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StableUp VolatilityGuard

StableUp is a quantitative analytical model focused on long-term performance evaluation through historical data, emphasizing volatility management and minimizing drawdowns. Over 22 years of back-testing, the model analyzed price movements across a curated selection of Exchange Traded Funds (ETFs) from various asset classes and sectors, chosen based on historical risk profiles. Its approach integrates cross-sectional momentum to assess diversification benefits and prioritize historically top-performing assets within a balanced framework. The model's back-testing period, including challenging market conditions, yielded a theoretical annual CAGR of 11.53%, compared to 7.53% for the selected market benchmark, offering possible insights into the potential impact of volatility control and asset diversification on long-term outcomes.

Quantitative Rules

Price Momentum

Commodities, Equities, Bonds

Overview Allocation Trades Statistics

CAGR

11.49%

10 Years

8.97%

5 Years

9.12%

3 Years

5.61%

1 Year

4.92%

Compounded Annual Inflation CAGR

2.68%

10 Years

3.02%

5 Years

4.51%

3 Years

2.75%

1 Year

2.32%

Cumulative Returns

881.21%

10 Years

135.99%

5 Years

54.68%

3 Years

17.79%

1 Year

4.92%

Annual Volatility

8.19%

10 Years

8.11%

5 Years

7.71%

3 Years

6.27%

1 Year

7.30%

Sharpe

1.38

10 Years

1.05

5 Years

1.07

3 Years

0.76

1 Year

0.82

Alpha

8.22

10 Years

4.61

5 Years

4.23

3 Years

2.14

1 Year

3.56

Beta

0.40

10 Years

0.47

5 Years

0.48

3 Years

0.34

1 Year

0.22

Treynor

28.67%

10 Years

18.21%

5 Years

17.15%

3 Years

14.09%

1 Year

27.61%

Sterling

1.02%

10 Years

0.77%

5 Years

1.42%

3 Years

0.81%

1 Year

1.22%

Downside Annual Volatility

3.29%

10 Years

3.66%

5 Years

2.86%

3 Years

3.02%

1 Year

3.95%

Maximum Drawdown

-11.13%

10 Years

-11.13%

5 Years

-5.85%

3 Years

-5.85%

1 Year

-4.88%

Sortino

3.44

10 Years

2.33

5 Years

2.89

3 Years

1.57

1 Year

1.51

R²

23.71%

10 Years

33.21%

5 Years

30.64%

3 Years

23.45%

1 Year

5.62%

Up Market Capture

80%

10 Years

69%

5 Years

63%

3 Years

41%

1 Year

26%

Down Market Capture

38%

10 Years

49%

5 Years

37%

3 Years

27%

1 Year

27%

Tracking Error

2.35%

10 Years

2.11%

5 Years

2.01%

3 Years

1.92%

1 Year

2.43%

Minimum Rolling Return

10 Years

125.05%

5 Years

33.26%

3 Years

12.14%

1 Year

-6.81%

Maximum Rolling Return

10 Years

284.57%

5 Years

126.10%

3 Years

75.26%

1 Year

36.33%

General

denotes benchmark

Average Winning Trade Return

2.37%

Average Losing Trade Return

-1.95%

Average Winning Trade Duration

25 days

Average Losing Trade Duration

22 days

Winning Trades

61.04%

Positive Days

63.61%

Annual Turnover Ratio

Maximum Return

9.53%

7.96%

Minimum Return

-20.35%

-6.61%

Average Return

0.51%

0.70%

Median Return

0.48%

0.31%

Average Return Best

5.70%

Average Return Worst

-1.25%

Best Positive Returns

100.00%

Worst Positive Returns

0.00%

Average Return Deflation

1.95%

Average Return Inflation

0.66%

Average Return Inflation 3%

0.63%

Average Return Inflation 6%

-0.33%

Positive Returns Deflation

66.67%

Positive Returns Inflation

63.58%

Positive Returns Inflation 3%

67.27%

Positive Returns Inflation 6%

50.00%

Best Year

2009

Worst Year

2022

Correlation with Benchmark

0.49

Correlation with Benchmark Positive Returns

0.03

Correlation with Benchmark Negative Returns

-0.01

Returns Distribution

Over 50%

40% to 50%

30% to 40%

20% to 30%

10% to 20%

0% to 10%

64%

-10% to 0%

36%

-20% to -10%

-30% to -20%

-40% to -30%

-50% to -40%

Under -50%

2nd Floor College House, 17 King Edwards Road, London, HA4 7AE

Product

Company

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