StableUp VolatilityGuard
StableUp is a quantitative analytical model focused on long-term performance evaluation through historical data, emphasizing volatility management and minimizing drawdowns. Over 21 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 11.44%, compared to 7.73% 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
11.44%
10 Years
8.45%
5 Years
9.65%
3 Years
4.59%
1 Year
9.89%
Compounded Annual Inflation CAGR
2.59%
10 Years
3.00%
5 Years
4.19%
3 Years
4.21%
1 Year
2.85%
Cumulative Returns
872.01%
10 Years
125.05%
5 Years
58.50%
3 Years
14.41%
1 Year
9.89%
Annual Volatility
8.16%
10 Years
8.13%
5 Years
8.34%
3 Years
6.22%
1 Year
8.04%
Sharpe
1.38
10 Years
0.99
5 Years
1.09
3 Years
0.51
1 Year
1.35
Alpha
8.21
10 Years
4.14
5 Years
6.10
3 Years
2.05
1 Year
3.22
Beta
0.40
10 Years
0.49
5 Years
0.37
3 Years
0.39
1 Year
0.49
Treynor
28.09%
10 Years
16.48%
5 Years
24.29%
3 Years
8.08%
1 Year
22.16%
Sterling
1.01%
10 Years
0.72%
5 Years
1.45%
3 Years
0.54%
1 Year
2.23%
Downside Annual Volatility
3.27%
10 Years
3.67%
5 Years
3.58%
3 Years
2.92%
1 Year
3.74%
Maximum Drawdown
-11.13%
10 Years
-11.13%
5 Years
-6.28%
3 Years
-5.85%
1 Year
-4.88%
Sortino
3.44
10 Years
2.18
5 Years
2.54
3 Years
1.08
1 Year
2.91
R²
24.32%
10 Years
35.02%
5 Years
28.48%
3 Years
32.95%
1 Year
26.40%
Up Market Capture
82%
10 Years
71%
5 Years
64%
3 Years
48%
1 Year
59%
Down Market Capture
39%
10 Years
54%
5 Years
39%
3 Years
33%
1 Year
47%
Tracking Error
2.36%
10 Years
2.07%
5 Years
2.65%
3 Years
1.91%
1 Year
2.39%
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
2.38%
Average Losing Trade Return
-1.96%
Average Winning Trade Duration
25 days
Average Losing Trade Duration
23 days
Winning Trades
61.00%
Positive Days
63.72%
Annual Turnover Ratio
6%
Maximum Return
9.53%
7.96%
Minimum Return
-20.35%
-6.61%
Average Return
0.52%
0.72%
Median Return
0.55%
0.34%
Average Return Best
5.70%
Average Return Worst
-1.28%
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
63.79%
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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