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
14.33%
10 Years
10.32%
5 Years
17.51%
3 Years
8.05%
1 Year
10.15%
Compounded Annual Inflation CAGR
2.65%
10 Years
3.06%
5 Years
4.52%
3 Years
3.42%
1 Year
1.99%
Cumulative Returns
1563.78%
10 Years
166.91%
5 Years
124.11%
3 Years
26.16%
1 Year
10.15%
Annual Volatility
12.15%
10 Years
12.56%
5 Years
13.25%
3 Years
10.60%
1 Year
10.42%
Sharpe
1.17
10 Years
0.79
5 Years
1.26
3 Years
0.65
1 Year
1.08
Alpha
8.58
10 Years
4.00
5 Years
11.64
3 Years
3.50
1 Year
2.57
Beta
0.82
10 Years
0.91
5 Years
0.80
3 Years
0.72
1 Year
0.86
Treynor
17.28%
10 Years
10.85%
5 Years
20.81%
3 Years
9.65%
1 Year
13.06%
Sterling
0.84%
10 Years
0.59%
5 Years
2.08%
3 Years
0.86%
1 Year
1.72%
Downside Annual Volatility
4.73%
10 Years
4.93%
5 Years
4.04%
3 Years
3.88%
1 Year
5.71%
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
2.01
5 Years
4.13
3 Years
1.78
1 Year
1.97
R²
35.27%
10 Years
42.03%
5 Years
29.01%
3 Years
35.43%
1 Year
43.57%
Up Market Capture
135%
10 Years
105%
5 Years
129%
3 Years
90%
1 Year
82%
Down Market Capture
81%
10 Years
79%
5 Years
62%
3 Years
74%
1 Year
74%
Tracking Error
2.61%
10 Years
2.46%
5 Years
3.19%
3 Years
2.43%
1 Year
2.11%
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
61.84%
Positive Days
62.10%
Annual Turnover Ratio
6%
Maximum Return
8.75%
13.29%
Minimum Return
-17.48%
-8.90%
Average Return
0.48%
0.95%
Median Return
0.52%
0.78%
Average Return Best
8.08%
Average Return Worst
-2.22%
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
-0.09
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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