Dow 30 Strategy unhedged

TotalReturn:

'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.'

• The total return, or performance over 5 years of Dow 30 Strategy unhedged is 98.3%, which is higher, thus better compared to the benchmark DIA (68.9%) in the same period.
• Looking at total return, or performance in of 65.2% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to DIA (54.9%).

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.'

• Looking at the compounded annual growth rate (CAGR) of 14.7% in the last 5 years of Dow 30 Strategy unhedged, we see it is relatively higher, thus better in comparison to the benchmark DIA (11.1%)
• During the last 3 years, the annual return (CAGR) is 18.3%, which is higher, thus better than the value of 15.8% from the benchmark.

Volatility:

'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.'

• Compared with the benchmark DIA (14.7%) in the period of the last 5 years, the historical 30 days volatility of 16.9% of Dow 30 Strategy unhedged is higher, thus worse.
• Looking at volatility in of 16.8% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to DIA (13.4%).

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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.'

• Compared with the benchmark DIA (10.1%) in the period of the last 5 years, the downside risk of 11.7% of Dow 30 Strategy unhedged is greater, thus worse.
• Looking at downside risk in of 11.5% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to DIA (8.9%).

Sharpe:

'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.'

• Looking at the risk / return profile (Sharpe) of 0.72 in the last 5 years of Dow 30 Strategy unhedged, we see it is relatively higher, thus better in comparison to the benchmark DIA (0.58)
• Compared with DIA (1) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.94 is smaller, thus worse.

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 ratio of annual return and downside deviation over 5 years of Dow 30 Strategy unhedged is 1.04, which is higher, thus better compared to the benchmark DIA (0.85) in the same period.
• Looking at ratio of annual return and downside deviation in of 1.38 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to DIA (1.5).

Ulcer:

'The Ulcer Index is a technical indicator that measures downside risk, in terms of both the depth and duration of price declines. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. The indicator is usually calculated over a 14-day period, with the Ulcer Index showing the percentage drawdown a trader can expect from the high over that period. The greater the value of the Ulcer Index, the longer it takes for a stock to get back to the former high.'

• Looking at the Ulcer Ratio of 7.24 in the last 5 years of Dow 30 Strategy unhedged, we see it is relatively larger, thus worse in comparison to the benchmark DIA (5.93 )
• Compared with DIA (3.34 ) in the period of the last 3 years, the Downside risk index of 5.67 is larger, thus worse.

MaxDD:

'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.'

• Compared with the benchmark DIA (-20.8 days) in the period of the last 5 years, the maximum drop from peak to valley of -18.9 days of Dow 30 Strategy unhedged is larger, thus better.
• During the last 3 years, the maximum drop from peak to valley is -18.9 days, which is smaller, thus worse than the value of -16 days from the benchmark.

MaxDuration:

'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.'

• The maximum time in days below previous high water mark over 5 years of Dow 30 Strategy unhedged is 424 days, which is smaller, thus better compared to the benchmark DIA (477 days) in the same period.
• During the last 3 years, the maximum days below previous high is 225 days, which is higher, thus worse than the value of 142 days from the benchmark.

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.'

• The average days below previous high over 5 years of Dow 30 Strategy unhedged is 111 days, which is lower, thus better compared to the benchmark DIA (116 days) in the same period.
• Looking at average days below previous high in of 71 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to DIA (27 days).