Dow 30 Strategy

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

• Compared with the benchmark DIA (66%) in the period of the last 5 years, the total return of 82.1% of Dow 30 Strategy is greater, thus better.
• Compared with DIA (18.8%) in the period of the last 3 years, the total return of 17.6% is lower, thus worse.

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

• Compared with the benchmark DIA (10.7%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 12.8% of Dow 30 Strategy is larger, thus better.
• During the last 3 years, the compounded annual growth rate (CAGR) is 5.6%, which is lower, thus worse than the value of 5.9% from the benchmark.

Volatility:

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

• The 30 days standard deviation over 5 years of Dow 30 Strategy is 8.6%, which is lower, thus better compared to the benchmark DIA (20.7%) in the same period.
• During the last 3 years, the 30 days standard deviation is 6.7%, which is lower, thus better than the value of 14.7% from the benchmark.

DownVol:

'Risk measures typically quantify the downside risk, whereas the standard deviation (an example of a deviation risk measure) measures both the upside and downside risk. Specifically, downside risk in our definition is the semi-deviation, that is the standard deviation of all negative returns.'

• Compared with the benchmark DIA (14.9%) in the period of the last 5 years, the downside deviation of 6% of Dow 30 Strategy is smaller, thus better.
• Looking at downside volatility in of 4.7% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to DIA (10.4%).

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

• Compared with the benchmark DIA (0.4) in the period of the last 5 years, the Sharpe Ratio of 1.19 of Dow 30 Strategy is higher, thus better.
• Looking at Sharpe Ratio in of 0.46 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to DIA (0.23).

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

• The excess return divided by the downside deviation over 5 years of Dow 30 Strategy is 1.71, which is larger, thus better compared to the benchmark DIA (0.55) in the same period.
• During the last 3 years, the excess return divided by the downside deviation is 0.66, which is higher, thus better than the value of 0.33 from the benchmark.

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

• Compared with the benchmark DIA (7.68 ) in the period of the last 5 years, the Downside risk index of 3 of Dow 30 Strategy is lower, thus better.
• During the last 3 years, the Downside risk index is 3.48 , which is smaller, thus better than the value of 7.08 from the benchmark.

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

• Compared with the benchmark DIA (-36.7 days) in the period of the last 5 years, the maximum reduction from previous high of -10.9 days of Dow 30 Strategy is higher, thus better.
• Compared with DIA (-20.8 days) in the period of the last 3 years, the maximum reduction from previous high of -7.7 days is greater, thus better.

MaxDuration:

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. The Max Drawdown Duration is the worst (the maximum/longest) amount of time an investment has seen between peaks (equity highs). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• Compared with the benchmark DIA (477 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 424 days of Dow 30 Strategy is lower, thus better.
• Looking at maximum days below previous high in of 424 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to DIA (477 days).

AveDuration:

'The Average Drawdown Duration is an extension of the Maximum Drawdown. However, this metric does not explain the drawdown in dollars or percentages, rather in days, weeks, or months. The Avg Drawdown Duration is the average amount of time an investment has seen between peaks (equity highs), or in other terms the average of time under water of all drawdowns. So in contrast to the Maximum duration it does not measure only one drawdown event but calculates the average of all.'

• The average days below previous high over 5 years of Dow 30 Strategy is 92 days, which is lower, thus better compared to the benchmark DIA (123 days) in the same period.
• Looking at average days below previous high in of 135 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to DIA (168 days).