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.'

• Looking at the total return, or performance of 66.1% 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 (78.4%)
• Looking at total return, or increase in value in of 28.9% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (44.1%).

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.'

• Looking at the compounded annual growth rate (CAGR) of 10.7% 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 (12.3%)
• Compared with SPY (12.9%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 8.8% is lower, thus worse.

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• Looking at the 30 days standard deviation of 20.6% in the last 5 years of SPDR Dow Jones Industrial Average ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (19.9%)
• Looking at volatility in of 23.9% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (23.1%).

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.'

• Looking at the downside deviation of 15.1% in the last 5 years of SPDR Dow Jones Industrial Average ETF, we see it is relatively higher, thus worse in comparison to the benchmark SPY (14.6%)
• Compared with SPY (16.9%) in the period of the last 3 years, the downside deviation of 17.5% is greater, thus worse.

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.'

• The risk / return profile (Sharpe) over 5 years of SPDR Dow Jones Industrial Average ETF is 0.4, which is lower, thus worse compared to the benchmark SPY (0.49) in the same period.
• During the last 3 years, the risk / return profile (Sharpe) is 0.26, which is lower, thus worse than the value of 0.45 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.'

• Looking at the excess return divided by the downside deviation of 0.54 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 (0.67)
• During the last 3 years, the ratio of annual return and downside deviation is 0.36, which is smaller, thus worse than the value of 0.62 from the benchmark.

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.'

• Looking at the Ulcer Index of 6.61 in the last 5 years of SPDR Dow Jones Industrial Average ETF, we see it is relatively greater, thus worse in comparison to the benchmark SPY (6.16 )
• During the last 3 years, the Downside risk index is 7.47 , which is higher, thus worse than the value of 6.87 from the benchmark.

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 reduction from previous high over 5 years of SPDR Dow Jones Industrial Average ETF is -36.7 days, which is smaller, thus worse compared to the benchmark SPY (-33.7 days) in the same period.
• Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum reduction from previous high of -36.7 days is lower, thus worse.

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) in days.'

• Compared with the benchmark SPY (139 days) in the period of the last 5 years, the maximum days below previous high of 187 days of SPDR Dow Jones Industrial Average ETF is higher, thus worse.
• Compared with SPY (119 days) in the period of the last 3 years, the maximum days under water of 187 days is greater, thus worse.

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.'

• The average days below previous high over 5 years of SPDR Dow Jones Industrial Average ETF is 47 days, which is larger, thus worse compared to the benchmark SPY (35 days) in the same period.
• Looking at average time in days below previous high water mark in of 43 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (27 days).