LowVolatility SereneYield
The SereneYield Model is a long-term analytical tool that evaluates historical data to prioritize low volatility and consistent returns. Using over 22 years of back-testing, it could demonstrates a methodical approach to risk control, minimizing drawdowns, and maintaining portfolio stability. By analyzing price movements of a curated selection of Exchange Traded Funds (ETFs), predominantly bond-focused and low-volatility equity ETFs, the model identifies assets based on historical variance profiles to construct a well-diversified, balanced portfolio. Historical performance metrics, including a Compound Annual Growth Rate (CAGR) of 5.73%, annual volatility of 4.61%, and a maximum drawdown of -6.40%, illustrate the model's focus on stability compared to a benchmark CAGR of 3.84%, volatility of 7.50%, and maximum drawdown of -13.74%. These metrics could reflect the model's analytical approach to balancing loss and yields over diverse market conditions.
Quantitative Rules
Price Momentum
Equities, Bonds
OverviewAllocationTradesStatistics
CAGR
5.75%
10 Years
4.58%
5 Years
3.03%
3 Years
2.89%
1 Year
2.37%
Compounded Annual Inflation CAGR
2.70%
10 Years
3.06%
5 Years
4.48%
3 Years
2.87%
1 Year
2.55%
Cumulative Returns
223.27%
10 Years
56.49%
5 Years
16.08%
3 Years
8.92%
1 Year
2.37%
Annual Volatility
4.64%
10 Years
4.61%
5 Years
4.60%
3 Years
4.93%
1 Year
5.02%
Sharpe
1.20
10 Years
0.90
5 Years
0.47
3 Years
0.45
1 Year
0.66
Alpha
2.54
10 Years
2.49
5 Years
2.66
3 Years
0.89
1 Year
0.19
Beta
0.80
10 Years
0.76
5 Years
0.68
3 Years
0.78
1 Year
0.92
Treynor
6.95%
10 Years
5.49%
5 Years
3.20%
3 Years
2.86%
1 Year
3.62%
Sterling
0.87%
10 Years
0.65%
5 Years
0.38%
3 Years
0.39%
1 Year
1.37%
Downside Annual Volatility
2.00%
10 Years
2.24%
5 Years
1.93%
3 Years
2.26%
1 Year
2.02%
Maximum Drawdown
-6.40%
10 Years
-6.34%
5 Years
-5.67%
3 Years
-5.67%
1 Year
-2.42%
Sortino
2.79
10 Years
1.85
5 Years
1.13
3 Years
0.99
1 Year
1.65
R²
65.90%
10 Years
73.68%
5 Years
66.49%
3 Years
82.07%
1 Year
86.28%
Up Market Capture
107%
10 Years
97%
5 Years
99%
3 Years
82%
1 Year
92%
Down Market Capture
75%
10 Years
65%
5 Years
61%
3 Years
72%
1 Year
93%
Tracking Error
0.71%
10 Years
0.66%
5 Years
0.80%
3 Years
0.55%
1 Year
0.48%
Minimum Rolling Return
10 Years
47.28%
5 Years
15.45%
3 Years
1.31%
1 Year
-5.10%
Maximum Rolling Return
10 Years
99.03%
5 Years
48.55%
3 Years
30.66%
1 Year
13.84%
General
denotes benchmark
Average Winning Trade Return
1.52%
Average Losing Trade Return
-1.35%
Average Winning Trade Duration
24 days
Average Losing Trade Duration
21 days
Winning Trades
61.75%
Positive Days
65.43%
Annual Turnover Ratio
2%
Maximum Return
6.09%
5.30%
Minimum Return
-6.17%
-5.42%
Average Return
0.24%
0.34%
Median Return
0.22%
0.16%
Average Return Best
3.05%
Average Return Worst
-0.80%
Best Positive Returns
100.00%
Worst Positive Returns
0.00%
Average Return Deflation
0.14%
Average Return Inflation
0.35%
Average Return Inflation 3%
0.32%
Average Return Inflation 6%
-0.21%
Positive Returns Deflation
66.67%
Positive Returns Inflation
65.12%
Positive Returns Inflation 3%
61.34%
Positive Returns Inflation 6%
43.48%
Best Year
2019
Worst Year
2022
Correlation with Benchmark
0.81
Correlation with Benchmark Positive Returns
0.08
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%
65%
-10% to 0%
35%
-20% to -10%
0%
-30% to -20%
0%
-40% to -30%
0%
-50% to -40%
0%
Under -50%
0%
AlgoMart Ltd © 2025 All rights reserved
2nd Floor College House, 17 King Edwards Road, London, HA4 7AE
Product
Company
Disclaimer: The content on this website is provided for informational purposes only and should not be interpreted as financial advice. Please consult a licensed advisor before making investment decisions.