Description of Dow 30 Strategy unhedged

Statistics of Dow 30 Strategy unhedged (YTD)

What do these metrics mean? [Read More] [Hide]

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

Which means for our asset as example:
  • Looking at the total return of 106.1% in the last 5 years of Dow 30 Strategy unhedged, we see it is relatively larger, thus better in comparison to the benchmark DIA (78.2%)
  • Compared with DIA (58.4%) in the period of the last 3 years, the total return of 40.1% is smaller, thus worse.

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.'

Which means for our asset as example:
  • Compared with the benchmark DIA (12.3%) in the period of the last 5 years, the annual performance (CAGR) of 15.6% of Dow 30 Strategy unhedged is greater, thus better.
  • During the last 3 years, the compounded annual growth rate (CAGR) is 11.9%, which is smaller, thus worse than the value of 16.6% from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • The 30 days standard deviation over 5 years of Dow 30 Strategy unhedged is 14.9%, which is greater, thus worse compared to the benchmark DIA (13.6%) in the same period.
  • During the last 3 years, the volatility is 14.7%, which is larger, thus worse than the value of 13.1% from the benchmark.

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark DIA (15.1%) in the period of the last 5 years, the downside volatility of 16.6% of Dow 30 Strategy unhedged is greater, thus worse.
  • Compared with DIA (15.1%) in the period of the last 3 years, the downside volatility of 17% is greater, thus worse.

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.'

Which means for our asset as example:
  • The ratio of return and volatility (Sharpe) over 5 years of Dow 30 Strategy unhedged is 0.88, which is larger, thus better compared to the benchmark DIA (0.72) in the same period.
  • Looking at risk / return profile (Sharpe) in of 0.64 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to DIA (1.07).

Sortino:

'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.'

Applying this definition to our asset in some examples:
  • The ratio of annual return and downside deviation over 5 years of Dow 30 Strategy unhedged is 0.79, which is higher, thus better compared to the benchmark DIA (0.65) in the same period.
  • Compared with DIA (0.93) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.56 is lower, thus worse.

Ulcer:

'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.'

Applying this definition to our asset in some examples:
  • Looking at the Ulcer Index of 6.05 in the last 5 years of Dow 30 Strategy unhedged, we see it is relatively greater, thus worse in comparison to the benchmark DIA (4.26 )
  • During the last 3 years, the Downside risk index is 6.97 , which is greater, thus worse than the value of 4.23 from the benchmark.

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.'

Using this definition on our asset we see for example:
  • Looking at the maximum DrawDown of -21.3 days in the last 5 years of Dow 30 Strategy unhedged, we see it is relatively smaller, thus worse in comparison to the benchmark DIA (-18.1 days)
  • During the last 3 years, the maximum DrawDown is -21.3 days, which is smaller, thus worse than the value of -18.1 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). 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'

Which means for our asset as example:
  • The maximum days under water over 5 years of Dow 30 Strategy unhedged is 164 days, which is smaller, thus better compared to the benchmark DIA (227 days) in the same period.
  • During the last 3 years, the maximum days under water is 146 days, which is lower, thus better than the value of 161 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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark DIA (54 days) in the period of the last 5 years, the average days below previous high of 37 days of Dow 30 Strategy unhedged is lower, thus better.
  • Looking at average days below previous high in of 35 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to DIA (45 days).

Performance of Dow 30 Strategy unhedged (YTD)

Historical returns have been extended using synthetic data.

Allocations of Dow 30 Strategy unhedged
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Allocations

Returns of Dow 30 Strategy unhedged (%)

  • 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.