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 over 5 years of Dow 30 Strategy is 83%, which is larger, thus better compared to the benchmark DIA (77.2%) in the same period.
• Compared with DIA (36.5%) in the period of the last 3 years, the total return of 24.3% 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.'

• Compared with the benchmark DIA (12.2%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 12.9% of Dow 30 Strategy is larger, thus better.
• Compared with DIA (11%) in the period of the last 3 years, the annual return (CAGR) of 7.6% is lower, thus worse.

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 historical 30 days volatility over 5 years of Dow 30 Strategy is 7.7%, which is lower, thus better compared to the benchmark DIA (15.7%) in the same period.
• Compared with DIA (15.3%) in the period of the last 3 years, the historical 30 days volatility 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 (11%) in the period of the last 5 years, the downside volatility of 5.3% of Dow 30 Strategy is lower, thus better.
• Compared with DIA (10.4%) in the period of the last 3 years, the downside volatility of 5.2% is smaller, thus better.

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 (0.61) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 1.34 of Dow 30 Strategy is higher, thus better.
• Compared with DIA (0.56) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.69 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.'

• The excess return divided by the downside deviation over 5 years of Dow 30 Strategy is 1.95, which is higher, thus better compared to the benchmark DIA (0.88) in the same period.
• Compared with DIA (0.82) in the period of the last 3 years, the downside risk / excess return profile of 0.98 is higher, thus better.

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 Ulcer Ratio over 5 years of Dow 30 Strategy is 2.87 , which is lower, thus better compared to the benchmark DIA (6.03 ) in the same period.
• Compared with DIA (4.52 ) in the period of the last 3 years, the Ulcer Ratio of 3.24 is lower, 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 (-20.8 days) in the period of the last 5 years, the maximum reduction from previous high of -7.7 days of Dow 30 Strategy is higher, thus better.
• Compared with DIA (-16 days) in the period of the last 3 years, the maximum reduction from previous high of -7.5 days is greater, thus better.

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 time in days below previous high water mark of 424 days of Dow 30 Strategy is smaller, thus better.
• Looking at maximum days below previous high in of 267 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to DIA (134 days).

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 (115 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 lower, thus better.
• Looking at average days under water in of 69 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to DIA (38 days).