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 (86.8%) in the period of the last 5 years, the total return, or performance of 61.2% of Volatility less than 7% is smaller, thus worse.
• During the last 3 years, the total return, or performance is 17.8%, which is lower, thus worse than the value of 26.3% from the benchmark.

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.'

• The compounded annual growth rate (CAGR) over 5 years of Volatility less than 7% is 10%, which is lower, thus worse compared to the benchmark SPY (13.3%) in the same period.
• During the last 3 years, the compounded annual growth rate (CAGR) is 5.6%, which is lower, thus worse than the value of 8.1% 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 (20.9%) in the period of the last 5 years, the 30 days standard deviation of 6.5% of Volatility less than 7% is smaller, thus better.
• Compared with SPY (17.3%) in the period of the last 3 years, the volatility of 4.4% is lower, thus better.

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 (15%) in the period of the last 5 years, the downside volatility of 4.7% of Volatility less than 7% is lower, thus better.
• Compared with SPY (12.1%) in the period of the last 3 years, the downside volatility of 2.9% is lower, thus better.

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 risk / return profile (Sharpe) of 1.16 in the last 5 years of Volatility less than 7%, we see it is relatively higher, thus better in comparison to the benchmark SPY (0.52)
• During the last 3 years, the ratio of return and volatility (Sharpe) is 0.72, which is greater, thus better than the value of 0.32 from the benchmark.

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

• The ratio of annual return and downside deviation over 5 years of Volatility less than 7% is 1.59, which is higher, thus better compared to the benchmark SPY (0.72) in the same period.
• Compared with SPY (0.46) in the period of the last 3 years, the excess return divided by the downside deviation of 1.08 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.'

• The Downside risk index over 5 years of Volatility less than 7% is 1.83 , which is lower, thus better compared to the benchmark SPY (9.33 ) in the same period.
• During the last 3 years, the Ulcer Index is 1.62 , which is lower, thus better than the value of 10 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.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum reduction from previous high of -13.6 days of Volatility less than 7% is greater, thus better.
• Looking at maximum reduction from previous high in of -4.7 days in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (-24.5 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) in days.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days below previous high of 300 days of Volatility less than 7% is smaller, thus better.
• Compared with SPY (488 days) in the period of the last 3 years, the maximum days below previous high of 300 days is lower, thus better.

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 below previous high over 5 years of Volatility less than 7% is 58 days, which is smaller, thus better compared to the benchmark SPY (122 days) in the same period.
• Looking at average days under water in of 80 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (178 days).