Dow 30 Strategy unhedged

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

• Compared with the benchmark DIA (41%) in the period of the last 5 years, the total return of 75.2% of Dow 30 Strategy unhedged is higher, thus better.
• Looking at total return in of 41.7% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to DIA (32.7%).

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.'

• The compounded annual growth rate (CAGR) over 5 years of Dow 30 Strategy unhedged is 11.9%, which is greater, thus better compared to the benchmark DIA (7.1%) in the same period.
• During the last 3 years, the annual performance (CAGR) is 12.3%, which is larger, thus better than the value of 9.9% from the benchmark.

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 (21.3%) in the period of the last 5 years, the 30 days standard deviation of 21.6% of Dow 30 Strategy unhedged is larger, thus worse.
• Looking at volatility in of 16.9% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to DIA (15.5%).

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 (15.4%) in the period of the last 5 years, the downside volatility of 15.1% of Dow 30 Strategy unhedged is lower, thus better.
• During the last 3 years, the downside deviation is 11.9%, which is greater, thus worse than the value of 10.8% from the benchmark.

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.'

• Compared with the benchmark DIA (0.22) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.43 of Dow 30 Strategy unhedged is greater, thus better.
• Compared with DIA (0.48) in the period of the last 3 years, the Sharpe Ratio of 0.58 is higher, 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.'

• The downside risk / excess return profile over 5 years of Dow 30 Strategy unhedged is 0.62, which is higher, thus better compared to the benchmark DIA (0.3) in the same period.
• Looking at excess return divided by the downside deviation in of 0.83 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to DIA (0.69).

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.'

• Looking at the Downside risk index of 7.39 in the last 5 years of Dow 30 Strategy unhedged, we see it is relatively lower, thus better in comparison to the benchmark DIA (7.94 )
• Looking at Ulcer Index in of 7.55 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to DIA (6.97 ).

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.'

• Compared with the benchmark DIA (-36.7 days) in the period of the last 5 years, the maximum drop from peak to valley of -27.8 days of Dow 30 Strategy unhedged is greater, thus better.
• During the last 3 years, the maximum reduction from previous high is -18.1 days, which is larger, thus better than the value of -20.8 days from the benchmark.

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.'

• The maximum days below previous high over 5 years of Dow 30 Strategy unhedged is 359 days, which is smaller, thus better compared to the benchmark DIA (430 days) in the same period.
• During the last 3 years, the maximum time in days below previous high water mark is 359 days, which is smaller, thus better than the value of 430 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.'

• Looking at the average time in days below previous high water mark of 84 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 (109 days)
• During the last 3 years, the average days under water is 103 days, which is lower, thus better than the value of 139 days from the benchmark.