'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.'

Which means for our asset as example:- The total return, or increase in value over 5 years of Dow 30 Strategy low volatility is 176.4%, which is larger, thus better compared to the benchmark SPY (84.3%) in the same period.
- Looking at total return, or performance in of 64.5% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (37.3%).

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (13%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 22.6% of Dow 30 Strategy low volatility is greater, thus better.
- During the last 3 years, the annual performance (CAGR) is 18%, which is higher, thus better than the value of 11.1% from the benchmark.

'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:- Looking at the volatility of 15.9% 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 (18.8%)
- During the last 3 years, the volatility is 18.7%, which is lower, thus better than the value of 22.3% from the benchmark.

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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.'

Which means for our asset as example:- The downside volatility over 5 years of Dow 30 Strategy low volatility is 11.1%, which is smaller, thus better compared to the benchmark SPY (13.7%) in the same period.
- Looking at downside volatility in of 13.2% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (16.5%).

'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:- Compared with the benchmark SPY (0.56) in the period of the last 5 years, the Sharpe Ratio of 1.26 of Dow 30 Strategy low volatility is greater, thus better.
- Compared with SPY (0.39) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.83 is larger, thus better.

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

Applying this definition to our asset in some examples:- The ratio of annual return and downside deviation over 5 years of Dow 30 Strategy low volatility is 1.81, which is higher, thus better compared to the benchmark SPY (0.77) in the same period.
- Looking at excess return divided by the downside deviation in of 1.18 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (0.52).

'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.'

Which means for our asset as example:- Looking at the Ulcer Ratio of 3.6 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 (5.78 )
- Looking at Ulcer Ratio in of 4.45 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (7.08 ).

'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.'

Which means for our asset as example:- Looking at the maximum reduction from previous high of -26.3 days in the last 5 years of Dow 30 Strategy low volatility, we see it is relatively higher, thus better in comparison to the benchmark SPY (-33.7 days)
- During the last 3 years, the maximum DrawDown is -26.3 days, which is larger, thus better than the value of -33.7 days from the benchmark.

'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'

Which means for our asset as example:- Looking at the maximum days under water of 121 days 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 (139 days)
- During the last 3 years, the maximum days under water is 121 days, which is lower, thus better than the value of 139 days from the benchmark.

'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.'

Which means for our asset as example:- Compared with the benchmark SPY (37 days) in the period of the last 5 years, the average days below previous high of 28 days of Dow 30 Strategy low volatility is lower, thus better.
- Compared with SPY (45 days) in the period of the last 3 years, the average days below previous high of 38 days is smaller, thus better.

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 low volatility, register now.

()

- Note that yearly returns do not equal the sum of monthly returns due to compounding.
- Performance results of Dow 30 Strategy low volatility 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.