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 (111.6%) in the period of the last 5 years, the total return, or performance of 94.4% of Dow 30 Strategy is lower, thus worse.
• Looking at total return, or performance in of 40.5% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to DIA (46.5%).

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 14.2%, which is smaller, thus worse compared to the benchmark DIA (16.2%) in the same period.
• During the last 3 years, the annual performance (CAGR) is 12%, which is lower, thus worse than the value of 13.6% 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 (19.9%) in the period of the last 5 years, the volatility of 8.3% of Dow 30 Strategy is lower, thus better.
• Looking at volatility in of 9.3% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to DIA (24%).

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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 volatility over 5 years of Dow 30 Strategy is 5.8%, which is lower, thus better compared to the benchmark DIA (14.4%) in the same period.
• During the last 3 years, the downside deviation is 6.5%, which is lower, thus better than the value of 17.4% 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 (0.69) in the period of the last 5 years, the risk / return profile (Sharpe) of 1.42 of Dow 30 Strategy is greater, thus better.
• Compared with DIA (0.46) in the period of the last 3 years, the Sharpe Ratio of 1.02 is greater, thus better.

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 (0.95) in the period of the last 5 years, the excess return divided by the downside deviation of 2.03 of Dow 30 Strategy is higher, thus better.
• Looking at ratio of annual return and downside deviation in of 1.47 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to DIA (0.64).

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.'

• Looking at the Downside risk index of 1.8 in the last 5 years of Dow 30 Strategy, we see it is relatively smaller, thus better in comparison to the benchmark DIA (6.28 )
• Compared with DIA (7.56 ) in the period of the last 3 years, the Downside risk index of 1.99 is smaller, 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.'

• Compared with the benchmark DIA (-36.7 days) in the period of the last 5 years, the maximum reduction from previous high of -13.6 days of Dow 30 Strategy is greater, thus better.
• During the last 3 years, the maximum reduction from previous high is -13.6 days, which is higher, thus better than the value of -36.7 days from the benchmark.

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 125 days, which is lower, thus better compared to the benchmark DIA (187 days) in the same period.
• Looking at maximum days under water in of 73 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to DIA (187 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 time in days below previous high water mark over 5 years of Dow 30 Strategy is 21 days, which is lower, thus better compared to the benchmark DIA (46 days) in the same period.
• Compared with DIA (48 days) in the period of the last 3 years, the average time in days below previous high water mark of 17 days is smaller, thus better.