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.'

• The total return, or increase in value over 5 years of Dow 30 Strategy is 67.4%, which is greater, thus better compared to the benchmark DIA (65.1%) in the same period.
• Compared with DIA (59.8%) in the period of the last 3 years, the total return of 59.8% is higher, thus better.

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.'

• The annual performance (CAGR) over 5 years of Dow 30 Strategy is 10.9%, which is higher, thus better compared to the benchmark DIA (10.6%) in the same period.
• Looking at annual performance (CAGR) in of 17% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to DIA (17%).

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

• The volatility over 5 years of Dow 30 Strategy is 8.4%, which is lower, thus better compared to the benchmark DIA (14.8%) in the same period.
• Looking at historical 30 days volatility in of 9.1% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to DIA (13.5%).

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 deviation over 5 years of Dow 30 Strategy is 5.7%, which is lower, thus better compared to the benchmark DIA (10.2%) in the same period.
• During the last 3 years, the downside volatility is 6.1%, which is smaller, thus better than the value of 9% from the benchmark.

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

• Compared with the benchmark DIA (0.55) in the period of the last 5 years, the risk / return profile (Sharpe) of 1.01 of Dow 30 Strategy is higher, thus better.
• During the last 3 years, the ratio of return and volatility (Sharpe) is 1.59, which is higher, thus better than the value of 1.07 from the benchmark.

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 (0.8) in the period of the last 5 years, the downside risk / excess return profile of 1.48 of Dow 30 Strategy is higher, thus better.
• Looking at downside risk / excess return profile in of 2.37 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to DIA (1.61).

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.'

• Compared with the benchmark DIA (6.01 ) in the period of the last 5 years, the Ulcer Index of 3.03 of Dow 30 Strategy is lower, thus better.
• During the last 3 years, the Ulcer Ratio is 1.91 , which is lower, thus better than the value of 3.52 from the benchmark.

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 reduction from previous high of -7.7 days in the last 5 years of Dow 30 Strategy, we see it is relatively greater, thus better in comparison to the benchmark DIA (-20.8 days)
• During the last 3 years, the maximum reduction from previous high is -7.2 days, which is higher, thus better than the value of -16 days from the benchmark.

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.'

• Looking at the maximum days under water of 424 days in the last 5 years of Dow 30 Strategy, we see it is relatively lower, thus better in comparison to the benchmark DIA (477 days)
• Looking at maximum days below previous high in of 101 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to DIA (142 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 under water over 5 years of Dow 30 Strategy is 94 days, which is lower, thus better compared to the benchmark DIA (117 days) in the same period.
• During the last 3 years, the average time in days below previous high water mark is 22 days, which is lower, thus better than the value of 29 days from the benchmark.