Dow 30 Strategy low volatility

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.'

• The total return, or performance over 5 years of Dow 30 Strategy low volatility is 16.4%, which is smaller, thus worse compared to the benchmark SPY (89.4%) in the same period.
• Compared with SPY (87.6%) in the period of the last 3 years, the total return, or increase in value of 11.8% is lower, thus worse.

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

• The compounded annual growth rate (CAGR) over 5 years of Dow 30 Strategy low volatility is 3.1%, which is smaller, thus worse compared to the benchmark SPY (13.7%) in the same period.
• During the last 3 years, the annual return (CAGR) is 3.8%, which is smaller, thus worse than the value of 23.5% from the benchmark.

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.'

• The volatility over 5 years of Dow 30 Strategy low volatility is 15.4%, which is smaller, thus better compared to the benchmark SPY (17.1%) in the same period.
• Compared with SPY (15.3%) in the period of the last 3 years, the volatility of 15.4% is larger, thus worse.

DownVol:

'Risk measures typically quantify the downside risk, whereas the standard deviation (an example of a deviation risk measure) measures both the upside and downside risk. Specifically, downside risk in our definition is the semi-deviation, that is the standard deviation of all negative returns.'

• Looking at the downside risk of 11% in the last 5 years of Dow 30 Strategy low volatility, we see it is relatively lower, thus better in comparison to the benchmark SPY (11.8%)
• Looking at downside deviation in of 11% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (10.1%).

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.'

• Compared with the benchmark SPY (0.65) in the period of the last 5 years, the Sharpe Ratio of 0.04 of Dow 30 Strategy low volatility is smaller, thus worse.
• Compared with SPY (1.37) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.08 is lower, thus worse.

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.'

• Looking at the excess return divided by the downside deviation of 0.05 in the last 5 years of Dow 30 Strategy low volatility, we see it is relatively lower, thus worse in comparison to the benchmark SPY (0.95)
• Compared with SPY (2.07) in the period of the last 3 years, the downside risk / excess return profile of 0.12 is smaller, thus worse.

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 (8.45 ) in the period of the last 5 years, the Ulcer Ratio of 11 of Dow 30 Strategy low volatility is larger, thus worse.
• Compared with SPY (3.23 ) in the period of the last 3 years, the Ulcer Ratio of 9.68 is larger, thus worse.

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 low volatility is -24.3 days, which is larger, thus better compared to the benchmark SPY (-24.5 days) in the same period.
• Looking at maximum reduction from previous high in of -24.3 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (-18.8 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). 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 under water of 541 days in the last 5 years of Dow 30 Strategy low volatility, we see it is relatively higher, thus worse in comparison to the benchmark SPY (488 days)
• During the last 3 years, the maximum days under water is 287 days, which is greater, thus worse than the value of 87 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.'

• Looking at the average days under water of 172 days in the last 5 years of Dow 30 Strategy low volatility, we see it is relatively larger, thus worse in comparison to the benchmark SPY (119 days)
• Looking at average days below previous high in of 85 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (17 days).