'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.'

Using this definition on our asset we see for example:- Looking at the total return, or performance of 145.7% in the last 5 years of Dow 30 Strategy unhedged, we see it is relatively greater, thus better in comparison to the benchmark DIA (77.3%)
- Looking at total return, or performance in of 80.1% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to DIA (58.2%).

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark DIA (12.1%) in the period of the last 5 years, the annual return (CAGR) of 19.7% of Dow 30 Strategy unhedged is higher, thus better.
- Compared with DIA (16.6%) in the period of the last 3 years, the annual performance (CAGR) of 21.7% is greater, thus better.

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark DIA (13.3%) in the period of the last 5 years, the volatility of 14.5% of Dow 30 Strategy unhedged is higher, thus worse.
- During the last 3 years, the volatility is 14.1%, which is greater, thus worse than the value of 12.8% from the benchmark.

'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:- The downside risk over 5 years of Dow 30 Strategy unhedged is 16.2%, which is larger, thus worse compared to the benchmark DIA (14.8%) in the same period.
- During the last 3 years, the downside risk is 15.9%, which is greater, thus worse than the value of 14.5% from the benchmark.

'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.'

Using this definition on our asset we see for example:- Looking at the Sharpe Ratio of 1.18 in the last 5 years of Dow 30 Strategy unhedged, we see it is relatively greater, thus better in comparison to the benchmark DIA (0.72)
- Compared with DIA (1.1) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 1.36 is larger, thus better.

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark DIA (0.65) in the period of the last 5 years, the downside risk / excess return profile of 1.06 of Dow 30 Strategy unhedged is larger, thus better.
- During the last 3 years, the excess return divided by the downside deviation is 1.21, which is higher, thus better than the value of 0.97 from the benchmark.

'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 Downside risk index of 3.76 in the last 5 years of Dow 30 Strategy unhedged, we see it is relatively lower, thus worse in comparison to the benchmark DIA (4.22 )
- During the last 3 years, the Downside risk index is 3.18 , which is lower, thus worse than the value of 4.14 from the benchmark.

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

Which means for our asset as example:- Compared with the benchmark DIA (-18.1 days) in the period of the last 5 years, the maximum DrawDown of -15.5 days of Dow 30 Strategy unhedged is greater, thus better.
- During the last 3 years, the maximum DrawDown is -13.4 days, which is higher, thus better than the value of -18.1 days from the benchmark.

'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.'

Which means for our asset as example:- Compared with the benchmark DIA (227 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 164 days of Dow 30 Strategy unhedged is lower, thus better.
- Looking at maximum days below previous high in of 94 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to DIA (161 days).

'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:- The average time in days below previous high water mark over 5 years of Dow 30 Strategy unhedged is 30 days, which is lower, thus better compared to the benchmark DIA (53 days) in the same period.
- Looking at average time in days below previous high water mark in of 22 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to DIA (43 days).

Historical returns have been extended using synthetic data.
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- "Year" returns in the table above are not equal to 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.