Statistics (YTD)

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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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark DIA (64%) in the period of the last 5 years, the total return of 119.7% of Dow 30 Strategy unhedged is larger, thus better.
  • Looking at total return, or performance in of 34.8% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to DIA (29.5%).

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

Using this definition on our asset we see for example:
  • Compared with the benchmark DIA (10.4%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 17.1% of Dow 30 Strategy unhedged is greater, thus better.
  • Compared with DIA (9%) in the period of the last 3 years, the annual performance (CAGR) of 10.5% is greater, thus better.

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.'

Using this definition on our asset we see for example:
  • The historical 30 days volatility over 5 years of Dow 30 Strategy unhedged is 21.1%, which is greater, thus worse compared to the benchmark DIA (20.7%) in the same period.
  • During the last 3 years, the historical 30 days volatility is 16.4%, which is larger, thus worse than the value of 14.8% from the benchmark.

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.'

Using this definition on our asset we see for example:
  • The downside risk over 5 years of Dow 30 Strategy unhedged is 14.6%, which is smaller, thus better compared to the benchmark DIA (14.9%) in the same period.
  • During the last 3 years, the downside deviation is 11.5%, which is larger, thus worse than the value of 10.4% from the benchmark.

Sharpe:

'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:
  • Compared with the benchmark DIA (0.38) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.69 of Dow 30 Strategy unhedged is higher, thus better.
  • Compared with DIA (0.44) in the period of the last 3 years, the Sharpe Ratio of 0.49 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.'

Using this definition on our asset we see for example:
  • The downside risk / excess return profile over 5 years of Dow 30 Strategy unhedged is 1, which is greater, thus better compared to the benchmark DIA (0.53) in the same period.
  • During the last 3 years, the ratio of annual return and downside deviation is 0.69, which is larger, thus better than the value of 0.63 from the benchmark.

Ulcer:

'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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark DIA (7.69 ) in the period of the last 5 years, the Ulcer Index of 7.35 of Dow 30 Strategy unhedged is lower, thus better.
  • Compared with DIA (7.05 ) in the period of the last 3 years, the Downside risk index of 8.09 is higher, thus worse.

MaxDD:

'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 DrawDown of -27.8 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)
  • During the last 3 years, the maximum reduction from previous high 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) in days.'

Which means for our asset as example:
  • The maximum days under water 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 under water is 424 days, which is lower, thus better than the value of 477 days from the benchmark.

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.'

Which means for our asset as example:
  • The average days under water over 5 years of Dow 30 Strategy unhedged is 96 days, which is lower, thus better compared to the benchmark DIA (123 days) in the same period.
  • Looking at average days below previous high in of 136 days in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to DIA (170 days).

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations ()

Allocations

Returns (%)

  • 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.