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.'

• Compared with the benchmark SPY (120.1%) in the period of the last 5 years, the total return of 91.5% of Dow 30 Strategy low volatility is smaller, thus worse.
• Looking at total return in of 7.6% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (65.1%).

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 annual return (CAGR) over 5 years of Dow 30 Strategy low volatility is 13.9%, which is lower, thus worse compared to the benchmark SPY (17.1%) in the same period.
• Looking at annual return (CAGR) in of 2.5% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (18.3%).

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 historical 30 days volatility of 16.2% 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 (17.6%)
• Looking at 30 days standard deviation in of 15.6% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (17.5%).

DownVol:

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

• The downside deviation over 5 years of Dow 30 Strategy low volatility is 11.2%, which is lower, thus better compared to the benchmark SPY (12.1%) in the same period.
• Looking at downside deviation in of 11.3% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (11.6%).

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 risk / return profile (Sharpe) over 5 years of Dow 30 Strategy low volatility is 0.7, which is lower, thus worse compared to the benchmark SPY (0.83) in the same period.
• Looking at risk / return profile (Sharpe) in of 0 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (0.9).

Sortino:

'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.'

• Looking at the excess return divided by the downside deviation of 1.02 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 (1.21)
• During the last 3 years, the excess return divided by the downside deviation is 0, which is lower, thus worse than the value of 1.36 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.'

• Compared with the benchmark SPY (8.48 ) in the period of the last 5 years, the Ulcer Index of 8.43 of Dow 30 Strategy low volatility is smaller, thus better.
• Compared with SPY (5.31 ) in the period of the last 3 years, the Downside risk index of 7.28 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.'

• Looking at the maximum drop from peak to valley of -21.2 days in the last 5 years of Dow 30 Strategy low volatility, we see it is relatively larger, thus better in comparison to the benchmark SPY (-24.5 days)
• During the last 3 years, the maximum reduction from previous high is -16.8 days, which is higher, thus better than the value of -18.8 days from the benchmark.

MaxDuration:

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• The maximum days under water over 5 years of Dow 30 Strategy low volatility is 541 days, which is higher, thus worse compared to the benchmark SPY (488 days) in the same period.
• Looking at maximum time in days below previous high water mark in of 513 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (199 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.'

• Looking at the average days below previous high of 144 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 (120 days)
• Looking at average time in days below previous high water mark in of 198 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (47 days).