'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:- Compared with the benchmark DIA (64.1%) in the period of the last 5 years, the total return, or performance of 130.7% of Dow 30 Strategy unhedged is larger, thus better.
- Looking at total return, or increase in value in of 62.5% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to DIA (28.9%).

'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.'

Which means for our asset as example:- The annual performance (CAGR) over 5 years of Dow 30 Strategy unhedged is 18.2%, which is greater, thus better compared to the benchmark DIA (10.4%) in the same period.
- Looking at compounded annual growth rate (CAGR) in of 17.6% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to DIA (8.8%).

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark DIA (20.1%) in the period of the last 5 years, the 30 days standard deviation of 21.4% of Dow 30 Strategy unhedged is greater, thus worse.
- During the last 3 years, the historical 30 days volatility is 24.8%, which is greater, thus worse than the value of 23.8% from the benchmark.

'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.'

Which means for our asset as example:- Looking at the downside deviation of 15.4% in the last 5 years of Dow 30 Strategy unhedged, we see it is relatively greater, thus worse in comparison to the benchmark DIA (14.7%)
- Looking at downside volatility in of 18.1% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to DIA (17.5%).

'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.'

Applying this definition to our asset in some examples:- Looking at the ratio of return and volatility (Sharpe) of 0.73 in the last 5 years of Dow 30 Strategy unhedged, we see it is relatively larger, thus better in comparison to the benchmark DIA (0.39)
- Compared with DIA (0.27) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.61 is larger, thus better.

'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.'

Which means for our asset as example:- Looking at the excess return divided by the downside deviation of 1.02 in the last 5 years of Dow 30 Strategy unhedged, we see it is relatively larger, thus better in comparison to the benchmark DIA (0.54)
- Looking at downside risk / excess return profile in of 0.83 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to DIA (0.36).

'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.'

Which means for our asset as example:- Compared with the benchmark DIA (6.48 ) in the period of the last 5 years, the Ulcer Index of 5.7 of Dow 30 Strategy unhedged is smaller, thus better.
- Compared with DIA (7.76 ) in the period of the last 3 years, the Ulcer Ratio of 6.73 is smaller, thus better.

'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.'

Using this definition on our asset we see for example:- Looking at the maximum drop from peak to valley of -33.4 days in the last 5 years of Dow 30 Strategy unhedged, we see it is relatively higher, thus better in comparison to the benchmark DIA (-36.7 days)
- Looking at maximum reduction from previous high in of -33.4 days in the period of the last 3 years, we see it is relatively larger, thus better in comparison to DIA (-36.7 days).

'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.'

Applying this definition to our asset in some examples:- The maximum time in days below previous high water mark over 5 years of Dow 30 Strategy unhedged is 114 days, which is lower, thus better compared to the benchmark DIA (186 days) in the same period.
- During the last 3 years, the maximum time in days below previous high water mark is 114 days, which is smaller, thus better than the value of 161 days from the benchmark.

'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 28 days, which is lower, thus better compared to the benchmark DIA (49 days) in the same period.
- During the last 3 years, the average time in days below previous high water mark is 28 days, which is lower, thus better than the value of 48 days from the benchmark.

Historical returns have been extended using synthetic data.
[Show Details]

Allocations and holdings shown below are delayed by one month. To see current trading allocations of Dow 30 Strategy unhedged, register now.

()

- Note that yearly returns do not equal 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.