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
11.51%
10 Years
9.23%
5 Years
7.56%
3 Years
5.63%
1 Year
4.48%
Compounded Annual Inflation CAGR
2.70%
10 Years
3.06%
5 Years
4.48%
3 Years
2.87%
1 Year
2.55%
Cumulative Returns
886.12%
10 Years
141.82%
5 Years
44.00%
3 Years
17.87%
1 Year
4.48%
Annual Volatility
8.19%
10 Years
8.09%
5 Years
7.69%
3 Years
6.26%
1 Year
7.13%
Sharpe
1.39
10 Years
1.09
5 Years
0.87
3 Years
0.80
1 Year
0.76
Alpha
8.22
10 Years
4.85
5 Years
2.98
3 Years
1.47
1 Year
2.58
Beta
0.39
10 Years
0.47
5 Years
0.48
3 Years
0.37
1 Year
0.27
Treynor
28.74%
10 Years
18.76%
5 Years
13.95%
3 Years
13.62%
1 Year
19.85%
Sterling
1.02%
10 Years
0.79%
5 Years
1.15%
3 Years
0.85%
1 Year
1.12%
Downside Annual Volatility
3.29%
10 Years
3.61%
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
3.45
10 Years
2.44
5 Years
2.35
3 Years
1.65
1 Year
1.38
R²
23.69%
10 Years
33.26%
5 Years
30.51%
3 Years
25.36%
1 Year
9.06%
Up Market Capture
79%
10 Years
70%
5 Years
62%
3 Years
41%
1 Year
37%
Down Market Capture
38%
10 Years
49%
5 Years
37%
3 Years
33%
1 Year
27%
Tracking Error
2.35%
10 Years
2.12%
5 Years
2.01%
3 Years
1.85%
1 Year
2.24%
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
61.07%
Positive Days
63.72%
Annual Turnover Ratio
4%
Maximum Return
9.53%
7.96%
Minimum Return
-20.35%
-6.61%
Average Return
0.52%
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
0.04
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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