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
OverviewAllocationTradesStatistics
CAGR
11.56%
10 Years
9.05%
5 Years
10.24%
3 Years
6.06%
1 Year
7.68%
Compounded Annual Inflation CAGR
2.65%
10 Years
3.06%
5 Years
4.52%
3 Years
3.42%
1 Year
1.99%
Cumulative Returns
893.90%
10 Years
137.79%
5 Years
62.82%
3 Years
19.31%
1 Year
7.68%
Annual Volatility
8.17%
10 Years
8.09%
5 Years
7.68%
3 Years
6.16%
1 Year
7.42%
Sharpe
1.40
10 Years
1.07
5 Years
1.22
3 Years
0.80
1 Year
1.18
Alpha
8.38
10 Years
4.98
5 Years
5.69
3 Years
2.98
1 Year
4.72
Beta
0.40
10 Years
0.48
5 Years
0.47
3 Years
0.38
1 Year
0.39
Treynor
28.41%
10 Years
17.86%
5 Years
20.03%
3 Years
12.83%
1 Year
22.76%
Sterling
1.02%
10 Years
0.77%
5 Years
1.61%
3 Years
0.84%
1 Year
1.80%
Downside Annual Volatility
3.28%
10 Years
3.67%
5 Years
2.81%
3 Years
2.95%
1 Year
3.86%
Maximum Drawdown
-11.13%
10 Years
-11.13%
5 Years
-5.85%
3 Years
-5.85%
1 Year
-4.88%
Sortino
3.47
10 Years
2.35
5 Years
3.34
3 Years
1.67
1 Year
2.27
R²
24.40%
10 Years
35.03%
5 Years
33.05%
3 Years
29.74%
1 Year
20.63%
Up Market Capture
82%
10 Years
72%
5 Years
65%
3 Years
49%
1 Year
55%
Down Market Capture
38%
10 Years
49%
5 Years
37%
3 Years
28%
1 Year
26%
Tracking Error
2.35%
10 Years
2.06%
5 Years
2.07%
3 Years
1.83%
1 Year
2.28%
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
23 days
Winning Trades
61.05%
Positive Days
63.77%
Annual Turnover Ratio
6%
Maximum Return
9.53%
7.96%
Minimum Return
-20.35%
-6.61%
Average Return
0.50%
0.71%
Median Return
0.46%
0.33%
Average Return Best
5.70%
Average Return Worst
-1.26%
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
0.01
Correlation with Benchmark Negative Returns
-0.01
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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