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 (62.3%) in the period of the last 5 years, the total return of 79.3% of Dow 30 Strategy is larger, thus better.
• Looking at total return, or increase in value in of 20.5% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to DIA (20.6%).

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 (10.2%) in the period of the last 5 years, the annual return (CAGR) of 12.4% of Dow 30 Strategy is larger, thus better.
• Compared with DIA (6.4%) in the period of the last 3 years, the annual return (CAGR) of 6.4% is higher, 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 historical 30 days volatility of 8.6% in the last 5 years of Dow 30 Strategy, we see it is relatively lower, thus better in comparison to the benchmark DIA (20.6%)
• Looking at volatility in of 6.7% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to DIA (14.6%).

DownVol:

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

• The downside risk over 5 years of Dow 30 Strategy is 6%, which is lower, thus better compared to the benchmark DIA (14.9%) in the same period.
• Looking at downside volatility in of 4.6% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to DIA (10.3%).

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.'

• Compared with the benchmark DIA (0.37) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 1.15 of Dow 30 Strategy is larger, thus better.
• Looking at risk / return profile (Sharpe) in of 0.59 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to DIA (0.27).

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

• Compared with the benchmark DIA (0.52) in the period of the last 5 years, the downside risk / excess return profile of 1.65 of Dow 30 Strategy is higher, thus better.
• Looking at downside risk / excess return profile in of 0.84 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to DIA (0.38).

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 (7.69 ) in the period of the last 5 years, the Downside risk index of 3 of Dow 30 Strategy is lower, thus better.
• Compared with DIA (7.09 ) in the period of the last 3 years, the Downside risk index of 3.46 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.'

• Looking at the maximum drop from peak to valley of -10.9 days in the last 5 years of Dow 30 Strategy, we see it is relatively larger, thus better in comparison to the benchmark DIA (-36.7 days)
• Compared with DIA (-20.8 days) in the period of the last 3 years, the maximum drop from peak to valley of -7.7 days is greater, thus better.

MaxDuration:

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• 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 (477 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 424 days is lower, thus better.

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 below previous high over 5 years of Dow 30 Strategy is 92 days, which is lower, thus better compared to the benchmark DIA (122 days) in the same period.
• During the last 3 years, the average days below previous high is 135 days, which is lower, thus better than the value of 168 days from the benchmark.