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
6.75%
10 Years
6.28%
5 Years
7.96%
3 Years
4.41%
1 Year
4.57%
Compounded Annual Inflation CAGR
2.70%
10 Years
3.06%
5 Years
4.48%
3 Years
2.87%
1 Year
2.55%
Cumulative Returns
294.52%
10 Years
83.79%
5 Years
46.69%
3 Years
13.83%
1 Year
4.57%
Annual Volatility
5.01%
10 Years
5.50%
5 Years
5.94%
3 Years
4.27%
1 Year
3.71%
Sharpe
1.32
10 Years
1.06
5 Years
1.20
3 Years
0.88
1 Year
1.49
Alpha
3.71
10 Years
3.57
5 Years
5.61
3 Years
1.33
1 Year
2.11
Beta
0.53
10 Years
0.49
5 Years
0.57
3 Years
0.50
1 Year
0.55
Treynor
12.51%
10 Years
11.99%
5 Years
12.53%
3 Years
7.51%
1 Year
10.06%
Sterling
0.99%
10 Years
0.88%
5 Years
1.11%
3 Years
0.59%
1 Year
2.90%
Downside Annual Volatility
2.06%
10 Years
2.54%
5 Years
1.94%
3 Years
1.82%
1 Year
0.98%
Maximum Drawdown
-6.66%
10 Years
-6.66%
5 Years
-6.41%
3 Years
-6.41%
1 Year
-1.91%
Sortino
3.19
10 Years
2.31
5 Years
3.66
3 Years
2.07
1 Year
5.61
R²
39.68%
10 Years
33.98%
5 Years
37.19%
3 Years
57.21%
1 Year
71.09%
Up Market Capture
77%
10 Years
71%
5 Years
89%
3 Years
57%
1 Year
62%
Down Market Capture
39%
10 Years
38%
5 Years
32%
3 Years
45%
1 Year
57%
Tracking Error
1.19%
10 Years
1.40%
5 Years
1.39%
3 Years
1.01%
1 Year
0.88%
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
1.95%
Average Losing Trade Return
-1.61%
Average Winning Trade Duration
25 days
Average Losing Trade Duration
21 days
Winning Trades
60.50%
Positive Days
63.87%
Annual Turnover Ratio
5%
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
0.38%
Average Return Inflation 3%
0.37%
Average Return Inflation 6%
-0.21%
Positive Returns Deflation
58.33%
Positive Returns Inflation
63.35%
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
0.13
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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