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.'

• The total return over 5 years of Dow 30 Strategy is 66.5%, which is lower, thus worse compared to the benchmark DIA (71.9%) in the same period.
• Looking at total return, or increase in value in of 42% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to DIA (54.9%).

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

• The annual performance (CAGR) over 5 years of Dow 30 Strategy is 10.8%, which is lower, thus worse compared to the benchmark DIA (11.5%) in the same period.
• Compared with DIA (15.8%) in the period of the last 3 years, the annual performance (CAGR) of 12.5% is smaller, thus worse.

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.'

• Looking at the historical 30 days volatility of 7.4% in the last 5 years of Dow 30 Strategy, we see it is relatively lower, thus better in comparison to the benchmark DIA (14.7%)
• Looking at 30 days standard deviation in of 7.6% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to DIA (13.3%).

DownVol:

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

• The downside deviation over 5 years of Dow 30 Strategy is 5.1%, which is lower, thus better compared to the benchmark DIA (10.1%) in the same period.
• Looking at downside volatility in of 5.2% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to DIA (8.9%).

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.'

• The risk / return profile (Sharpe) over 5 years of Dow 30 Strategy is 1.11, which is greater, thus better compared to the benchmark DIA (0.61) in the same period.
• Looking at risk / return profile (Sharpe) in of 1.31 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to DIA (1).

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.'

• Looking at the downside risk / excess return profile of 1.62 in the last 5 years of Dow 30 Strategy, we see it is relatively larger, thus better in comparison to the benchmark DIA (0.89)
• During the last 3 years, the downside risk / excess return profile is 1.91, which is greater, thus better than the value of 1.49 from the benchmark.

Ulcer:

'The Ulcer Index is a technical indicator that measures downside risk, in terms of both the depth and duration of price declines. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. The indicator is usually calculated over a 14-day period, with the Ulcer Index showing the percentage drawdown a trader can expect from the high over that period. The greater the value of the Ulcer Index, the longer it takes for a stock to get back to the former high.'

• Looking at the Downside risk index of 2.88 in the last 5 years of Dow 30 Strategy, we see it is relatively lower, thus better in comparison to the benchmark DIA (5.93 )
• Compared with DIA (3.42 ) in the period of the last 3 years, the Ulcer Ratio of 2.78 is lower, thus better.

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.'

• Compared with the benchmark DIA (-20.8 days) in the period of the last 5 years, the maximum drop from peak to valley of -7.7 days of Dow 30 Strategy is higher, thus better.
• During the last 3 years, the maximum drop from peak to valley is -6.8 days, which is greater, thus better than the value of -16 days from the benchmark.

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.
• During the last 3 years, the maximum days under water is 225 days, which is higher, thus worse than the value of 142 days from the benchmark.

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 (116 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 lower, thus better.
• During the last 3 years, the average days below previous high is 54 days, which is larger, thus worse than the value of 28 days from the benchmark.