Volatility less than 7%

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

• Compared with the benchmark SPY (80.7%) in the period of the last 5 years, the total return, or increase in value of 42.3% of Volatility less than 7% is lower, thus worse.
• During the last 3 years, the total return is 32.3%, which is lower, thus worse than the value of 76% 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.'

• Compared with the benchmark SPY (12.6%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 7.3% of Volatility less than 7% is lower, thus worse.
• Looking at annual return (CAGR) in of 9.8% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (20.9%).

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 (17.2%) in the period of the last 5 years, the historical 30 days volatility of 5.1% of Volatility less than 7% is lower, thus better.
• Looking at volatility in of 5.5% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (15.3%).

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 (11.9%) in the period of the last 5 years, the downside deviation of 3.5% of Volatility less than 7% is lower, thus better.
• During the last 3 years, the downside volatility is 3.8%, which is lower, thus better than the value of 10.3% 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.'

• Looking at the ratio of return and volatility (Sharpe) of 0.94 in the last 5 years of Volatility less than 7%, we see it is relatively greater, thus better in comparison to the benchmark SPY (0.59)
• During the last 3 years, the Sharpe Ratio is 1.34, which is greater, thus better than the value of 1.2 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.'

• Looking at the excess return divided by the downside deviation of 1.38 in the last 5 years of Volatility less than 7%, we see it is relatively greater, thus better in comparison to the benchmark SPY (0.85)
• During the last 3 years, the ratio of annual return and downside deviation is 1.94, which is greater, thus better than the value of 1.79 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.'

• Compared with the benchmark SPY (8.46 ) in the period of the last 5 years, the Downside risk index of 1.52 of Volatility less than 7% is smaller, thus better.
• Looking at Ulcer Index in of 1.16 in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (3.37 ).

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.'

• The maximum drop from peak to valley over 5 years of Volatility less than 7% is -4.7 days, which is greater, thus better compared to the benchmark SPY (-24.5 days) in the same period.
• During the last 3 years, the maximum drop from peak to valley is -3.9 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). 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 Volatility less than 7% is 300 days, which is smaller, thus better compared to the benchmark SPY (488 days) in the same period.
• During the last 3 years, the maximum days below previous high is 71 days, which is lower, thus better than the value of 87 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.'

• Looking at the average days below previous high of 58 days in the last 5 years of Volatility less than 7%, we see it is relatively lower, thus better in comparison to the benchmark SPY (118 days)
• During the last 3 years, the average days below previous high is 19 days, which is greater, thus worse than the value of 18 days from the benchmark.