Dow 30 Strategy

TotalReturn:

'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

• Compared with the benchmark DIA (89.9%) in the period of the last 5 years, the total return, or increase in value of 75.9% of Dow 30 Strategy is lower, thus worse.
• Looking at total return in of 27% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to DIA (52.2%).

CAGR:

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

• Compared with the benchmark DIA (13.7%) in the period of the last 5 years, the annual return (CAGR) of 12% of Dow 30 Strategy is smaller, thus worse.
• Looking at compounded annual growth rate (CAGR) in of 8.3% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to DIA (15.1%).

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

• Compared with the benchmark DIA (15.2%) in the period of the last 5 years, the historical 30 days volatility of 7.6% of Dow 30 Strategy is smaller, thus better.
• Looking at historical 30 days volatility in of 7.3% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to DIA (14.9%).

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• Looking at the downside volatility of 5.3% in the last 5 years of Dow 30 Strategy, we see it is relatively lower, thus better in comparison to the benchmark DIA (10.5%)
• During the last 3 years, the downside deviation is 5.1%, which is smaller, thus better than the value of 9.9% from the benchmark.

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

• Looking at the risk / return profile (Sharpe) of 1.25 in the last 5 years of Dow 30 Strategy, we see it is relatively higher, thus better in comparison to the benchmark DIA (0.74)
• Compared with DIA (0.84) in the period of the last 3 years, the Sharpe Ratio of 0.8 is lower, thus worse.

Sortino:

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

• The ratio of annual return and downside deviation over 5 years of Dow 30 Strategy is 1.8, which is larger, thus better compared to the benchmark DIA (1.07) in the same period.
• Compared with DIA (1.27) in the period of the last 3 years, the ratio of annual return and downside deviation of 1.14 is lower, thus worse.

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.'

• The Ulcer Index over 5 years of Dow 30 Strategy is 2.88 , which is lower, thus better compared to the benchmark DIA (5.98 ) in the same period.
• During the last 3 years, the Ulcer Ratio is 3.12 , which is smaller, thus better than the value of 4.36 from the benchmark.

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

• The maximum reduction from previous high over 5 years of Dow 30 Strategy is -7.7 days, which is higher, thus better compared to the benchmark DIA (-20.8 days) in the same period.
• Looking at maximum reduction from previous high in of -7.5 days in the period of the last 3 years, we see it is relatively greater, thus better in comparison to DIA (-16 days).

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'

• The maximum days below previous high over 5 years of Dow 30 Strategy is 424 days, which is lower, thus better compared to the benchmark DIA (477 days) in the same period.
• Looking at maximum days below previous high in of 267 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to DIA (142 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.'

• Compared with the benchmark DIA (117 days) in the period of the last 5 years, the average time in days below previous high water mark of 93 days of Dow 30 Strategy is smaller, thus better.
• During the last 3 years, the average time in days below previous high water mark is 68 days, which is larger, thus worse than the value of 41 days from the benchmark.