Description of Dow 30 Strategy unhedged

Statistics of Dow 30 Strategy unhedged (YTD)

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

TotalReturn:

'The total return on a portfolio of investments takes into account not only the capital appreciation on the portfolio, but also the income received on the portfolio. The income typically consists of interest, dividends, and securities lending fees. This contrasts with the price return, which takes into account only the capital gain on an investment.'

Which means for our asset as example:
  • Looking at the total return, or performance of 137.1% in the last 5 years of Dow 30 Strategy unhedged, we see it is relatively higher, thus better in comparison to the benchmark DIA (78.2%)
  • During the last 3 years, the total return is 68.6%, which is higher, thus better than the value of 57.3% from the benchmark.

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark DIA (12.3%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 18.9% of Dow 30 Strategy unhedged is higher, thus better.
  • Looking at compounded annual growth rate (CAGR) in of 19% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to DIA (16.3%).

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.'

Which means for our asset as example:
  • Compared with the benchmark DIA (13.4%) in the period of the last 5 years, the historical 30 days volatility of 14.7% of Dow 30 Strategy unhedged is larger, thus worse.
  • During the last 3 years, the 30 days standard deviation is 14.2%, which is higher, thus worse than the value of 12.7% from the benchmark.

DownVol:

'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 (14.8%) in the period of the last 5 years, the downside volatility of 16.3% of Dow 30 Strategy unhedged is larger, thus worse.
  • Compared with DIA (14.2%) in the period of the last 3 years, the downside deviation of 15.9% is greater, 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.'

Applying this definition to our asset in some examples:
  • Looking at the risk / return profile (Sharpe) of 1.12 in the last 5 years of Dow 30 Strategy unhedged, we see it is relatively larger, thus better in comparison to the benchmark DIA (0.73)
  • Compared with DIA (1.09) in the period of the last 3 years, the Sharpe Ratio of 1.17 is larger, thus better.

Sortino:

'The Sortino ratio improves upon the Sharpe ratio by isolating downside volatility from total volatility by dividing excess return by the downside deviation. The Sortino ratio is a variation of the Sharpe ratio that differentiates harmful volatility from total overall volatility by using the asset's standard deviation of negative asset returns, called downside deviation. The Sortino ratio takes the asset's return and subtracts the risk-free rate, and then divides that amount by the asset's downside deviation. The ratio was named after Frank A. Sortino.'

Using this definition on our asset we see for example:
  • Looking at the excess return divided by the downside deviation of 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 (0.66)
  • During the last 3 years, the downside risk / excess return profile is 1.04, which is higher, thus better than the value of 0.97 from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark DIA (4.24 ) in the period of the last 5 years, the Ulcer Ratio of 4.2 of Dow 30 Strategy unhedged is lower, thus better.
  • Looking at Downside risk index in of 4.04 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to DIA (4.17 ).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark DIA (-18.1 days) in the period of the last 5 years, the maximum drop from peak to valley of -15.5 days of Dow 30 Strategy unhedged is higher, thus better.
  • Compared with DIA (-18.1 days) in the period of the last 3 years, the maximum reduction from previous high of -14.7 days is larger, thus better.

MaxDuration:

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

Which means for our asset as example:
  • Compared with the benchmark DIA (227 days) in the period of the last 5 years, the maximum days below previous high of 164 days of Dow 30 Strategy unhedged is lower, thus better.
  • Compared with DIA (161 days) in the period of the last 3 years, the maximum days under water of 94 days is smaller, thus better.

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.'

Applying this definition to our asset in some examples:
  • The average days under water over 5 years of Dow 30 Strategy unhedged is 30 days, which is smaller, thus better compared to the benchmark DIA (53 days) in the same period.
  • Compared with DIA (43 days) in the period of the last 3 years, the average days below previous high of 24 days is smaller, thus better.

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 (%)

  • "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.