Dow 30 Strategy balanced

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.'

• The total return, or performance over 5 years of Dow 30 Strategy balanced is 185.5%, which is larger, thus better compared to the benchmark SPY (91.7%) in the same period.
• Looking at total return, or performance in of 79.7% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (47.9%).

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.'

• Looking at the compounded annual growth rate (CAGR) of 23.3% in the last 5 years of Dow 30 Strategy balanced, we see it is relatively greater, thus better in comparison to the benchmark SPY (13.9%)
• Looking at annual performance (CAGR) in of 21.5% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (13.9%).

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• Compared with the benchmark SPY (19%) in the period of the last 5 years, the volatility of 16.3% of Dow 30 Strategy balanced is lower, thus better.
• During the last 3 years, the 30 days standard deviation is 19.3%, which is lower, thus better than the value of 22.8% from the benchmark.

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 balanced is 11.3%, which is lower, thus better compared to the benchmark SPY (13.8%) in the same period.
• Compared with SPY (16.7%) in the period of the last 3 years, the downside deviation of 13.6% is lower, thus better.

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.'

• The risk / return profile (Sharpe) over 5 years of Dow 30 Strategy balanced is 1.28, which is greater, thus better compared to the benchmark SPY (0.6) in the same period.
• Compared with SPY (0.5) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.99 is greater, thus better.

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.'

• The excess return divided by the downside deviation over 5 years of Dow 30 Strategy balanced is 1.84, which is greater, thus better compared to the benchmark SPY (0.82) in the same period.
• During the last 3 years, the downside risk / excess return profile is 1.4, which is higher, thus better than the value of 0.68 from the benchmark.

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 SPY (5.82 ) in the period of the last 5 years, the Ulcer Index of 4.39 of Dow 30 Strategy balanced is smaller, thus better.
• Looking at Ulcer Index in of 5.5 in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (7.14 ).

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 -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 drop from peak to valley is -29.1 days, which is larger, thus better than the value of -33.7 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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• 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 larger, thus worse in comparison to the benchmark SPY (139 days)
• Compared with SPY (139 days) in the period of the last 3 years, the maximum days below previous high of 139 days is higher, 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.'

• Compared with the benchmark SPY (36 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 37 days, which is lower, thus better than the value of 45 days from the benchmark.