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.'

• Compared with the benchmark DIA (55.4%) in the period of the last 5 years, the total return of 82% of Dow 30 Strategy unhedged is greater, thus better.
• Compared with DIA (50.5%) in the period of the last 3 years, the total return of 62.5% is larger, thus better.

CAGR:

'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.'

• Compared with the benchmark DIA (9.3%) in the period of the last 5 years, the annual return (CAGR) of 12.8% of Dow 30 Strategy unhedged is higher, thus better.
• Looking at annual performance (CAGR) in of 17.7% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to DIA (14.7%).

Volatility:

'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.'

• Looking at the volatility of 16.8% in the last 5 years of Dow 30 Strategy unhedged, we see it is relatively higher, thus worse in comparison to the benchmark DIA (14.8%)
• During the last 3 years, the 30 days standard deviation is 16.6%, which is higher, thus worse than the value of 13.5% from the benchmark.

DownVol:

'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.'

• Looking at the downside deviation of 11.7% in the last 5 years of Dow 30 Strategy unhedged, we see it is relatively larger, thus worse in comparison to the benchmark DIA (10.2%)
• Looking at downside volatility in of 11.3% 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 is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

• Compared with the benchmark DIA (0.46) in the period of the last 5 years, the Sharpe Ratio of 0.61 of Dow 30 Strategy unhedged is larger, thus better.
• Looking at Sharpe Ratio in of 0.91 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to DIA (0.91).

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.'

• Looking at the excess return divided by the downside deviation of 0.88 in the last 5 years of Dow 30 Strategy unhedged, we see it is relatively higher, thus better in comparison to the benchmark DIA (0.66)
• Compared with DIA (1.36) in the period of the last 3 years, the downside risk / excess return profile of 1.35 is smaller, thus worse.

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.'

• Compared with the benchmark DIA (6.01 ) in the period of the last 5 years, the Downside risk index of 7.29 of Dow 30 Strategy unhedged is larger, thus worse.
• Looking at Ulcer Index in of 5.28 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to DIA (3.54 ).

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.'

• The maximum drop from peak to valley over 5 years of Dow 30 Strategy unhedged is -18.9 days, which is greater, thus better compared to the benchmark DIA (-20.8 days) in the same period.
• Compared with DIA (-16 days) in the period of the last 3 years, the maximum DrawDown of -18.9 days is lower, thus worse.

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). 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'

• 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.
• Compared with DIA (142 days) in the period of the last 3 years, the maximum days under water of 225 days is greater, thus worse.

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 (115 days) in the period of the last 5 years, the average time in days below previous high water mark of 111 days of Dow 30 Strategy unhedged is lower, thus better.
• Looking at average time in days below previous high water mark in of 56 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to DIA (28 days).