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.'

• The total return over 5 years of SPDR Dow Jones Industrial Average ETF is 129.2%, which is lower, thus worse compared to the benchmark SPY (154.3%) in the same period.
• Compared with SPY (32.9%) in the period of the last 3 years, the total return, or performance of 27.7% is lower, thus worse.

CAGR:

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

• The annual return (CAGR) over 5 years of SPDR Dow Jones Industrial Average ETF is 18.1%, which is lower, thus worse compared to the benchmark SPY (20.6%) in the same period.
• Compared with SPY (10%) in the period of the last 3 years, the annual return (CAGR) of 8.6% is lower, 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 17.3% in the last 5 years of SPDR Dow Jones Industrial Average ETF, we see it is relatively smaller, thus better in comparison to the benchmark SPY (18.4%)
• Looking at 30 days standard deviation in of 14.4% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (17%).

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 (12.4%) in the period of the last 5 years, the downside risk of 11.3% of SPDR Dow Jones Industrial Average ETF is lower, thus better.
• Looking at downside risk in of 10.1% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (12%).

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 Sharpe Ratio over 5 years of SPDR Dow Jones Industrial Average ETF is 0.9, which is lower, thus worse compared to the benchmark SPY (0.99) in the same period.
• Compared with SPY (0.44) in the period of the last 3 years, the Sharpe Ratio of 0.42 is lower, thus worse.

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 1.38 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 (1.46)
• Looking at excess return divided by the downside deviation in of 0.6 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.62).

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

• The Ulcer Ratio over 5 years of SPDR Dow Jones Industrial Average ETF is 5.79 , which is lower, thus better compared to the benchmark SPY (8.29 ) in the same period.
• Compared with SPY (8.63 ) in the period of the last 3 years, the Ulcer Ratio of 5.18 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.'

• Looking at the maximum DrawDown of -20.8 days in the last 5 years of SPDR Dow Jones Industrial Average ETF, we see it is relatively larger, thus better in comparison to the benchmark SPY (-24.5 days)
• Looking at maximum drop from peak to valley in of -17.8 days in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (-22.1 days).

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.'

• Looking at the maximum days below previous high of 477 days in the last 5 years of SPDR Dow Jones Industrial Average ETF, we see it is relatively smaller, thus better in comparison to the benchmark SPY (488 days)
• Compared with SPY (325 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 323 days is smaller, thus better.

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.'

• Looking at the average days below previous high of 112 days in the last 5 years of SPDR Dow Jones Industrial Average ETF, we see it is relatively smaller, thus better in comparison to the benchmark SPY (119 days)
• Looking at average time in days below previous high water mark in of 90 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to SPY (89 days).