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 22 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 6.68%, 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
6.69%
10 Years
6.01%
5 Years
9.19%
3 Years
4.02%
1 Year
5.57%
Compounded Annual Inflation CAGR
2.64%
10 Years
3.06%
5 Years
4.33%
3 Years
3.53%
1 Year
2.16%
Cumulative Returns
289.87%
10 Years
79.26%
5 Years
55.18%
3 Years
12.55%
1 Year
5.57%
Annual Volatility
5.01%
10 Years
5.53%
5 Years
5.99%
3 Years
4.42%
1 Year
4.18%
Sharpe
1.31
10 Years
1.01
5 Years
1.39
3 Years
0.62
1 Year
1.59
Alpha
3.74
10 Years
3.46
5 Years
6.43
3 Years
2.47
1 Year
4.09
Beta
0.53
10 Years
0.49
5 Years
0.47
3 Years
0.46
1 Year
0.41
Treynor
12.37%
10 Years
11.33%
5 Years
17.88%
3 Years
6.05%
1 Year
16.03%
Sterling
0.98%
10 Years
0.84%
5 Years
1.30%
3 Years
0.43%
1 Year
3.48%
Downside Annual Volatility
2.06%
10 Years
2.59%
5 Years
1.94%
3 Years
1.92%
1 Year
0.88%
Maximum Drawdown
-6.66%
10 Years
-6.66%
5 Years
-6.41%
3 Years
-6.41%
1 Year
-1.91%
Sortino
3.17
10 Years
2.16
5 Years
4.31
3 Years
1.44
1 Year
7.59
R²
39.71%
10 Years
34.32%
5 Years
32.91%
3 Years
57.72%
1 Year
46.92%
Up Market Capture
77%
10 Years
72%
5 Years
80%
3 Years
60%
1 Year
61%
Down Market Capture
39%
10 Years
39%
5 Years
31%
3 Years
38%
1 Year
30%
Tracking Error
1.19%
10 Years
1.37%
5 Years
1.58%
3 Years
1.15%
1 Year
1.35%
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
58.50%
3 Years
47.89%
1 Year
32.48%
General
denotes benchmark
Average Winning Trade Return
1.94%
Average Losing Trade Return
-1.62%
Average Winning Trade Duration
25 days
Average Losing Trade Duration
21 days
Winning Trades
60.54%
Positive Days
63.74%
Annual Turnover Ratio
7%
Maximum Return
7.19%
6.29%
Minimum Return
-8.41%
-6.11%
Average Return
0.34%
0.41%
Median Return
0.34%
0.21%
Average Return Best
3.71%
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
0.12
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%
64%
-10% to 0%
36%
-20% to -10%
0%
-30% to -20%
0%
-40% to -30%
0%
-50% to -40%
0%
Under -50%
0%
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