'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 DIA (35.7%) in the period of the last 5 years, the total return, or increase in value of 110.7% of Dow 30 Strategy unhedged is greater, thus better.
- Looking at total return in of 59.8% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to DIA (10.8%).

'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.'

Using this definition on our asset we see for example:- The annual performance (CAGR) over 5 years of Dow 30 Strategy unhedged is 16.1%, which is higher, thus better compared to the benchmark DIA (6.3%) in the same period.
- During the last 3 years, the annual return (CAGR) is 16.9%, which is larger, thus better than the value of 3.5% from the benchmark.

'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.'

Using this definition on our asset we see for example:- Looking at the historical 30 days volatility of 20.9% in the last 5 years of Dow 30 Strategy unhedged, we see it is relatively higher, thus worse in comparison to the benchmark DIA (18.9%)
- Compared with DIA (21.9%) in the period of the last 3 years, the historical 30 days volatility of 23.8% is higher, thus worse.

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark DIA (14.1%) in the period of the last 5 years, the downside volatility of 15.1% of Dow 30 Strategy unhedged is larger, thus worse.
- Looking at downside volatility in of 17.4% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to DIA (16.5%).

'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:- Looking at the risk / return profile (Sharpe) of 0.65 in the last 5 years of Dow 30 Strategy unhedged, we see it is relatively larger, thus better in comparison to the benchmark DIA (0.2)
- During the last 3 years, the risk / return profile (Sharpe) is 0.6, which is greater, thus better than the value of 0.04 from the benchmark.

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

Using this definition on our asset we see for example:- Compared with the benchmark DIA (0.27) in the period of the last 5 years, the excess return divided by the downside deviation of 0.9 of Dow 30 Strategy unhedged is higher, thus better.
- During the last 3 years, the downside risk / excess return profile is 0.83, which is greater, thus better than the value of 0.06 from the benchmark.

'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.'

Using this definition on our asset we see for example:- Looking at the Downside risk index of 4.78 in the last 5 years of Dow 30 Strategy unhedged, we see it is relatively smaller, thus better in comparison to the benchmark DIA (5.48 )
- Looking at Ulcer Ratio in of 5.11 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to DIA (6.18 ).

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark DIA (-36.7 days) in the period of the last 5 years, the maximum drop from peak to valley of -33.4 days of Dow 30 Strategy unhedged is greater, thus better.
- During the last 3 years, the maximum drop from peak to valley is -33.4 days, which is greater, thus better than the value of -36.7 days from the benchmark.

'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.'

Which means for our asset as example:- Looking at the maximum time in days below previous high water mark of 135 days in the last 5 years of Dow 30 Strategy unhedged, we see it is relatively smaller, thus better in comparison to the benchmark DIA (227 days)
- During the last 3 years, the maximum days under water is 94 days, which is smaller, thus better than the value of 161 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:- The average days under water over 5 years of Dow 30 Strategy unhedged is 30 days, which is lower, thus better compared to the benchmark DIA (54 days) in the same period.
- Compared with DIA (43 days) in the period of the last 3 years, the average days under water of 21 days is lower, thus better.

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 unhedged 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.