Volatility 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 (80.2%) in the period of the last 5 years, the total return, or performance of 80.2% of Volatility less than 10% is higher, thus better.
• Compared with SPY (73.2%) in the period of the last 3 years, the total return, or performance of 50.7% is lower, thus worse.

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.'

• Compared with the benchmark SPY (12.5%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 12.5% of Volatility less than 10% is greater, thus better.
• Looking at annual performance (CAGR) in of 14.8% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (20.2%).

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.'

• Looking at the 30 days standard deviation of 10.3% in the last 5 years of Volatility less than 10%, we see it is relatively lower, thus better in comparison to the benchmark SPY (17%)
• Looking at 30 days standard deviation in of 10.3% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (15%).

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 (11.7%) in the period of the last 5 years, the downside risk of 7.4% of Volatility less than 10% is smaller, thus better.
• Looking at downside deviation in of 7.5% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (10.1%).

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 (0.59) in the period of the last 5 years, the Sharpe Ratio of 0.97 of Volatility less than 10% is greater, thus better.
• Compared with SPY (1.18) in the period of the last 3 years, the risk / return profile (Sharpe) of 1.19 is higher, thus better.

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 downside risk / excess return profile over 5 years of Volatility less than 10% is 1.35, which is larger, thus better compared to the benchmark SPY (0.86) in the same period.
• Compared with SPY (1.76) in the period of the last 3 years, the downside risk / excess return profile of 1.64 is smaller, thus worse.

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 (8.43 ) in the period of the last 5 years, the Ulcer Ratio of 2.76 of Volatility less than 10% is smaller, thus better.
• During the last 3 years, the Ulcer Index is 2.11 , which is lower, thus better than the value of 3.43 from the benchmark.

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 -10.6 days in the last 5 years of Volatility less than 10%, we see it is relatively higher, thus better in comparison to the benchmark SPY (-24.5 days)
• During the last 3 years, the maximum DrawDown is -9.6 days, which is greater, thus better than the value of -18.8 days from the benchmark.

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.'

• Looking at the maximum time in days below previous high water mark of 243 days in the last 5 years of Volatility less than 10%, we see it is relatively lower, thus better in comparison to the benchmark SPY (488 days)
• Looking at maximum days below previous high in of 95 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (87 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.'

• Compared with the benchmark SPY (119 days) in the period of the last 5 years, the average days under water of 44 days of Volatility less than 10% is lower, thus better.
• During the last 3 years, the average time in days below previous high water mark is 23 days, which is higher, thus worse than the value of 19 days from the benchmark.