Dow 30 Strategy unhedged

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.'

• Compared with the benchmark DIA (94.7%) in the period of the last 5 years, the total return, or performance of 140.7% of Dow 30 Strategy unhedged is higher, thus better.
• Compared with DIA (38%) in the period of the last 3 years, the total return, or increase in value of 33.8% is lower, thus worse.

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 (14.3%) in the period of the last 5 years, the annual return (CAGR) of 19.3% of Dow 30 Strategy unhedged is higher, thus better.
• Compared with DIA (11.4%) in the period of the last 3 years, the annual performance (CAGR) of 10.2% is lower, thus worse.

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.'

• The historical 30 days volatility over 5 years of Dow 30 Strategy unhedged is 17.8%, which is larger, thus worse compared to the benchmark DIA (15.9%) in the same period.
• Compared with DIA (15.5%) in the period of the last 3 years, the volatility of 17.1% is higher, thus worse.

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.'

• The downside risk over 5 years of Dow 30 Strategy unhedged is 12.4%, which is larger, thus worse compared to the benchmark DIA (11%) in the same period.
• Compared with DIA (10.5%) in the period of the last 3 years, the downside volatility of 12.1% is larger, thus worse.

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.'

• Looking at the ratio of return and volatility (Sharpe) of 0.94 in the last 5 years of Dow 30 Strategy unhedged, we see it is relatively larger, thus better in comparison to the benchmark DIA (0.74)
• During the last 3 years, the risk / return profile (Sharpe) is 0.45, which is lower, thus worse than the value of 0.57 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.'

• Compared with the benchmark DIA (1.07) in the period of the last 5 years, the downside risk / excess return profile of 1.35 of Dow 30 Strategy unhedged is higher, thus better.
• Compared with DIA (0.85) in the period of the last 3 years, the excess return divided by the downside deviation of 0.64 is lower, 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.'

• Looking at the Downside risk index of 7.04 in the last 5 years of Dow 30 Strategy unhedged, we see it is relatively greater, thus worse in comparison to the benchmark DIA (6 )
• Looking at Downside risk index in of 6.5 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to DIA (4.47 ).

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.'

• 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.
• During the last 3 years, the maximum drop from peak to valley is -18.9 days, which is lower, 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 days under water over 5 years of Dow 30 Strategy unhedged is 424 days, which is lower, thus better compared to the benchmark DIA (477 days) in the same period.
• Looking at maximum days below previous high in of 261 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to DIA (134 days).

AveDuration:

'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.'

• Looking at the average days under water of 96 days in the last 5 years of Dow 30 Strategy unhedged, we see it is relatively lower, thus better in comparison to the benchmark DIA (114 days)
• Looking at average time in days below previous high water mark in of 74 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to DIA (36 days).