'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (90.6%) in the period of the last 5 years, the total return of 152.2% of Dow 30 Strategy low volatility is larger, thus better.
- Looking at total return in of 63.4% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (45.9%).

'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.'

Which means for our asset as example:- Looking at the compounded annual growth rate (CAGR) of 20.3% 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 (13.8%)
- During the last 3 years, the compounded annual growth rate (CAGR) is 17.8%, which is greater, thus better than the value of 13.4% 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:- Compared with the benchmark SPY (19%) in the period of the last 5 years, the volatility of 15.9% of Dow 30 Strategy low volatility is smaller, thus better.
- During the last 3 years, the volatility is 18.9%, which is lower, thus better than the value of 22.8% from the benchmark.

'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:- Compared with the benchmark SPY (13.8%) in the period of the last 5 years, the downside deviation of 11.2% of Dow 30 Strategy low volatility is lower, thus better.
- Looking at downside risk in of 13.4% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (16.7%).

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

Applying this definition to our asset in some examples:- Compared with the benchmark SPY (0.59) in the period of the last 5 years, the risk / return profile (Sharpe) of 1.12 of Dow 30 Strategy low volatility is greater, thus better.
- During the last 3 years, the Sharpe Ratio is 0.81, which is larger, thus better than the value of 0.48 from the benchmark.

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

Which means for our asset as example:- Looking at the excess return divided by the downside deviation of 1.6 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 (0.82)
- Looking at excess return divided by the downside deviation in of 1.14 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (0.65).

'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.'

Applying this definition to our asset in some examples:- Looking at the Ulcer Index of 3.61 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 (5.82 )
- Looking at Ulcer Ratio in of 4.47 in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (7.15 ).

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

Which means for our asset as example:- Looking at the maximum drop from peak to valley 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)
- Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum drop from peak to valley of -26.3 days is larger, 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.'

Using this definition on our asset we see for example:- The maximum time in days below previous high water mark over 5 years of Dow 30 Strategy low volatility is 121 days, which is lower, thus better compared to the benchmark SPY (139 days) in the same period.
- 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 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.'

Using this definition on our asset we see for example:- Compared with the benchmark SPY (36 days) in the period of the last 5 years, the average time in days below previous high water mark of 28 days of Dow 30 Strategy low volatility is smaller, thus better.
- Looking at average time in days below previous high water mark in of 38 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (45 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.