SPDR Dow Jones Industrial Average ETF (DIA)

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 SPY (111.6%) in the period of the last 5 years, the total return, or increase in value of 87.4% of SPDR Dow Jones Industrial Average ETF is lower, thus worse.
• Looking at total return, or performance in of 50.4% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (68%).

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 (16.2%) in the period of the last 5 years, the annual performance (CAGR) of 13.4% of SPDR Dow Jones Industrial Average ETF is lower, thus worse.
• Looking at compounded annual growth rate (CAGR) in of 14.6% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (19%).

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.'

• Looking at the volatility of 15.2% 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 (17.5%)
• Compared with SPY (17.5%) in the period of the last 3 years, the volatility of 14.9% is smaller, thus better.

DownVol:

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

• Compared with the benchmark SPY (12.1%) in the period of the last 5 years, the downside deviation of 10.4% of SPDR Dow Jones Industrial Average ETF is lower, thus better.
• During the last 3 years, the downside deviation is 9.9%, which is smaller, thus better than the value of 11.5% 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.'

• The ratio of return and volatility (Sharpe) over 5 years of SPDR Dow Jones Industrial Average ETF is 0.72, which is lower, thus worse compared to the benchmark SPY (0.78) in the same period.
• Looking at Sharpe Ratio in of 0.81 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.94).

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

• Looking at the downside risk / excess return profile of 1.05 in the last 5 years of SPDR Dow Jones Industrial Average ETF, we see it is relatively lower, thus worse in comparison to the benchmark SPY (1.14)
• Compared with SPY (1.43) in the period of the last 3 years, the ratio of annual return and downside deviation of 1.22 is lower, thus worse.

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• Compared with the benchmark SPY (8.48 ) in the period of the last 5 years, the Downside risk index of 5.99 of SPDR Dow Jones Industrial Average ETF is lower, thus better.
• Compared with SPY (5.31 ) in the period of the last 3 years, the Downside risk index of 4.36 is lower, thus better.

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

• The maximum drop from peak to valley over 5 years of SPDR Dow Jones Industrial Average ETF is -20.8 days, which is higher, thus better compared to the benchmark SPY (-24.5 days) in the same period.
• Looking at maximum DrawDown in of -16 days in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (-18.8 days).

MaxDuration:

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• Compared with the benchmark SPY (488 days) in the period of the last 5 years, the maximum days below previous high of 477 days of SPDR Dow Jones Industrial Average ETF is lower, thus better.
• Looking at maximum days below previous high in of 142 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (199 days).

AveDuration:

'The Drawdown Duration is the length of any peak to peak period, or the time between new equity highs. 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.'

• Looking at the average days under water of 117 days 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 (120 days)
• Looking at average time in days below previous high water mark in of 41 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (47 days).