Dow 30 Strategy unhedged

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.'

• Looking at the total return, or increase in value of 104.6% in the last 5 years of Dow 30 Strategy unhedged, we see it is relatively higher, thus better in comparison to the benchmark DIA (61.9%)
• Looking at total return in of 100.6% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to DIA (61.1%).

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.'

• Compared with the benchmark DIA (10.2%) in the period of the last 5 years, the annual performance (CAGR) of 15.5% of Dow 30 Strategy unhedged is greater, thus better.
• Looking at annual performance (CAGR) in of 26.2% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to DIA (17.3%).

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.'

• Compared with the benchmark DIA (14.8%) in the period of the last 5 years, the 30 days standard deviation of 17.1% of Dow 30 Strategy unhedged is higher, thus worse.
• During the last 3 years, the historical 30 days volatility is 17.6%, which is higher, thus worse than the value of 13.7% 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.'

• Compared with the benchmark DIA (10.2%) in the period of the last 5 years, the downside risk of 11.8% of Dow 30 Strategy unhedged is greater, thus worse.
• Looking at downside volatility in of 11.7% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to DIA (9.1%).

Sharpe:

'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.'

• The risk / return profile (Sharpe) over 5 years of Dow 30 Strategy unhedged is 0.76, which is larger, thus better compared to the benchmark DIA (0.52) in the same period.
• Compared with DIA (1.08) in the period of the last 3 years, the risk / return profile (Sharpe) of 1.35 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.'

• Looking at the excess return divided by the downside deviation of 1.1 in the last 5 years of Dow 30 Strategy unhedged, we see it is relatively larger, thus better in comparison to the benchmark DIA (0.75)
• During the last 3 years, the excess return divided by the downside deviation is 2.03, which is greater, thus better than the value of 1.63 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.'

• Compared with the benchmark DIA (6.03 ) in the period of the last 5 years, the Ulcer Index of 7.31 of Dow 30 Strategy unhedged is greater, thus worse.
• Looking at Ulcer Index in of 5.15 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to DIA (3.39 ).

MaxDD:

'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.'

• The maximum reduction from previous high over 5 years of Dow 30 Strategy unhedged is -18.9 days, which is larger, thus better compared to the benchmark DIA (-20.8 days) in the same period.
• Looking at maximum reduction from previous high in of -18.9 days in the period of the last 3 years, we see it is relatively smaller, 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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• Compared with the benchmark DIA (477 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 424 days of Dow 30 Strategy unhedged is lower, thus better.
• Compared with DIA (142 days) in the period of the last 3 years, the maximum days under water of 225 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.'

• Looking at the average days below previous high of 111 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 (117 days)
• Looking at average time in days below previous high water mark in of 56 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to DIA (26 days).