Description

Statistics (YTD)

What do these metrics mean? [Read More] [Hide]

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.'

Applying this definition to our asset in some examples:
  • The total return over 5 years of Dow 30 Strategy balanced is 134.9%, which is higher, thus better compared to the benchmark SPY (32.9%) in the same period.
  • During the last 3 years, the total return is 64%, which is greater, thus better than the value of 11.6% from the benchmark.

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.'

Using this definition on our asset we see for example:
  • Looking at the annual performance (CAGR) of 18.6% in the last 5 years of Dow 30 Strategy balanced, we see it is relatively larger, thus better in comparison to the benchmark SPY (5.8%)
  • Looking at annual return (CAGR) in of 17.9% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (3.7%).

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.'

Using this definition on our asset we see for example:
  • The volatility over 5 years of Dow 30 Strategy balanced is 16%, which is lower, thus better compared to the benchmark SPY (18%) in the same period.
  • Looking at 30 days standard deviation in of 18.1% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (20.3%).

DownVol:

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

Applying this definition to our asset in some examples:
  • Looking at the downside volatility of 11.2% in the last 5 years of Dow 30 Strategy balanced, we see it is relatively lower, thus better in comparison to the benchmark SPY (13.4%)
  • Looking at downside risk in of 12.9% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (15.3%).

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

Applying this definition to our asset in some examples:
  • Looking at the risk / return profile (Sharpe) of 1.01 in the last 5 years of Dow 30 Strategy balanced, we see it is relatively higher, thus better in comparison to the benchmark SPY (0.19)
  • During the last 3 years, the ratio of return and volatility (Sharpe) is 0.85, which is larger, thus better than the value of 0.06 from the benchmark.

Sortino:

'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.'

Which means for our asset as example:
  • The downside risk / excess return profile over 5 years of Dow 30 Strategy balanced is 1.44, which is greater, thus better compared to the benchmark SPY (0.25) in the same period.
  • During the last 3 years, the excess return divided by the downside deviation is 1.2, which is greater, thus better than the value of 0.08 from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (5.17 ) in the period of the last 5 years, the Downside risk index of 4.02 of Dow 30 Strategy balanced is smaller, thus better.
  • During the last 3 years, the Ulcer Ratio is 4.38 , which is lower, thus better than the value of 5.93 from the benchmark.

MaxDD:

'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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum DrawDown of -29.1 days of Dow 30 Strategy balanced is larger, thus better.
  • Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum DrawDown of -29.1 days is higher, 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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark SPY (187 days) in the period of the last 5 years, the maximum days under water of 117 days of Dow 30 Strategy balanced is lower, thus better.
  • During the last 3 years, the maximum time in days below previous high water mark is 117 days, which is lower, thus better than the value of 139 days from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • Looking at the average time in days below previous high water mark of 26 days in the last 5 years of Dow 30 Strategy balanced, we see it is relatively lower, thus better in comparison to the benchmark SPY (42 days)
  • Looking at average time in days below previous high water mark in of 27 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (36 days).

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations
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Allocations

Returns (%)

  • 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.