Dow 30 Strategy

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.'

• Looking at the total return, or performance of 79.3% in the last 5 years of Dow 30 Strategy, we see it is relatively higher, thus better in comparison to the benchmark DIA (62.3%)
• Looking at total return, or increase in value in of 20.5% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to DIA (20.6%).

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 DIA (10.2%) in the period of the last 5 years, the annual performance (CAGR) of 12.4% of Dow 30 Strategy is higher, thus better.
• During the last 3 years, the annual performance (CAGR) is 6.4%, which is larger, thus better than the value of 6.4% 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 (20.6%) in the period of the last 5 years, the historical 30 days volatility of 8.6% of Dow 30 Strategy is smaller, thus better.
• During the last 3 years, the historical 30 days volatility is 6.7%, which is lower, thus better than the value of 14.6% 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% in the last 5 years of Dow 30 Strategy, we see it is relatively lower, thus better in comparison to the benchmark DIA (14.9%)
• Looking at downside volatility in of 4.6% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to DIA (10.3%).

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.'

• The risk / return profile (Sharpe) over 5 years of Dow 30 Strategy is 1.15, which is greater, thus better compared to the benchmark DIA (0.37) in the same period.
• Looking at ratio of return and volatility (Sharpe) in of 0.59 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to DIA (0.27).

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 (0.52) in the period of the last 5 years, the ratio of annual return and downside deviation of 1.65 of Dow 30 Strategy is greater, thus better.
• During the last 3 years, the excess return divided by the downside deviation is 0.84, which is greater, thus better than the value of 0.38 from the benchmark.

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 Downside risk index over 5 years of Dow 30 Strategy is 3 , which is lower, thus better compared to the benchmark DIA (7.69 ) in the same period.
• During the last 3 years, the Ulcer Index is 3.46 , which is lower, thus better than the value of 7.09 from the benchmark.

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 reduction from previous high of -10.9 days in the last 5 years of Dow 30 Strategy, we see it is relatively greater, thus better in comparison to the benchmark DIA (-36.7 days)
• Looking at maximum reduction from previous high in of -7.7 days in the period of the last 3 years, we see it is relatively larger, thus better in comparison to DIA (-20.8 days).

MaxDuration:

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• Compared with the benchmark DIA (477 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 424 days of Dow 30 Strategy is lower, thus better.
• Looking at maximum time in days below previous high water mark in of 424 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to DIA (477 days).

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.'

• The average days below previous high over 5 years of Dow 30 Strategy is 92 days, which is lower, thus better compared to the benchmark DIA (122 days) in the same period.
• Compared with DIA (168 days) in the period of the last 3 years, the average days below previous high of 135 days is smaller, thus better.