Dow (DOW)

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.'

• The total return over 5 years of Dow is %, which is lower, thus worse compared to the benchmark SPY (60.7%) in the same period.
• Looking at total return, or increase in value in of 6.9% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (29.5%).

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.'

• Compared with the benchmark SPY (10%) in the period of the last 5 years, the annual performance (CAGR) of % of Dow is smaller, thus worse.
• Looking at annual performance (CAGR) in of 2.3% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (9%).

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.'

• The volatility over 5 years of Dow is %, which is lower, thus better compared to the benchmark SPY (20.8%) in the same period.
• Compared with SPY (24%) in the period of the last 3 years, the volatility of 42.7% is larger, thus worse.

DownVol:

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

• The downside deviation over 5 years of Dow is %, which is smaller, thus better compared to the benchmark SPY (15.3%) in the same period.
• During the last 3 years, the downside deviation is 30.6%, which is greater, thus worse than the value of 17.6% 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.'

• Looking at the Sharpe Ratio of in the last 5 years of Dow, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.36)
• During the last 3 years, the ratio of return and volatility (Sharpe) is -0.01, which is smaller, thus worse than the value of 0.27 from the benchmark.

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

• Compared with the benchmark SPY (0.49) in the period of the last 5 years, the ratio of annual return and downside deviation of of Dow is lower, thus worse.
• During the last 3 years, the downside risk / excess return profile is -0.01, which is lower, thus worse than the value of 0.37 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.'

• Compared with the benchmark SPY (7.52 ) in the period of the last 5 years, the Downside risk index of of Dow is lower, thus better.
• Compared with SPY (8.81 ) in the period of the last 3 years, the Ulcer Index of 18 is larger, thus worse.

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 days in the last 5 years of Dow, we see it is relatively higher, thus better in comparison to the benchmark SPY (-33.7 days)
• Looking at maximum DrawDown in of -59.5 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to SPY (-33.7 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.'

• Compared with the benchmark SPY (182 days) in the period of the last 5 years, the maximum days below previous high of days of Dow is lower, thus better.
• Compared with SPY (182 days) in the period of the last 3 years, the maximum days under water of 252 days is higher, thus worse.

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 under water of days in the last 5 years of Dow, we see it is relatively smaller, thus better in comparison to the benchmark SPY (45 days)
• During the last 3 years, the average time in days below previous high water mark is 88 days, which is larger, thus worse than the value of 43 days from the benchmark.