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.'

• The total return, or increase in value over 5 years of Dow 30 Strategy is 81.9%, which is smaller, thus worse compared to the benchmark DIA (88.6%) in the same period.
• Compared with DIA (32%) in the period of the last 3 years, the total return of 24.9% is smaller, thus worse.

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.'

• Looking at the compounded annual growth rate (CAGR) of 12.8% in the last 5 years of Dow 30 Strategy, we see it is relatively lower, thus worse in comparison to the benchmark DIA (13.6%)
• During the last 3 years, the annual performance (CAGR) is 7.7%, which is lower, thus worse than the value of 9.8% from the benchmark.

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 7.7%, which is lower, thus better compared to the benchmark DIA (15.9%) in the same period.
• Compared with DIA (15.5%) in the period of the last 3 years, the 30 days standard deviation of 7.3% is lower, thus better.

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.'

• Compared with the benchmark DIA (11.1%) in the period of the last 5 years, the downside deviation of 5.3% of Dow 30 Strategy is smaller, thus better.
• During the last 3 years, the downside risk is 5.2%, which is smaller, thus better than the value of 10.6% from the benchmark.

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.'

• Compared with the benchmark DIA (0.7) in the period of the last 5 years, the Sharpe Ratio of 1.33 of Dow 30 Strategy is larger, thus better.
• Compared with DIA (0.47) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.72 is larger, thus better.

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.'

• Looking at the excess return divided by the downside deviation of 1.92 in the last 5 years of Dow 30 Strategy, we see it is relatively greater, thus better in comparison to the benchmark DIA (1)
• Looking at excess return divided by the downside deviation in of 1.01 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to DIA (0.69).

Ulcer:

'The Ulcer Index is a technical indicator that measures downside risk, in terms of both the depth and duration of price declines. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. The indicator is usually calculated over a 14-day period, with the Ulcer Index showing the percentage drawdown a trader can expect from the high over that period. The greater the value of the Ulcer Index, the longer it takes for a stock to get back to the former high.'

• The Downside risk index over 5 years of Dow 30 Strategy is 2.87 , which is lower, thus better compared to the benchmark DIA (5.99 ) in the same period.
• Compared with DIA (4.45 ) in the period of the last 3 years, the Downside risk index of 3.35 is lower, thus better.

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.'

• Compared with the benchmark DIA (-20.8 days) in the period of the last 5 years, the maximum drop from peak to valley of -7.7 days of Dow 30 Strategy is larger, thus better.
• During the last 3 years, the maximum reduction from previous high is -7.5 days, which is larger, thus better than the value of -16 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.'

• Compared with the benchmark DIA (477 days) in the period of the last 5 years, the maximum days under water of 424 days of Dow 30 Strategy is lower, thus better.
• Compared with DIA (134 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 267 days is larger, 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.'

• Compared with the benchmark DIA (113 days) in the period of the last 5 years, the average time in days below previous high water mark of 92 days of Dow 30 Strategy is smaller, thus better.
• Looking at average days under water in of 71 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to DIA (35 days).