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.'

• Compared with the benchmark DIA (87.9%) in the period of the last 5 years, the total return, or increase in value of 103.7% of Dow 30 Strategy is larger, thus better.
• During the last 3 years, the total return, or increase in value is 69.4%, which is greater, thus better than the value of 57.6% from the benchmark.

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

• Looking at the compounded annual growth rate (CAGR) of 15.3% in the last 5 years of Dow 30 Strategy, we see it is relatively higher, thus better in comparison to the benchmark DIA (13.5%)
• Compared with DIA (16.4%) in the period of the last 3 years, the annual performance (CAGR) of 19.2% is greater, thus better.

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.'

• Looking at the 30 days standard deviation of 6.4% in the last 5 years of Dow 30 Strategy, we see it is relatively smaller, thus better in comparison to the benchmark DIA (13.4%)
• Looking at historical 30 days volatility in of 6.3% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to DIA (13.2%).

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 7.1%, which is lower, thus better compared to the benchmark DIA (15.1%) in the same period.
• Looking at downside volatility in of 7.5% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to DIA (15.2%).

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.'

• Looking at the risk / return profile (Sharpe) of 2.01 in the last 5 years of Dow 30 Strategy, we see it is relatively larger, thus better in comparison to the benchmark DIA (0.82)
• During the last 3 years, the Sharpe Ratio is 2.64, which is greater, thus better than the value of 1.05 from the benchmark.

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 1.79, which is higher, thus better compared to the benchmark DIA (0.73) in the same period.
• Looking at downside risk / excess return profile in of 2.21 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to DIA (0.91).

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 Downside risk index over 5 years of Dow 30 Strategy is 1.32 , which is lower, thus better compared to the benchmark DIA (4.24 ) in the same period.
• During the last 3 years, the Downside risk index is 0.96 , which is lower, thus better than the value of 4.23 from the benchmark.

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 (-18.1 days) in the period of the last 5 years, the maximum drop from peak to valley of -6 days of Dow 30 Strategy is larger, thus better.
• During the last 3 years, the maximum reduction from previous high is -6 days, which is greater, thus better than the value of -18.1 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.'

• Looking at the maximum time in days below previous high water mark of 149 days in the last 5 years of Dow 30 Strategy, we see it is relatively lower, thus better in comparison to the benchmark DIA (227 days)
• Looking at maximum days below previous high in of 57 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to DIA (161 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 (55 days) in the period of the last 5 years, the average time in days below previous high water mark of 22 days of Dow 30 Strategy is lower, thus better.
• Compared with DIA (45 days) in the period of the last 3 years, the average days under water of 11 days is lower, thus better.