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 (85.6%) in the period of the last 5 years, the total return, or increase in value of 138.3% of Dow 30 Strategy unhedged is larger, thus better.
• Looking at total return, or performance in of 35% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to DIA (35.1%).

CAGR:

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

• Looking at the compounded annual growth rate (CAGR) of 19% in the last 5 years of Dow 30 Strategy unhedged, we see it is relatively larger, thus better in comparison to the benchmark DIA (13.2%)
• During the last 3 years, the compounded annual growth rate (CAGR) is 10.6%, which is higher, thus better than the value of 10.6% from the benchmark.

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 (15.9%) in the period of the last 5 years, the volatility of 17.8% of Dow 30 Strategy unhedged is larger, thus worse.
• Looking at 30 days standard deviation in of 17.1% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to DIA (15.4%).

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 (11.1%) in the period of the last 5 years, the downside risk of 12.4% of Dow 30 Strategy unhedged is higher, thus worse.
• Looking at downside risk in of 12.1% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to DIA (10.5%).

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.'

• The risk / return profile (Sharpe) over 5 years of Dow 30 Strategy unhedged is 0.93, which is greater, thus better compared to the benchmark DIA (0.67) in the same period.
• Compared with DIA (0.53) in the period of the last 3 years, the Sharpe Ratio of 0.47 is smaller, thus worse.

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.'

• The excess return divided by the downside deviation over 5 years of Dow 30 Strategy unhedged is 1.33, which is greater, thus better compared to the benchmark DIA (0.97) in the same period.
• Looking at downside risk / excess return profile in of 0.67 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to DIA (0.77).

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.'

• The Downside risk index over 5 years of Dow 30 Strategy unhedged is 7.03 , which is higher, thus worse compared to the benchmark DIA (6 ) in the same period.
• Compared with DIA (4.46 ) in the period of the last 3 years, the Ulcer Index of 6.47 is higher, thus worse.

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 higher, thus better compared to the benchmark DIA (-20.8 days) in the same period.
• Looking at maximum DrawDown in of -18.9 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to DIA (-16 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.'

• Looking at the maximum days under water of 424 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 (477 days)
• Looking at maximum time in days below previous high water mark in of 261 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to DIA (134 days).

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 (113 days) in the period of the last 5 years, the average days under water of 95 days of Dow 30 Strategy unhedged is smaller, thus better.
• Compared with DIA (36 days) in the period of the last 3 years, the average time in days below previous high water mark of 74 days is higher, thus worse.