Dow 30 Strategy unhedged

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

• The total return, or increase in value over 5 years of Dow 30 Strategy unhedged is 80.4%, which is higher, thus better compared to the benchmark DIA (55.7%) in the same period.
• Compared with DIA (55.2%) in the period of the last 3 years, the total return of 70.4% is greater, thus better.

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.'

• Compared with the benchmark DIA (9.3%) in the period of the last 5 years, the annual performance (CAGR) of 12.6% of Dow 30 Strategy unhedged is higher, thus better.
• Looking at compounded annual growth rate (CAGR) in of 19.5% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to DIA (15.9%).

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 (14.8%) in the period of the last 5 years, the historical 30 days volatility of 16.9% of Dow 30 Strategy unhedged is greater, thus worse.
• Looking at volatility in of 16.7% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to DIA (13.5%).

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• The downside risk over 5 years of Dow 30 Strategy unhedged is 11.7%, which is higher, thus worse compared to the benchmark DIA (10.2%) in the same period.
• During the last 3 years, the downside volatility is 11.3%, which is larger, thus worse than the value of 8.9% from the benchmark.

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.'

• Compared with the benchmark DIA (0.46) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.6 of Dow 30 Strategy unhedged is higher, thus better.
• Compared with DIA (0.99) in the period of the last 3 years, the Sharpe Ratio of 1.02 is larger, thus better.

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.'

• Looking at the downside risk / excess return profile of 0.86 in the last 5 years of Dow 30 Strategy unhedged, we see it is relatively higher, thus better in comparison to the benchmark DIA (0.67)
• Looking at ratio of annual return and downside deviation in of 1.51 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to DIA (1.5).

Ulcer:

'The ulcer index is a stock market risk measure or technical analysis indicator devised by Peter Martin in 1987, and published by him and Byron McCann in their 1989 book The Investors Guide to Fidelity Funds. It's designed as a measure of volatility, but only volatility in the downward direction, i.e. the amount of drawdown or retracement occurring over a period. Other volatility measures like standard deviation treat up and down movement equally, but a trader doesn't mind upward movement, it's the downside that causes stress and stomach ulcers that the index's name suggests.'

• Compared with the benchmark DIA (6.01 ) in the period of the last 5 years, the Ulcer Ratio of 7.31 of Dow 30 Strategy unhedged is higher, thus worse.
• Compared with DIA (3.52 ) in the period of the last 3 years, the Downside risk index of 5.32 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 DrawDown over 5 years of Dow 30 Strategy unhedged is -18.9 days, which is greater, thus better compared to the benchmark DIA (-20.8 days) in the same period.
• Looking at maximum drop from peak to valley 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'

• The maximum days under water over 5 years of Dow 30 Strategy unhedged is 424 days, which is smaller, thus better compared to the benchmark DIA (477 days) in the same period.
• Looking at maximum days under water in of 225 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to DIA (142 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.'

• The average days below previous high over 5 years of Dow 30 Strategy unhedged is 111 days, which is lower, thus better compared to the benchmark DIA (115 days) in the same period.
• Compared with DIA (29 days) in the period of the last 3 years, the average days below previous high of 56 days is greater, thus worse.