.3 is higher, 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.'

• Compared with the benchmark SPY (3.99 ) in the period of the last 5 years, the Downside risk index of 3.25 of Max Drawdown less than 15% is lower, thus better.
• During the last 3 years, the Downside risk index is 3.37 , which is smaller, thus better than the value of 4.1 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 DrawDown of -11.5 days 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 (-19.3 days)
• Looking at maximum DrawDown in of -10.5 days in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (-19.3 days).

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 days under water over 5 years of Max Drawdown less than 15% is 158 days, which is lower, thus better compared to the benchmark SPY (187 days) in the same period.
• During the last 3 years, the maximum days under water is 158 days, which is greater, thus worse than the value of 139 days from the benchmark.

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 time in days below previous high water mark over 5 years of Max Drawdown less than 15% is 26 days, which is lower, thus better compared to the benchmark SPY (42 days) in the same period.
• Compared with SPY (36 days) in the period of the last 3 years, the average days below previous high of 34 days is smaller, thus better.