'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.'

Applying this definition to our asset in some examples:- Looking at the total return, or performance of 70.3% 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 (61.9%)
- Compared with SPY (79.4%) in the period of the last 3 years, the total return, or performance of 79.5% is higher, thus better.

'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.'

Which means for our asset as example:- Looking at the annual return (CAGR) of 11.3% 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 (10.1%)
- Looking at annual return (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 (21.5%).

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

Using this definition on our asset we see for example:- The 30 days standard deviation over 5 years of Dow 30 Strategy low volatility is 20.1%, which is lower, thus better compared to the benchmark SPY (21.5%) in the same period.
- Looking at volatility in of 19.2% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (21.2%).

'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.'

Using this definition on our asset we see for example:- Looking at the downside risk of 14.1% in the last 5 years of Dow 30 Strategy low volatility, we see it is relatively smaller, thus better in comparison to the benchmark SPY (15.5%)
- Compared with SPY (14.1%) in the period of the last 3 years, the downside deviation of 12.1% is lower, thus better.

'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.'

Applying this definition to our asset in some examples:- Looking at the ratio of return and volatility (Sharpe) of 0.44 in the last 5 years of Dow 30 Strategy low volatility, we see it is relatively greater, thus better in comparison to the benchmark SPY (0.36)
- Looking at Sharpe Ratio in of 0.99 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (0.9).

'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 excess return divided by the downside deviation over 5 years of Dow 30 Strategy low volatility is 0.62, which is greater, thus better compared to the benchmark SPY (0.49) in the same period.
- Looking at excess return divided by the downside deviation in of 1.57 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (1.35).

'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.'

Using this definition on our asset we see for example:- The Ulcer Ratio over 5 years of Dow 30 Strategy low volatility is 7.29 , which is lower, thus better compared to the benchmark SPY (9.15 ) in the same period.
- During the last 3 years, the Ulcer Index is 6.3 , which is lower, thus better than the value of 9.78 from the benchmark.

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum DrawDown of -33.7 days of Dow 30 Strategy low volatility is larger, thus better.
- Compared with SPY (-24.5 days) in the period of the last 3 years, the maximum reduction from previous high of -21.2 days is greater, thus better.

'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.'

Which means for our asset as example:- Looking at the maximum days below previous high of 204 days in the last 5 years of Dow 30 Strategy low volatility, we see it is relatively smaller, thus better in comparison to the benchmark SPY (305 days)
- Compared with SPY (305 days) in the period of the last 3 years, the maximum days below previous high of 204 days is smaller, thus better.

'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.'

Applying this definition to our asset in some examples:- Looking at the average time in days below previous high water mark of 48 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 (65 days)
- Looking at average days under water in of 46 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (80 days).

Historical returns have been extended using synthetic data.
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- 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.