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 performance over 5 years of Dow 30 Strategy is 75.5%, which is smaller, thus worse compared to the benchmark DIA (91.5%) in the same period.
• During the last 3 years, the total return, or performance is 25.1%, which is smaller, thus worse than the value of 47.1% from the benchmark.

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.'

• The compounded annual growth rate (CAGR) over 5 years of Dow 30 Strategy is 11.9%, which is smaller, thus worse compared to the benchmark DIA (13.9%) in the same period.
• Looking at annual return (CAGR) in of 7.8% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to DIA (13.8%).

Volatility:

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

• Compared with the benchmark DIA (15.2%) in the period of the last 5 years, the volatility of 7.6% of Dow 30 Strategy is smaller, thus better.
• Compared with DIA (14.9%) in the period of the last 3 years, the 30 days standard deviation of 7.3% is lower, thus better.

DownVol:

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

• Compared with the benchmark DIA (10.5%) in the period of the last 5 years, the downside deviation of 5.3% of Dow 30 Strategy is lower, thus better.
• Looking at downside risk in of 5.1% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to DIA (10%).

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 1.24, which is greater, thus better compared to the benchmark DIA (0.75) in the same period.
• Compared with DIA (0.76) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.73 is lower, thus worse.

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.'

• The downside risk / excess return profile over 5 years of Dow 30 Strategy is 1.79, which is higher, thus better compared to the benchmark DIA (1.09) in the same period.
• Looking at ratio of annual return and downside deviation in of 1.03 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to DIA (1.13).

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 (5.98 ) in the period of the last 5 years, the Ulcer Index of 2.88 of Dow 30 Strategy is lower, thus better.
• Looking at Ulcer Ratio in of 3.12 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to DIA (4.37 ).

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 (-20.8 days) in the period of the last 5 years, the maximum DrawDown of -7.7 days of Dow 30 Strategy is higher, thus better.
• Looking at maximum reduction from previous high in of -7.5 days in the period of the last 3 years, we see it is relatively higher, thus better in comparison to DIA (-16 days).

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.'

• Compared with the benchmark DIA (477 days) in the period of the last 5 years, the maximum days below previous high of 424 days of Dow 30 Strategy is smaller, thus better.
• Compared with DIA (139 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 267 days is higher, thus worse.

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 under water over 5 years of Dow 30 Strategy is 93 days, which is lower, thus better compared to the benchmark DIA (117 days) in the same period.
• Looking at average time in days below previous high water mark in of 67 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to DIA (40 days).