Dow 30 Strategy unhedged

TotalReturn:

'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.'

• Looking at the total return, or performance of 106.4% in the last 5 years of Dow 30 Strategy unhedged, we see it is relatively greater, thus better in comparison to the benchmark DIA (59%)
• Compared with DIA (18.4%) in the period of the last 3 years, the total return, or increase in value of 28.3% is larger, thus better.

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

• Compared with the benchmark DIA (9.7%) in the period of the last 5 years, the annual performance (CAGR) of 15.6% of Dow 30 Strategy unhedged is higher, thus better.
• Looking at annual return (CAGR) in of 8.7% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to DIA (5.8%).

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.'

• The 30 days standard deviation over 5 years of Dow 30 Strategy unhedged is 21.2%, which is higher, thus worse compared to the benchmark DIA (20.7%) in the same period.
• Looking at 30 days standard deviation in of 16.2% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to DIA (14.7%).

DownVol:

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

• Compared with the benchmark DIA (14.9%) in the period of the last 5 years, the downside volatility of 14.7% of Dow 30 Strategy unhedged is lower, thus better.
• Compared with DIA (10.3%) in the period of the last 3 years, the downside volatility of 11.5% is larger, thus worse.

Sharpe:

'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.'

• Compared with the benchmark DIA (0.35) in the period of the last 5 years, the Sharpe Ratio of 0.62 of Dow 30 Strategy unhedged is higher, thus better.
• During the last 3 years, the risk / return profile (Sharpe) is 0.38, which is greater, thus better than the value of 0.22 from the benchmark.

Sortino:

'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.'

• The excess return divided by the downside deviation over 5 years of Dow 30 Strategy unhedged is 0.89, which is greater, thus better compared to the benchmark DIA (0.48) in the same period.
• Looking at ratio of annual return and downside deviation in of 0.54 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to DIA (0.32).

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 DIA (7.69 ) in the period of the last 5 years, the Ulcer Ratio of 7.38 of Dow 30 Strategy unhedged is lower, thus better.
• Compared with DIA (7.06 ) in the period of the last 3 years, the Ulcer Index of 8.11 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.'

• Compared with the benchmark DIA (-36.7 days) in the period of the last 5 years, the maximum DrawDown of -27.8 days of Dow 30 Strategy unhedged is larger, thus better.
• Compared with DIA (-20.8 days) in the period of the last 3 years, the maximum DrawDown of -18.1 days is larger, thus better.

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.'

• Compared with the benchmark DIA (477 days) in the period of the last 5 years, the maximum days under water of 424 days of Dow 30 Strategy unhedged is smaller, thus better.
• Compared with DIA (477 days) in the period of the last 3 years, the maximum days under water of 424 days is lower, thus better.

AveDuration:

'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.'

• Compared with the benchmark DIA (123 days) in the period of the last 5 years, the average time in days below previous high water mark of 96 days of Dow 30 Strategy unhedged is lower, thus better.
• During the last 3 years, the average days under water is 137 days, which is lower, thus better than the value of 168 days from the benchmark.