SPDR Dow Jones Industrial Average ETF (DIA)

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

• Looking at the total return of 116.3% 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 (141.1%)
• Looking at total return in of 28.2% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (30.2%).

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 (19.3%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 16.7% of SPDR Dow Jones Industrial Average ETF is smaller, thus worse.
• Compared with SPY (9.3%) in the period of the last 3 years, the annual performance (CAGR) of 8.7% is smaller, 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 15.8% 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 (17.3%)
• Compared with SPY (17%) in the period of the last 3 years, the volatility of 14.4% is lower, 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%) in the period of the last 5 years, the downside deviation of 10.7% of SPDR Dow Jones Industrial Average ETF is smaller, thus better.
• During the last 3 years, the downside risk is 10.1%, which is smaller, thus better than the value of 12% from the benchmark.

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• Compared with the benchmark SPY (0.97) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.9 of SPDR Dow Jones Industrial Average ETF is lower, thus worse.
• Looking at Sharpe Ratio in of 0.43 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (0.4).

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 (1.4) in the period of the last 5 years, the excess return divided by the downside deviation of 1.33 of SPDR Dow Jones Industrial Average ETF is smaller, thus worse.
• Looking at excess return divided by the downside deviation in of 0.61 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (0.56).

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 Ratio of 5.8 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 (8.31 )
• Compared with SPY (8.15 ) in the period of the last 3 years, the Ulcer Index of 5.06 is smaller, 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.'

• The maximum reduction from previous high over 5 years of SPDR Dow Jones Industrial Average ETF is -20.8 days, which is greater, thus better compared to the benchmark SPY (-24.5 days) in the same period.
• Compared with SPY (-21.3 days) in the period of the last 3 years, the maximum reduction from previous high of -17.5 days is higher, thus better.

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.'

• The maximum days below previous high over 5 years of SPDR Dow Jones Industrial Average ETF is 477 days, which is lower, thus better compared to the benchmark SPY (488 days) in the same period.
• Looking at maximum days below previous high in of 289 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (318 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 SPY (119 days) in the period of the last 5 years, the average time in days below previous high water mark of 112 days of SPDR Dow Jones Industrial Average ETF is lower, thus better.
• Compared with SPY (86 days) in the period of the last 3 years, the average days under water of 76 days is lower, thus better.