'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.'

Using this definition on our asset we see for example:- Compared with the benchmark DIA (114.6%) in the period of the last 5 years, the total return, or increase in value of 198.6% of Dow 30 Strategy unhedged is larger, thus better.
- Looking at total return, or performance in of 71.9% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to DIA (44.7%).

'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:- Compared with the benchmark DIA (16.5%) in the period of the last 5 years, the annual return (CAGR) of 24.5% of Dow 30 Strategy unhedged is larger, thus better.
- During the last 3 years, the annual performance (CAGR) is 19.8%, which is larger, thus better than the value of 13.1% from the benchmark.

'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.'

Using this definition on our asset we see for example:- Looking at the volatility of 21.9% in the last 5 years of Dow 30 Strategy unhedged, we see it is relatively greater, thus worse in comparison to the benchmark DIA (19.9%)
- During the last 3 years, the volatility is 25.6%, which is greater, thus worse than the value of 23.9% 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.'

Using this definition on our asset we see for example:- Compared with the benchmark DIA (14.4%) in the period of the last 5 years, the downside deviation of 15.6% of Dow 30 Strategy unhedged is greater, thus worse.
- Compared with DIA (17.4%) in the period of the last 3 years, the downside deviation of 18.4% is higher, thus worse.

'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.'

Which means for our asset as example:- Compared with the benchmark DIA (0.7) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 1 of Dow 30 Strategy unhedged is larger, thus better.
- Looking at Sharpe Ratio in of 0.68 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to DIA (0.44).

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

Applying this definition to our asset in some examples:- Compared with the benchmark DIA (0.97) in the period of the last 5 years, the excess return divided by the downside deviation of 1.41 of Dow 30 Strategy unhedged is larger, thus better.
- Looking at downside risk / excess return profile in of 0.94 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to DIA (0.61).

'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.'

Using this definition on our asset we see for example:- The Ulcer Ratio over 5 years of Dow 30 Strategy unhedged is 5.82 , which is lower, thus better compared to the benchmark DIA (6.28 ) in the same period.
- Compared with DIA (7.57 ) in the period of the last 3 years, the Ulcer Ratio of 7.19 is lower, thus better.

'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.'

Which means for our asset as example:- Compared with the benchmark DIA (-36.7 days) in the period of the last 5 years, the maximum DrawDown of -33.4 days of Dow 30 Strategy unhedged is higher, thus better.
- Looking at maximum DrawDown 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.'

Which means for our asset as 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.
- Looking at maximum time in days below previous high water mark in of 156 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to DIA (187 days).

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark DIA (46 days) in the period of the last 5 years, the average time in days below previous high water mark of 32 days of Dow 30 Strategy unhedged is lower, thus better.
- During the last 3 years, the average days below previous high is 33 days, which is lower, thus better than the value of 48 days from the benchmark.

Historical returns have been extended using synthetic data.
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- 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.