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 173.7%, which is higher, thus better compared to the benchmark SPY (62.6%) in the same period.
• Looking at total return in of 102.8% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (32.1%).

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 annual performance (CAGR) of 22.4% in the last 5 years of Dow 30 Strategy balanced, we see it is relatively larger, thus better in comparison to the benchmark SPY (10.2%)
• Looking at annual performance (CAGR) in of 26.5% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (9.7%).

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.'

• Looking at the volatility of 21.5% in the last 5 years of Dow 30 Strategy balanced, we see it is relatively larger, thus worse in comparison to the benchmark SPY (21.5%)
• During the last 3 years, the historical 30 days volatility is 23.6%, which is smaller, thus better than the value of 24.8% from the benchmark.

DownVol:

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

• Looking at the downside volatility of 14.8% in the last 5 years of Dow 30 Strategy balanced, we see it is relatively smaller, thus better in comparison to the benchmark SPY (15.6%)
• During the last 3 years, the downside volatility is 15.8%, which is lower, thus better than the value of 17.9% from the benchmark.

Sharpe:

'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.'

• The ratio of return and volatility (Sharpe) over 5 years of Dow 30 Strategy balanced is 0.92, which is greater, thus better compared to the benchmark SPY (0.36) in the same period.
• Looking at ratio of return and volatility (Sharpe) in of 1.02 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (0.29).

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 downside risk / excess return profile over 5 years of Dow 30 Strategy balanced is 1.34, which is greater, thus better compared to the benchmark SPY (0.5) in the same period.
• Compared with SPY (0.4) in the period of the last 3 years, the excess return divided by the downside deviation of 1.52 is larger, thus better.

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.'

• Compared with the benchmark SPY (8.52 ) in the period of the last 5 years, the Downside risk index of 5.42 of Dow 30 Strategy balanced is smaller, thus better.
• During the last 3 years, the Ulcer Index is 5.96 , which is smaller, thus better than the value of 10 from the benchmark.

MaxDD:

'Maximum drawdown is defined as the peak-to-trough decline of an investment during a specific period. It is usually quoted as a percentage of the peak value. The maximum drawdown can be calculated based on absolute returns, in order to identify strategies that suffer less during market downturns, such as low-volatility strategies. However, the maximum drawdown can also be calculated based on returns relative to a benchmark index, for identifying strategies that show steady outperformance over time.'

• The maximum drop from peak to valley over 5 years of Dow 30 Strategy balanced is -28.3 days, which is greater, thus better compared to the benchmark SPY (-33.7 days) in the same period.
• Looking at maximum drop from peak to valley in of -28.3 days in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (-33.7 days).

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.'

• Looking at the maximum days below previous high of 145 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 (235 days)
• Looking at maximum time in days below previous high water mark in of 134 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (235 days).

AveDuration:

'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.'

• The average time in days below previous high water mark over 5 years of Dow 30 Strategy balanced is 35 days, which is lower, thus better compared to the benchmark SPY (55 days) in the same period.
• Compared with SPY (59 days) in the period of the last 3 years, the average days below previous high of 33 days is smaller, thus better.