Solid VolatilityShield
VolatilityShield is a quantitative model designed for long-term analysis of historical data, with a focus on achieving consistent and risk-adjusted returns. Over a back-tested period of 21 years, it analyzed performance metrics such as Compound Annual Growth Rate (CAGR), Alpha, Sharpe ratio, volatility, and drawdowns, emphasizing volatility control and loss minimization. Using cross-sectional momentum, the model evaluated price movements across a curated selection of Exchange Traded Funds (ETFs), including bonds and commodities, chosen for their historical variance and diversification potential. Historical back-testing indicates that the model achieved an average annual CAGR of 6.59%, compared to 5.4% for its benchmark, with a lower maximum drawdown of -6.66% versus -14.7% for the benchmark, suggesting possible focus on historical stability and simulated performance during diverse market conditions.
Quantitative Rules
Price Momentum
Commodities, Equities, Bonds
OverviewAllocationTradesStatistics
CAGR
6.59%
10 Years
5.78%
5 Years
7.95%
3 Years
2.93%
1 Year
5.49%
Compounded Annual Inflation CAGR
2.59%
10 Years
3.00%
5 Years
4.19%
3 Years
4.21%
1 Year
2.85%
Cumulative Returns
282.08%
10 Years
75.33%
5 Years
46.57%
3 Years
9.05%
1 Year
5.49%
Annual Volatility
5.00%
10 Years
5.52%
5 Years
6.37%
3 Years
4.34%
1 Year
4.58%
Sharpe
1.29
10 Years
0.97
5 Years
1.16
3 Years
0.35
1 Year
1.41
Alpha
3.63
10 Years
3.17
5 Years
5.88
3 Years
1.73
1 Year
2.37
Beta
0.53
10 Years
0.49
5 Years
0.43
3 Years
0.46
1 Year
0.48
Treynor
12.16%
10 Years
10.89%
5 Years
17.30%
3 Years
3.29%
1 Year
13.59%
Sterling
0.97%
10 Years
0.80%
5 Years
1.15%
3 Years
0.23%
1 Year
3.39%
Downside Annual Volatility
2.06%
10 Years
2.59%
5 Years
2.38%
3 Years
1.92%
1 Year
1.25%
Maximum Drawdown
-6.66%
10 Years
-6.66%
5 Years
-6.41%
3 Years
-6.41%
1 Year
-1.91%
Sortino
3.12
10 Years
2.07
5 Years
3.10
3 Years
0.78
1 Year
5.16
R²
39.71%
10 Years
33.90%
5 Years
31.79%
3 Years
58.34%
1 Year
56.71%
Up Market Capture
77%
10 Years
70%
5 Years
74%
3 Years
58%
1 Year
56%
Down Market Capture
39%
10 Years
39%
5 Years
30%
3 Years
39%
1 Year
36%
Tracking Error
1.20%
10 Years
1.38%
5 Years
1.80%
3 Years
1.17%
1 Year
1.42%
Minimum Rolling Return
10 Years
60.38%
5 Years
12.66%
3 Years
6.22%
1 Year
-3.99%
Maximum Rolling Return
10 Years
103.17%
5 Years
57.17%
3 Years
47.89%
1 Year
32.48%
General
denotes benchmark
Average Winning Trade Return
1.95%
Average Losing Trade Return
-1.62%
Average Winning Trade Duration
25 days
Average Losing Trade Duration
21 days
Winning Trades
60.44%
Positive Days
63.20%
Annual Turnover Ratio
6%
Maximum Return
7.19%
6.29%
Minimum Return
-8.41%
-6.11%
Average Return
0.34%
0.41%
Median Return
0.34%
0.22%
Average Return Best
3.80%
Average Return Worst
-0.73%
Best Positive Returns
100.00%
Worst Positive Returns
0.00%
Average Return Deflation
0.98%
Average Return Inflation
0.37%
Average Return Inflation 3%
0.37%
Average Return Inflation 6%
-0.21%
Positive Returns Deflation
58.33%
Positive Returns Inflation
63.23%
Positive Returns Inflation 3%
61.34%
Positive Returns Inflation 6%
33.33%
Best Year
2021
Worst Year
2022
Correlation with Benchmark
0.63
Correlation with Benchmark Positive Returns
0.11
Correlation with Benchmark Negative Returns
0.18
Returns Distribution
Over 50%
0%
40% to 50%
0%
30% to 40%
0%
20% to 30%
0%
10% to 20%
0%
0% to 10%
63%
-10% to 0%
37%
-20% to -10%
0%
-30% to -20%
0%
-40% to -30%
0%
-50% to -40%
0%
Under -50%
0%
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