Dow 30 Strategy

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

• Compared with the benchmark DIA (76.2%) in the period of the last 5 years, the total return of 64.9% of Dow 30 Strategy is lower, thus worse.
• Compared with DIA (54.6%) in the period of the last 3 years, the total return, or increase in value of 38.3% is lower, thus worse.

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.'

• Compared with the benchmark DIA (12%) in the period of the last 5 years, the annual performance (CAGR) of 10.6% of Dow 30 Strategy is lower, thus worse.
• Looking at annual performance (CAGR) in of 11.5% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to DIA (15.7%).

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.'

• The volatility over 5 years of Dow 30 Strategy is 7.4%, which is smaller, thus better compared to the benchmark DIA (14.7%) in the same period.
• Compared with DIA (13.4%) in the period of the last 3 years, the historical 30 days volatility of 7.5% is lower, thus better.

DownVol:

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

• The downside deviation over 5 years of Dow 30 Strategy is 5.1%, which is smaller, thus better compared to the benchmark DIA (10.1%) in the same period.
• During the last 3 years, the downside volatility is 5.2%, which is smaller, thus better than the value of 8.9% from the benchmark.

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 (0.65) in the period of the last 5 years, the Sharpe Ratio of 1.09 of Dow 30 Strategy is higher, thus better.
• During the last 3 years, the risk / return profile (Sharpe) is 1.19, which is larger, thus better than the value of 0.99 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 ratio of annual return and downside deviation over 5 years of Dow 30 Strategy is 1.59, which is greater, thus better compared to the benchmark DIA (0.94) in the same period.
• Looking at excess return divided by the downside deviation in of 1.73 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to DIA (1.48).

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 2.88 , which is smaller, thus better compared to the benchmark DIA (5.93 ) in the same period.
• Compared with DIA (3.43 ) in the period of the last 3 years, the Ulcer Index of 3.03 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 drop from peak to valley of -7.7 days of Dow 30 Strategy is greater, thus better.
• During the last 3 years, the maximum reduction from previous high is -7.4 days, which is larger, thus better than the value of -16 days from the benchmark.

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 time in days below previous high water mark of 424 days of Dow 30 Strategy is lower, thus better.
• Compared with DIA (142 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 236 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.'

• The average time in days below previous high water mark over 5 years of Dow 30 Strategy is 93 days, which is lower, thus better compared to the benchmark DIA (116 days) in the same period.
• Looking at average time in days below previous high water mark in of 57 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to DIA (33 days).