Dow 30 Strategy unhedged

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.'

• Compared with the benchmark DIA (60.4%) in the period of the last 5 years, the total return, or increase in value of 96.3% of Dow 30 Strategy unhedged is larger, thus better.
• Compared with DIA (60.9%) in the period of the last 3 years, the total return of 91.8% is larger, thus better.

CAGR:

'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.'

• The annual performance (CAGR) over 5 years of Dow 30 Strategy unhedged is 14.5%, which is greater, thus better compared to the benchmark DIA (10%) in the same period.
• During the last 3 years, the compounded annual growth rate (CAGR) is 24.4%, which is greater, thus better than the value of 17.3% 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.'

• Compared with the benchmark DIA (14.8%) in the period of the last 5 years, the volatility of 16.9% of Dow 30 Strategy unhedged is greater, thus worse.
• Compared with DIA (13.5%) in the period of the last 3 years, the 30 days standard deviation of 17% is higher, thus worse.

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.'

• The downside deviation over 5 years of Dow 30 Strategy unhedged is 11.6%, which is higher, thus worse compared to the benchmark DIA (10.1%) in the same period.
• During the last 3 years, the downside volatility is 11.2%, which is larger, thus worse than the value of 8.9% from the benchmark.

Sharpe:

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

• Compared with the benchmark DIA (0.5) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.71 of Dow 30 Strategy unhedged is higher, thus better.
• During the last 3 years, the risk / return profile (Sharpe) is 1.29, which is higher, thus better than the value of 1.1 from the benchmark.

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.'

• The excess return divided by the downside deviation over 5 years of Dow 30 Strategy unhedged is 1.03, which is larger, thus better compared to the benchmark DIA (0.73) in the same period.
• Compared with DIA (1.67) in the period of the last 3 years, the downside risk / excess return profile of 1.95 is larger, thus better.

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• Looking at the Downside risk index of 7.31 in the last 5 years of Dow 30 Strategy unhedged, we see it is relatively larger, thus worse in comparison to the benchmark DIA (6.01 )
• Looking at Downside risk index in of 5.32 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to DIA (3.52 ).

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

• The maximum drop from peak to valley 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 reduction from previous high 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) in days.'

• The maximum days below previous high over 5 years of Dow 30 Strategy unhedged is 424 days, which is lower, thus better compared to the benchmark DIA (477 days) in the same period.
• During the last 3 years, the maximum days below previous high is 225 days, which is larger, thus worse than the value of 142 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 111 days in the last 5 years of Dow 30 Strategy unhedged, we see it is relatively lower, thus better in comparison to the benchmark DIA (116 days)
• Compared with DIA (29 days) in the period of the last 3 years, the average time in days below previous high water mark of 57 days is larger, thus worse.