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
5.80%
10 Years
4.45%
5 Years
4.61%
3 Years
3.28%
1 Year
5.67%
Compounded Annual Inflation CAGR
2.64%
10 Years
3.06%
5 Years
4.33%
3 Years
3.53%
1 Year
2.16%
Cumulative Returns
226.81%
10 Years
54.56%
5 Years
25.30%
3 Years
10.18%
1 Year
5.67%
Annual Volatility
4.61%
10 Years
4.61%
5 Years
4.97%
3 Years
4.95%
1 Year
4.89%
Sharpe
1.22
10 Years
0.87
5 Years
0.76
3 Years
0.41
1 Year
1.38
Alpha
2.64
10 Years
2.49
5 Years
3.51
3 Years
2.83
1 Year
2.62
Beta
0.80
10 Years
0.75
5 Years
0.69
3 Years
0.62
1 Year
0.77
Treynor
7.03%
10 Years
5.34%
5 Years
5.48%
3 Years
3.28%
1 Year
8.75%
Sterling
0.88%
10 Years
0.63%
5 Years
0.67%
3 Years
0.36%
1 Year
2.79%
Downside Annual Volatility
1.98%
10 Years
2.24%
5 Years
1.82%
3 Years
2.26%
1 Year
0.85%
Maximum Drawdown
-6.40%
10 Years
-6.34%
5 Years
-5.67%
3 Years
-5.67%
1 Year
-2.42%
Sortino
2.85
10 Years
1.80
5 Years
2.07
3 Years
0.90
1 Year
7.97
R²
65.98%
10 Years
73.35%
5 Years
72.91%
3 Years
70.66%
1 Year
87.34%
Up Market Capture
108%
10 Years
95%
5 Years
98%
3 Years
85%
1 Year
91%
Down Market Capture
74%
10 Years
62%
5 Years
57%
3 Years
56%
1 Year
67%
Tracking Error
0.71%
10 Years
0.66%
5 Years
0.82%
3 Years
0.86%
1 Year
0.60%
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
61.94%
Positive Days
65.70%
Annual Turnover Ratio
7%
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
3.05%
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
65.06%
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
0.06
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%
66%
-10% to 0%
34%
-20% to -10%
0%
-30% to -20%
0%
-40% to -30%
0%
-50% to -40%
0%
Under -50%
0%
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