SPDR Dow Jones Industrial Average ETF (DIA)

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• Compared with the benchmark SPY (62.7%) in the period of the last 5 years, the total return of 48.2% of SPDR Dow Jones Industrial Average ETF is lower, thus worse.
• Looking at total return, or increase in value in of 21% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (34.7%).

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.'

• Compared with the benchmark SPY (10.2%) in the period of the last 5 years, the annual performance (CAGR) of 8.2% of SPDR Dow Jones Industrial Average ETF is lower, thus worse.
• Compared with SPY (10.5%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 6.6% is smaller, thus worse.

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 volatility over 5 years of SPDR Dow Jones Industrial Average ETF is 21.3%, which is greater, thus worse compared to the benchmark SPY (20.9%) in the same period.
• Looking at historical 30 days volatility in of 24.5% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (24.1%).

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 SPY (15.3%) in the period of the last 5 years, the downside deviation of 15.6% of SPDR Dow Jones Industrial Average ETF is greater, thus worse.
• During the last 3 years, the downside risk is 17.9%, which is greater, thus worse than the value of 17.6% from the benchmark.

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.'

• Looking at the risk / return profile (Sharpe) of 0.27 in the last 5 years of SPDR Dow Jones Industrial Average ETF, we see it is relatively smaller, thus worse in comparison to the benchmark SPY (0.37)
• During the last 3 years, the risk / return profile (Sharpe) is 0.17, which is lower, thus worse than the value of 0.33 from the benchmark.

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.'

• Compared with the benchmark SPY (0.51) in the period of the last 5 years, the downside risk / excess return profile of 0.37 of SPDR Dow Jones Industrial Average ETF is lower, thus worse.
• Compared with SPY (0.45) in the period of the last 3 years, the downside risk / excess return profile of 0.23 is lower, thus worse.

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 Ulcer Index of 7.54 in the last 5 years of SPDR Dow Jones Industrial Average ETF, we see it is relatively lower, thus better in comparison to the benchmark SPY (7.71 )
• Looking at Ulcer Index in of 8.77 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (9.08 ).

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 drop from peak to valley over 5 years of SPDR Dow Jones Industrial Average ETF is -36.7 days, which is lower, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• During the last 3 years, the maximum reduction from previous high is -36.7 days, which is smaller, thus worse than the value of -33.7 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 SPY (189 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 188 days of SPDR Dow Jones Industrial Average ETF is lower, thus better.
• Looking at maximum days under water in of 188 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (189 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 under water over 5 years of SPDR Dow Jones Industrial Average ETF is 58 days, which is higher, thus worse compared to the benchmark SPY (46 days) in the same period.
• During the last 3 years, the average days under water is 58 days, which is larger, thus worse than the value of 45 days from the benchmark.