'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:- Looking at the total return, or performance of 98.4% 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 (62.6%)
- During the last 3 years, the total return, or performance is 50.4%, which is higher, thus better than the value of 32.1% from the benchmark.

'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.'

Applying this definition to our asset in some examples:- The compounded annual growth rate (CAGR) over 5 years of Dow 30 Strategy low volatility is 14.7%, which is larger, thus better compared to the benchmark SPY (10.2%) in the same period.
- During the last 3 years, the annual performance (CAGR) is 14.6%, which is higher, thus better than the value of 9.7% from the benchmark.

'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.'

Which means for our asset as example:- The historical 30 days volatility over 5 years of Dow 30 Strategy low volatility is 20.3%, which is lower, thus better compared to the benchmark SPY (21.5%) in the same period.
- During the last 3 years, the historical 30 days volatility is 22.8%, which is lower, thus better than the value of 24.8% from the benchmark.

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

Applying this definition to our asset in some examples:- Looking at the downside risk of 14.3% 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 (15.6%)
- Looking at downside risk in of 15.8% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to SPY (17.9%).

'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.'

Which means for our asset as example:- The risk / return profile (Sharpe) over 5 years of Dow 30 Strategy low volatility is 0.6, which is larger, thus better compared to the benchmark SPY (0.36) in the same period.
- Compared with SPY (0.29) in the period of the last 3 years, the Sharpe Ratio of 0.53 is greater, 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.'

Which means for our asset as example:- Looking at the ratio of annual return and downside deviation of 0.86 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 (0.5)
- Looking at downside risk / excess return profile in of 0.76 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (0.4).

'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:- The Ulcer Index over 5 years of Dow 30 Strategy low volatility is 6.91 , which is lower, thus better compared to the benchmark SPY (8.52 ) in the same period.
- Compared with SPY (10 ) in the period of the last 3 years, the Ulcer Ratio of 8.26 is smaller, thus better.

'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.'

Applying this definition to our asset in some examples:- Looking at the maximum reduction from previous high of -33.7 days 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 (-33.7 days)
- Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum reduction from previous high of -33.7 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). 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'

Using this definition on our asset we see for example:- Looking at the maximum days below previous high of 152 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 (235 days)
- During the last 3 years, the maximum time in days below previous high water mark is 152 days, which is lower, thus better than the value of 235 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.'

Which means for our asset as example:- Compared with the benchmark SPY (55 days) in the period of the last 5 years, the average days under water of 41 days of Dow 30 Strategy low volatility is lower, thus better.
- Looking at average days below previous high in of 41 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (59 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.