'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.'

Applying this definition to our asset in some examples:- Looking at the total return, or performance of 194.5% in the last 5 years of Dow 30 Strategy balanced, we see it is relatively greater, thus better in comparison to the benchmark SPY (124.9%)
- Looking at total return, or performance in of 64% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (60.5%).

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (17.6%) in the period of the last 5 years, the annual performance (CAGR) of 24.2% of Dow 30 Strategy balanced is higher, thus better.
- Compared with SPY (17.1%) in the period of the last 3 years, the annual performance (CAGR) of 18% is higher, thus better.

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (18.7%) in the period of the last 5 years, the volatility of 16.2% of Dow 30 Strategy balanced is smaller, thus better.
- Looking at 30 days standard deviation in of 18.8% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (22.6%).

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

Using this definition on our asset we see for example:- The downside risk over 5 years of Dow 30 Strategy balanced is 11.3%, which is lower, thus better compared to the benchmark SPY (13.5%) in the same period.
- Looking at downside deviation in of 13.2% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (16.4%).

'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.'

Using this definition on our asset we see for example:- Looking at the ratio of return and volatility (Sharpe) of 1.34 in the last 5 years of Dow 30 Strategy balanced, we see it is relatively greater, thus better in comparison to the benchmark SPY (0.81)
- Looking at ratio of return and volatility (Sharpe) in of 0.82 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (0.65).

'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.'

Applying this definition to our asset in some examples:- The downside risk / excess return profile over 5 years of Dow 30 Strategy balanced is 1.92, which is larger, thus better compared to the benchmark SPY (1.12) in the same period.
- During the last 3 years, the ratio of annual return and downside deviation is 1.17, which is larger, thus better than the value of 0.89 from the benchmark.

'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.'

Using this definition on our asset we see for example:- Looking at the Ulcer Index of 4.36 in the last 5 years of Dow 30 Strategy balanced, we see it is relatively lower, thus better in comparison to the benchmark SPY (5.58 )
- During the last 3 years, the Ulcer Ratio is 5.37 , which is lower, thus better than the value of 6.82 from the benchmark.

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

Which means for our asset as example:- Looking at the maximum DrawDown of -29.1 days in the last 5 years of Dow 30 Strategy balanced, we see it is relatively greater, thus better in comparison to the benchmark SPY (-33.7 days)
- During the last 3 years, the maximum reduction from previous high is -29.1 days, which is higher, thus better than the value of -33.7 days from the benchmark.

'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.'

Applying this definition to our asset in some examples:- Looking at the maximum days below previous high of 139 days in the last 5 years of Dow 30 Strategy balanced, we see it is relatively higher, thus worse in comparison to the benchmark SPY (139 days)
- Compared with SPY (128 days) in the period of the last 3 years, the maximum days below previous high of 139 days is greater, thus worse.

'The Average 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. 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.'

Which means for our asset as example:- Compared with the benchmark SPY (32 days) in the period of the last 5 years, the average time in days below previous high water mark of 28 days of Dow 30 Strategy balanced is lower, thus better.
- During the last 3 years, the average days below previous high is 30 days, which is smaller, thus better than the value of 33 days from the benchmark.

Historical returns have been extended using synthetic data.
[Show Details]

Allocations and holdings shown below are delayed by one month. To see current trading allocations of Dow 30 Strategy balanced, register now.

()

- Note that yearly returns do not equal the sum of monthly returns due to compounding.
- Performance results of Dow 30 Strategy balanced are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.