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 21 years of historical back-testing, the model demonstrated metrics such as a 13.91% 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
13.91%
10 Years
9.00%
5 Years
16.45%
3 Years
5.59%
1 Year
6.59%
Compounded Annual Inflation CAGR
2.59%
10 Years
3.00%
5 Years
4.19%
3 Years
4.21%
1 Year
2.85%
Cumulative Returns
1440.19%
10 Years
136.73%
5 Years
114.11%
3 Years
17.73%
1 Year
6.59%
Annual Volatility
12.12%
10 Years
12.52%
5 Years
14.88%
3 Years
12.85%
1 Year
11.74%
Sharpe
1.13
10 Years
0.68
5 Years
1.07
3 Years
0.32
1 Year
0.64
Alpha
8.07
10 Years
2.39
5 Years
10.27
3 Years
3.05
1 Year
-8.44
Beta
0.82
10 Years
0.91
5 Years
0.86
3 Years
0.63
1 Year
1.21
Treynor
16.72%
10 Years
9.43%
5 Years
18.44%
3 Years
6.58%
1 Year
6.26%
Sterling
0.82%
10 Years
0.51%
5 Years
0.95%
3 Years
0.52%
1 Year
1.16%
Downside Annual Volatility
4.71%
10 Years
4.96%
5 Years
4.63%
3 Years
4.70%
1 Year
5.29%
Maximum Drawdown
-16.81%
10 Years
-16.81%
5 Years
-16.81%
3 Years
-8.03%
1 Year
-6.53%
Sortino
2.92
10 Years
1.73
5 Years
3.43
3 Years
0.89
1 Year
1.43
R²
35.42%
10 Years
41.76%
5 Years
40.94%
3 Years
20.95%
1 Year
67.22%
Up Market Capture
134%
10 Years
100%
5 Years
126%
3 Years
82%
1 Year
97%
Down Market Capture
84%
10 Years
83%
5 Years
69%
3 Years
63%
1 Year
141%
Tracking Error
2.62%
10 Years
2.47%
5 Years
3.25%
3 Years
3.40%
1 Year
2.02%
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
-2.78%
Average Winning Trade Duration
26 days
Average Losing Trade Duration
24 days
Winning Trades
61.85%
Positive Days
61.69%
Annual Turnover Ratio
4%
Maximum Return
8.75%
13.29%
Minimum Return
-17.48%
-8.90%
Average Return
0.49%
0.94%
Median Return
0.52%
0.78%
Average Return Best
8.08%
Average Return Worst
-2.23%
Best Positive Returns
100.00%
Worst Positive Returns
0.00%
Average Return Deflation
2.37%
Average Return Inflation
0.88%
Average Return Inflation 3%
1.03%
Average Return Inflation 6%
-0.23%
Positive Returns Deflation
58.33%
Positive Returns Inflation
61.57%
Positive Returns Inflation 3%
62.11%
Positive Returns Inflation 6%
50.00%
Best Year
2021
Worst Year
2015
Correlation with Benchmark
0.60
Correlation with Benchmark Positive Returns
0.14
Correlation with Benchmark Negative Returns
-0.09
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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