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 (60.8%) in the period of the last 5 years, the total return, or increase in value of 129.5% of Dow 30 Strategy unhedged is greater, thus better.
• Compared with DIA (23.9%) in the period of the last 3 years, the total return, or increase in value of 38.1% is greater, thus better.

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 annual performance (CAGR) of 18.1% in the last 5 years of Dow 30 Strategy unhedged, we see it is relatively greater, thus better in comparison to the benchmark DIA (10%)
• Looking at annual return (CAGR) in of 11.4% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to DIA (7.4%).

Volatility:

'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.'

• Compared with the benchmark DIA (20.7%) in the period of the last 5 years, the 30 days standard deviation of 21.5% of Dow 30 Strategy unhedged is higher, thus worse.
• Looking at historical 30 days volatility in of 15.9% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to DIA (14.7%).

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 (14.8%) in the period of the last 5 years, the downside volatility of 14.8% of Dow 30 Strategy unhedged is larger, thus worse.
• Compared with DIA (10.3%) in the period of the last 3 years, the downside volatility of 11.2% is higher, thus worse.

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• Looking at the Sharpe Ratio of 0.73 in the last 5 years of Dow 30 Strategy unhedged, we see it is relatively higher, thus better in comparison to the benchmark DIA (0.36)
• Looking at risk / return profile (Sharpe) in of 0.56 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to DIA (0.34).

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.'

• Compared with the benchmark DIA (0.51) in the period of the last 5 years, the excess return divided by the downside deviation of 1.06 of Dow 30 Strategy unhedged is higher, thus better.
• Looking at excess return divided by the downside deviation in of 0.8 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to DIA (0.48).

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.'

• Looking at the Ulcer Ratio of 7.4 in the last 5 years of Dow 30 Strategy unhedged, we see it is relatively lower, thus better in comparison to the benchmark DIA (7.71 )
• Looking at Ulcer Index in of 7.97 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to DIA (6.13 ).

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.'

• Looking at the maximum drop from peak to valley of -27.8 days in the last 5 years of Dow 30 Strategy unhedged, we see it is relatively greater, thus better in comparison to the benchmark DIA (-36.7 days)
• Looking at maximum drop from peak to valley in of -18.1 days in the period of the last 3 years, we see it is relatively greater, thus better in comparison to DIA (-19.3 days).

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.'

• Compared with the benchmark DIA (477 days) in the period of the last 5 years, the maximum days below previous high of 424 days of Dow 30 Strategy unhedged is lower, thus better.
• Compared with DIA (377 days) in the period of the last 3 years, the maximum days below previous high of 424 days is higher, 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.'

• The average days below previous high over 5 years of Dow 30 Strategy unhedged is 97 days, which is lower, thus better compared to the benchmark DIA (122 days) in the same period.
• Compared with DIA (114 days) in the period of the last 3 years, the average days under water of 141 days is higher, thus worse.