SmartVol Tactical
SmartVol is a quantitative model designed for volatility management, aiming to minimize peak drawdowns and achieve balanced diversification across Exchange Traded Funds (ETFs) spanning various asset classes, subclasses, and sectors. Leveraging cross-sectional momentum and systematic selection, the model analyzes price trends based on historical risk and performance data, incorporating principles of balance and diversification. Over 22 years of historical back-testing, the model demonstrated metrics such as a 14.16% annual compounded growth rate (CAGR) and consistent Sharpe and Alpha ratios, with observed steady results across diverse market conditions, including periods of decline. The historical back-testing indicates potential benefits of a dynamic rebalancing approach and a focus on high-performing assets in the analyzed time frame.
Quantitative Rules
Price Momentum
Commodities, Equities, Bonds
OverviewAllocationTradesStatistics
CAGR
14.40%
10 Years
10.39%
5 Years
17.03%
3 Years
8.55%
1 Year
11.68%
Compounded Annual Inflation CAGR
2.67%
10 Years
3.04%
5 Years
4.58%
3 Years
3.15%
1 Year
2.14%
Cumulative Returns
1586.95%
10 Years
168.63%
5 Years
119.54%
3 Years
27.92%
1 Year
11.68%
Annual Volatility
12.16%
10 Years
12.53%
5 Years
13.24%
3 Years
10.63%
1 Year
10.51%
Sharpe
1.17
10 Years
0.79
5 Years
1.22
3 Years
0.70
1 Year
1.21
Alpha
8.55
10 Years
3.87
5 Years
10.84
3 Years
3.36
1 Year
1.75
Beta
0.82
10 Years
0.91
5 Years
0.85
3 Years
0.71
1 Year
0.85
Treynor
17.39%
10 Years
10.95%
5 Years
19.01%
3 Years
10.47%
1 Year
15.03%
Sterling
0.85%
10 Years
0.59%
5 Years
2.02%
3 Years
0.93%
1 Year
1.95%
Downside Annual Volatility
4.74%
10 Years
4.97%
5 Years
4.16%
3 Years
4.04%
1 Year
6.03%
Maximum Drawdown
-16.81%
10 Years
-16.81%
5 Years
-8.03%
3 Years
-8.03%
1 Year
-6.53%
Sortino
3.00
10 Years
2.00
5 Years
3.89
3 Years
1.85
1 Year
2.11
R²
35.23%
10 Years
42.19%
5 Years
29.49%
3 Years
35.47%
1 Year
43.58%
Up Market Capture
134%
10 Years
106%
5 Years
133%
3 Years
87%
1 Year
76%
Down Market Capture
80%
10 Years
78%
5 Years
62%
3 Years
73%
1 Year
72%
Tracking Error
2.60%
10 Years
2.44%
5 Years
3.11%
3 Years
2.36%
1 Year
1.94%
Minimum Rolling Return
10 Years
89.10%
5 Years
-1.89%
3 Years
-2.77%
1 Year
-14.86%
Maximum Rolling Return
10 Years
440.81%
5 Years
187.58%
3 Years
100.48%
1 Year
58.40%
General
denotes benchmark
Average Winning Trade Return
2.99%
Average Losing Trade Return
-2.77%
Average Winning Trade Duration
26 days
Average Losing Trade Duration
24 days
Winning Trades
61.76%
Positive Days
62.15%
Annual Turnover Ratio
3%
Maximum Return
8.75%
13.29%
Minimum Return
-17.48%
-8.90%
Average Return
0.48%
0.94%
Median Return
0.52%
0.77%
Average Return Best
8.08%
Average Return Worst
-2.20%
Best Positive Returns
100.00%
Worst Positive Returns
0.00%
Average Return Deflation
2.37%
Average Return Inflation
0.87%
Average Return Inflation 3%
1.03%
Average Return Inflation 6%
-0.23%
Positive Returns Deflation
58.33%
Positive Returns Inflation
61.77%
Positive Returns Inflation 3%
62.11%
Positive Returns Inflation 6%
50.00%
Best Year
2021
Worst Year
2015
Correlation with Benchmark
0.59
Correlation with Benchmark Positive Returns
0.13
Correlation with Benchmark Negative Returns
-0.08
Returns Distribution
Over 50%
0%
40% to 50%
0%
30% to 40%
0%
20% to 30%
0%
10% to 20%
1%
0% to 10%
61%
-10% to 0%
38%
-20% to -10%
0%
-30% to -20%
0%
-40% to -30%
0%
-50% to -40%
0%
Under -50%
0%
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