Dow 30 Strategy

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 67.7% in the last 5 years of Dow 30 Strategy, we see it is relatively smaller, thus worse in comparison to the benchmark DIA (75.2%)
• Compared with DIA (51.9%) in the period of the last 3 years, the total return, or performance of 39.1% is lower, thus worse.

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 annual return (CAGR) of 10.9% in the last 5 years of Dow 30 Strategy, we see it is relatively lower, thus worse in comparison to the benchmark DIA (11.9%)
• During the last 3 years, the annual performance (CAGR) is 11.7%, which is lower, thus worse than the value of 15% from the benchmark.

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.'

• The 30 days standard deviation over 5 years of Dow 30 Strategy is 7.4%, which is smaller, thus better compared to the benchmark DIA (14.7%) in the same period.
• Looking at historical 30 days volatility in of 7.6% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to DIA (13.3%).

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.'

• The downside risk over 5 years of Dow 30 Strategy is 5.1%, which is smaller, thus better compared to the benchmark DIA (10.1%) in the same period.
• Looking at downside risk in of 5.3% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to DIA (8.9%).

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 1.14 in the last 5 years of Dow 30 Strategy, we see it is relatively greater, thus better in comparison to the benchmark DIA (0.64)
• Compared with DIA (0.94) in the period of the last 3 years, the Sharpe Ratio of 1.21 is larger, thus better.

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 DIA (0.93) in the period of the last 5 years, the downside risk / excess return profile of 1.66 of Dow 30 Strategy is greater, thus better.
• During the last 3 years, the downside risk / excess return profile is 1.75, which is greater, thus better than the value of 1.4 from the benchmark.

Ulcer:

'The Ulcer Index is a technical indicator that measures downside risk, in terms of both the depth and duration of price declines. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. The indicator is usually calculated over a 14-day period, with the Ulcer Index showing the percentage drawdown a trader can expect from the high over that period. The greater the value of the Ulcer Index, the longer it takes for a stock to get back to the former high.'

• The Downside risk index over 5 years of Dow 30 Strategy is 2.88 , which is lower, thus better compared to the benchmark DIA (5.93 ) in the same period.
• Looking at Downside risk index in of 3.03 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to DIA (3.43 ).

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.'

• Compared with the benchmark DIA (-20.8 days) in the period of the last 5 years, the maximum drop from peak to valley of -7.7 days of Dow 30 Strategy is higher, thus better.
• Compared with DIA (-16 days) in the period of the last 3 years, the maximum drop from peak to valley of -7.4 days is greater, 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.'

• Looking at the maximum time in days below previous high water mark of 424 days in the last 5 years of Dow 30 Strategy, we see it is relatively smaller, thus better in comparison to the benchmark DIA (477 days)
• Compared with DIA (142 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 236 days is higher, 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 time in days below previous high water mark over 5 years of Dow 30 Strategy is 93 days, which is lower, thus better compared to the benchmark DIA (116 days) in the same period.
• Looking at average time in days below previous high water mark in of 57 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to DIA (33 days).