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
5.73%
10 Years
4.29%
5 Years
3.73%
3 Years
2.94%
1 Year
5.59%
Compounded Annual Inflation CAGR
2.67%
10 Years
3.04%
5 Years
4.58%
3 Years
3.15%
1 Year
2.14%
Cumulative Returns
222.00%
10 Years
52.26%
5 Years
20.11%
3 Years
9.08%
1 Year
5.59%
Annual Volatility
4.64%
10 Years
4.65%
5 Years
4.62%
3 Years
4.91%
1 Year
5.29%
Sharpe
1.20
10 Years
0.83
5 Years
0.63
3 Years
0.38
1 Year
1.25
Alpha
2.56
10 Years
2.30
5 Years
3.19
3 Years
1.10
1 Year
0.24
Beta
0.81
10 Years
0.76
5 Years
0.68
3 Years
0.79
1 Year
0.81
Treynor
6.91%
10 Years
5.09%
5 Years
4.23%
3 Years
2.35%
1 Year
8.23%
Sterling
0.87%
10 Years
0.61%
5 Years
0.51%
3 Years
0.33%
1 Year
2.74%
Downside Annual Volatility
2.00%
10 Years
2.27%
5 Years
1.91%
3 Years
2.24%
1 Year
1.73%
Maximum Drawdown
-6.40%
10 Years
-6.34%
5 Years
-5.67%
3 Years
-5.67%
1 Year
-2.42%
Sortino
2.78
10 Years
1.70
5 Years
1.51
3 Years
0.83
1 Year
3.83
R²
65.97%
10 Years
73.25%
5 Years
66.91%
3 Years
82.38%
1 Year
83.68%
Up Market Capture
108%
10 Years
96%
5 Years
102%
3 Years
84%
1 Year
86%
Down Market Capture
75%
10 Years
65%
5 Years
61%
3 Years
72%
1 Year
81%
Tracking Error
0.71%
10 Years
0.66%
5 Years
0.80%
3 Years
0.54%
1 Year
0.59%
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
-1.36%
Average Winning Trade Duration
24 days
Average Losing Trade Duration
21 days
Winning Trades
61.87%
Positive Days
65.52%
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
-0.81%
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
0.07
Correlation with Benchmark Negative Returns
-0.02
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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