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, or performance of 84.2% in the last 5 years of Dow 30 Strategy, we see it is relatively higher, thus better in comparison to the benchmark DIA (73.7%)
• Compared with DIA (30.3%) in the period of the last 3 years, the total return of 22.3% is lower, thus worse.

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

• Compared with the benchmark DIA (11.7%) in the period of the last 5 years, the annual performance (CAGR) of 13% of Dow 30 Strategy is higher, thus better.
• Compared with DIA (9.2%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 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 historical 30 days volatility of 8.6% in the last 5 years of Dow 30 Strategy, we see it is relatively lower, thus better in comparison to the benchmark DIA (20.6%)
• During the last 3 years, the volatility is 6.9%, which is smaller, thus better than the value of 14.9% from the benchmark.

DownVol:

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

• The downside volatility over 5 years of Dow 30 Strategy is 6%, which is smaller, thus better compared to the benchmark DIA (14.8%) in the same period.
• Compared with DIA (10.3%) in the period of the last 3 years, the downside deviation of 4.8% is lower, thus better.

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.'

• The risk / return profile (Sharpe) over 5 years of Dow 30 Strategy is 1.22, which is larger, thus better compared to the benchmark DIA (0.45) in the same period.
• Looking at risk / return profile (Sharpe) in of 0.65 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to DIA (0.45).

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 DIA (0.62) in the period of the last 5 years, the downside risk / excess return profile of 1.77 of Dow 30 Strategy is greater, thus better.
• Looking at excess return divided by the downside deviation in of 0.93 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to DIA (0.65).

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 DIA (7.68 ) in the period of the last 5 years, the Ulcer Ratio of 2.96 of Dow 30 Strategy is smaller, thus better.
• During the last 3 years, the Downside risk index is 3.49 , which is smaller, thus better than the value of 7.08 from the benchmark.

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

• Compared with the benchmark DIA (-36.7 days) in the period of the last 5 years, the maximum reduction from previous high of -10.9 days of Dow 30 Strategy is larger, thus better.
• Compared with DIA (-20.8 days) in the period of the last 3 years, the maximum reduction from previous high of -7.7 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 days under water 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)
• During the last 3 years, the maximum time in days below previous high water mark is 424 days, which is lower, thus better than the value of 477 days from the benchmark.

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.'

• Compared with the benchmark DIA (122 days) in the period of the last 5 years, the average time in days below previous high water mark of 91 days of Dow 30 Strategy is lower, thus better.
• Compared with DIA (170 days) in the period of the last 3 years, the average time in days below previous high water mark of 136 days is lower, thus better.