Dow 30 Strategy

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.'

• Compared with the benchmark DIA (48%) in the period of the last 5 years, the total return of 78.7% of Dow 30 Strategy is greater, thus better.
• During the last 3 years, the total return is 56.8%, which is lower, thus worse than the value of 76.6% from the benchmark.

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 DIA (8.2%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 12.3% of Dow 30 Strategy is larger, thus better.
• During the last 3 years, the annual return (CAGR) is 16.2%, which is smaller, thus worse than the value of 20.9% from the benchmark.

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.'

• Compared with the benchmark DIA (21.5%) in the period of the last 5 years, the volatility of 9% of Dow 30 Strategy is lower, thus better.
• During the last 3 years, the historical 30 days volatility is 8.5%, which is lower, thus better than the value of 20.2% from the benchmark.

DownVol:

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

• Looking at the downside volatility of 6.3% in the last 5 years of Dow 30 Strategy, we see it is relatively lower, thus better in comparison to the benchmark DIA (15.5%)
• Looking at downside volatility in of 5.6% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to DIA (13%).

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.'

• Compared with the benchmark DIA (0.26) in the period of the last 5 years, the Sharpe Ratio of 1.09 of Dow 30 Strategy is larger, thus better.
• Looking at Sharpe Ratio in of 1.6 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to DIA (0.91).

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.'

• The downside risk / excess return profile over 5 years of Dow 30 Strategy is 1.57, which is greater, thus better compared to the benchmark DIA (0.37) in the same period.
• Compared with DIA (1.41) in the period of the last 3 years, the downside risk / excess return profile of 2.45 is higher, thus better.

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.'

• Compared with the benchmark DIA (7.78 ) in the period of the last 5 years, the Ulcer Index of 2.22 of Dow 30 Strategy is smaller, thus better.
• Compared with DIA (6.84 ) in the period of the last 3 years, the Downside risk index of 2.19 is lower, thus better.

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.'

• Looking at the maximum DrawDown of -10.9 days in the last 5 years of Dow 30 Strategy, we see it is relatively larger, thus better in comparison to the benchmark DIA (-36.7 days)
• Compared with DIA (-20.8 days) in the period of the last 3 years, the maximum drop from peak to valley of -7 days is larger, 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 under water over 5 years of Dow 30 Strategy is 233 days, which is smaller, thus better compared to the benchmark DIA (304 days) in the same period.
• Compared with DIA (304 days) in the period of the last 3 years, the maximum days under water of 233 days is lower, thus better.

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 Dow 30 Strategy is 43 days, which is lower, thus better compared to the benchmark DIA (71 days) in the same period.
• Compared with DIA (76 days) in the period of the last 3 years, the average days below previous high of 51 days is smaller, thus better.