'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.'

Using this definition on our asset we see for example:- Compared with the benchmark DIA (88.2%) in the period of the last 5 years, the total return of 157.3% of Dow 30 Strategy unhedged is larger, thus better.
- During the last 3 years, the total return, or increase in value is 65.3%, which is higher, thus better than the value of 35.6% from the benchmark.

'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.'

Which means for our asset as example:- Looking at the annual performance (CAGR) of 20.8% in the last 5 years of Dow 30 Strategy unhedged, we see it is relatively higher, thus better in comparison to the benchmark DIA (13.5%)
- Looking at annual return (CAGR) in of 18.2% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to DIA (10.7%).

'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:- Looking at the 30 days standard deviation of 21.6% in the last 5 years of Dow 30 Strategy unhedged, we see it is relatively greater, thus worse in comparison to the benchmark DIA (20.1%)
- Compared with DIA (24.5%) in the period of the last 3 years, the volatility of 25.9% is higher, thus worse.

'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:- Looking at the downside volatility of 15.5% in the last 5 years of Dow 30 Strategy unhedged, we see it is relatively higher, thus worse in comparison to the benchmark DIA (14.6%)
- Compared with DIA (17.9%) in the period of the last 3 years, the downside risk of 18.9% is higher, thus worse.

'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.'

Which means for our asset as example:- The Sharpe Ratio over 5 years of Dow 30 Strategy unhedged is 0.85, which is larger, thus better compared to the benchmark DIA (0.55) in the same period.
- Looking at ratio of return and volatility (Sharpe) in of 0.61 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to DIA (0.33).

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark DIA (0.75) in the period of the last 5 years, the downside risk / excess return profile of 1.18 of Dow 30 Strategy unhedged is larger, thus better.
- Compared with DIA (0.46) in the period of the last 3 years, the downside risk / excess return profile of 0.83 is larger, thus better.

'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:- Looking at the Ulcer Ratio of 5.86 in the last 5 years of Dow 30 Strategy unhedged, we see it is relatively smaller, thus better in comparison to the benchmark DIA (6.48 )
- Compared with DIA (8.05 ) in the period of the last 3 years, the Downside risk index of 7.25 is lower, 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.'

Which means for our asset as example:- Looking at the maximum reduction from previous high of -33.4 days in the last 5 years of Dow 30 Strategy unhedged, we see it is relatively greater, thus better in comparison to the benchmark DIA (-36.7 days)
- Compared with DIA (-36.7 days) in the period of the last 3 years, the maximum reduction from previous high of -33.4 days is larger, thus better.

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark DIA (187 days) in the period of the last 5 years, the maximum days below previous high of 156 days of Dow 30 Strategy unhedged is lower, thus better.
- Compared with DIA (187 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 156 days is lower, thus better.

'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:- Looking at the average time in days below previous high water mark of 33 days in the last 5 years of Dow 30 Strategy unhedged, we see it is relatively smaller, thus better in comparison to the benchmark DIA (48 days)
- Looking at average days below previous high in of 37 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to DIA (64 days).

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.