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.'

• Compared with the benchmark DIA (67.4%) in the period of the last 5 years, the total return of 122% of Dow 30 Strategy unhedged is higher, thus better.
• Compared with DIA (23.8%) in the period of the last 3 years, the total return of 35.5% 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.'

• Compared with the benchmark DIA (10.9%) in the period of the last 5 years, the annual performance (CAGR) of 17.3% of Dow 30 Strategy unhedged is higher, thus better.
• Looking at annual performance (CAGR) in of 10.7% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to DIA (7.4%).

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

• The 30 days standard deviation over 5 years of Dow 30 Strategy unhedged is 21.3%, which is greater, thus worse compared to the benchmark DIA (20.6%) in the same period.
• Looking at historical 30 days volatility in of 16.2% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to DIA (14.8%).

DownVol:

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

• Compared with the benchmark DIA (14.8%) in the period of the last 5 years, the downside deviation of 14.7% of Dow 30 Strategy unhedged is smaller, thus better.
• Looking at downside volatility in of 11.5% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to DIA (10.4%).

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.'

• The risk / return profile (Sharpe) over 5 years of Dow 30 Strategy unhedged is 0.7, which is higher, thus better compared to the benchmark DIA (0.41) in the same period.
• Looking at ratio of return and volatility (Sharpe) in of 0.51 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to DIA (0.33).

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.'

• Looking at the downside risk / excess return profile of 1.01 in the last 5 years of Dow 30 Strategy unhedged, we see it is relatively larger, thus better in comparison to the benchmark DIA (0.57)
• Compared with DIA (0.47) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.71 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.'

• The Downside risk index over 5 years of Dow 30 Strategy unhedged is 7.38 , which is smaller, thus better compared to the benchmark DIA (7.68 ) in the same period.
• Looking at Ulcer Ratio in of 8.08 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to DIA (7.1 ).

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 DrawDown over 5 years of Dow 30 Strategy unhedged is -27.8 days, which is greater, thus better compared to the benchmark DIA (-36.7 days) in the same period.
• During the last 3 years, the maximum drop from peak to valley is -18.1 days, which is higher, 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). 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'

• Looking at the maximum time in days below previous high water mark of 424 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 (477 days)
• Looking at maximum days below previous high in of 424 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to DIA (477 days).

AveDuration:

'The Average 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. 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.'

• Compared with the benchmark DIA (122 days) in the period of the last 5 years, the average days under water of 97 days of Dow 30 Strategy unhedged is lower, thus better.
• During the last 3 years, the average days below previous high is 141 days, which is smaller, thus better than the value of 169 days from the benchmark.