LowVolatility SereneYield
The SereneYield Model is a long-term analytical tool that evaluates historical data to prioritize low volatility and consistent returns. Using over 21 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 5.68%, 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
5.68%
10 Years
4.23%
5 Years
3.97%
3 Years
1.76%
1 Year
4.48%
Compounded Annual Inflation CAGR
2.59%
10 Years
3.00%
5 Years
4.19%
3 Years
4.21%
1 Year
2.85%
Cumulative Returns
218.81%
10 Years
51.32%
5 Years
21.46%
3 Years
5.38%
1 Year
4.48%
Annual Volatility
4.61%
10 Years
4.67%
5 Years
5.61%
3 Years
4.88%
1 Year
5.54%
Sharpe
1.20
10 Years
0.81
5 Years
0.61
3 Years
0.07
1 Year
0.99
Alpha
2.57
10 Years
2.25
5 Years
3.02
3 Years
2.03
1 Year
2.24
Beta
0.80
10 Years
0.76
5 Years
0.72
3 Years
0.61
1 Year
0.78
Treynor
6.88%
10 Years
5.00%
5 Years
4.74%
3 Years
0.54%
1 Year
7.03%
Sterling
0.86%
10 Years
0.60%
5 Years
0.54%
3 Years
0.06%
1 Year
2.25%
Downside Annual Volatility
1.98%
10 Years
2.25%
5 Years
2.73%
3 Years
2.26%
1 Year
1.57%
Maximum Drawdown
-6.40%
10 Years
-6.34%
5 Years
-6.34%
3 Years
-5.67%
1 Year
-2.42%
Sortino
2.79
10 Years
1.69
5 Years
1.25
3 Years
0.15
1 Year
3.47
R²
66.02%
10 Years
72.86%
5 Years
76.08%
3 Years
70.91%
1 Year
91.87%
Up Market Capture
108%
10 Years
96%
5 Years
94%
3 Years
82%
1 Year
87%
Down Market Capture
75%
10 Years
66%
5 Years
61%
3 Years
57%
1 Year
69%
Tracking Error
0.72%
10 Years
0.67%
5 Years
0.84%
3 Years
0.89%
1 Year
0.64%
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
1.53%
Average Losing Trade Return
-1.36%
Average Winning Trade Duration
24 days
Average Losing Trade Duration
21 days
Winning Trades
61.85%
Positive Days
65.19%
Annual Turnover Ratio
5%
Maximum Return
6.09%
5.30%
Minimum Return
-6.17%
-5.42%
Average Return
0.24%
0.35%
Median Return
0.22%
0.16%
Average Return Best
3.10%
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
65.06%
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
0.05
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.