Description of Dow 30 Strategy unhedged

Statistics of Dow 30 Strategy unhedged (YTD)

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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.'

Using this definition on our asset we see for example:
  • Looking at the total return, or performance of 163.6% in the last 5 years of Dow 30 Strategy unhedged, we see it is relatively larger, thus better in comparison to the benchmark DIA (78.3%)
  • Compared with DIA (58%) in the period of the last 3 years, the total return of 92.9% is larger, thus better.

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.'

Using this definition on our asset we see for example:
  • Looking at the annual performance (CAGR) of 21.4% in the last 5 years of Dow 30 Strategy unhedged, we see it is relatively greater, thus better in comparison to the benchmark DIA (12.3%)
  • During the last 3 years, the compounded annual growth rate (CAGR) is 24.5%, which is larger, thus better than the value of 16.5% from the benchmark.

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.'

Which means for our asset as example:
  • The historical 30 days volatility over 5 years of Dow 30 Strategy unhedged is 14.4%, which is higher, thus worse compared to the benchmark DIA (13.3%) in the same period.
  • During the last 3 years, the historical 30 days volatility is 13.7%, which is higher, thus worse than the value of 12.7% from the benchmark.

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.'

Using this definition on our asset we see for example:
  • The downside deviation over 5 years of Dow 30 Strategy unhedged is 15.7%, which is larger, thus worse compared to the benchmark DIA (14.7%) in the same period.
  • Compared with DIA (14.3%) in the period of the last 3 years, the downside risk of 15% is higher, thus worse.

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.'

Using this definition on our asset we see for example:
  • Looking at the Sharpe Ratio of 1.32 in the last 5 years of Dow 30 Strategy unhedged, we see it is relatively greater, thus better in comparison to the benchmark DIA (0.74)
  • During the last 3 years, the risk / return profile (Sharpe) is 1.61, which is larger, thus better than the value of 1.1 from the benchmark.

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 ratio of annual return and downside deviation of 1.2 in the last 5 years of Dow 30 Strategy unhedged, we see it is relatively higher, thus better in comparison to the benchmark DIA (0.66)
  • Compared with DIA (0.98) in the period of the last 3 years, the excess return divided by the downside deviation of 1.46 is higher, thus better.

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.'

Using this definition on our asset we see for example:
  • The Downside risk index over 5 years of Dow 30 Strategy unhedged is 3.61 , which is lower, thus worse compared to the benchmark DIA (4.21 ) in the same period.
  • During the last 3 years, the Downside risk index is 2.88 , which is lower, thus worse than the value of 4.12 from the benchmark.

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.'

Applying this definition to our asset in some examples:
  • The maximum DrawDown over 5 years of Dow 30 Strategy unhedged is -15.5 days, which is higher, thus better compared to the benchmark DIA (-18.1 days) in the same period.
  • Compared with DIA (-18.1 days) in the period of the last 3 years, the maximum DrawDown of -9.9 days is higher, thus better.

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.'

Applying this definition to our asset in some examples:
  • The maximum days below previous high over 5 years of Dow 30 Strategy unhedged is 164 days, which is lower, thus better compared to the benchmark DIA (227 days) in the same period.
  • During the last 3 years, the maximum days under water is 94 days, which is lower, thus better than the value of 161 days from the benchmark.

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.'

Which means for our asset as example:
  • Compared with the benchmark DIA (51 days) in the period of the last 5 years, the average days under water of 30 days of Dow 30 Strategy unhedged is smaller, thus better.
  • Looking at average days below previous high in of 22 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to DIA (40 days).

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.