Description of Dow 30 Strategy unhedged

Statistics of Dow 30 Strategy unhedged (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.'

Applying this definition to our asset in some examples:
  • The total return, or increase in value over 5 years of Dow 30 Strategy unhedged is 110.4%, which is larger, thus better compared to the benchmark DIA (77.6%) in the same period.
  • During the last 3 years, the total return is 52.4%, which is smaller, thus worse than the value of 60.2% from the benchmark.

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark DIA (12.2%) in the period of the last 5 years, the annual performance (CAGR) of 16.1% of Dow 30 Strategy unhedged is greater, thus better.
  • During the last 3 years, the compounded annual growth rate (CAGR) is 15.1%, which is lower, thus worse than the value of 17% 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.'

Using this definition on our asset we see for example:
  • The volatility over 5 years of Dow 30 Strategy unhedged is 15%, which is higher, thus worse compared to the benchmark DIA (13.7%) in the same period.
  • During the last 3 years, the volatility is 14.8%, which is higher, thus worse than the value of 13.1% 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.'

Applying this definition to our asset in some examples:
  • Looking at the downside deviation of 16.7% in the last 5 years of Dow 30 Strategy unhedged, we see it is relatively higher, thus worse in comparison to the benchmark DIA (15.2%)
  • During the last 3 years, the downside deviation is 16.8%, which is higher, thus worse than the value of 14.9% 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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark DIA (0.71) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.9 of Dow 30 Strategy unhedged is larger, thus better.
  • Looking at ratio of return and volatility (Sharpe) in of 0.85 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to DIA (1.11).

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark DIA (0.64) in the period of the last 5 years, the excess return divided by the downside deviation of 0.81 of Dow 30 Strategy unhedged is larger, thus better.
  • Compared with DIA (0.97) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.75 is smaller, thus worse.

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark DIA (4.28 ) in the period of the last 5 years, the Ulcer Index of 5.24 of Dow 30 Strategy unhedged is greater, thus worse.
  • Compared with DIA (4.22 ) in the period of the last 3 years, the Ulcer Ratio of 5.72 is greater, 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.'

Applying this definition to our asset in some examples:
  • Looking at the maximum DrawDown of -21.3 days in the last 5 years of Dow 30 Strategy unhedged, we see it is relatively smaller, thus worse in comparison to the benchmark DIA (-18.1 days)
  • Looking at maximum DrawDown in of -21.3 days in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to DIA (-18.1 days).

MaxDuration:

'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.'

Using this definition on our asset we see for example:
  • The maximum days under water over 5 years of Dow 30 Strategy unhedged is 164 days, which is lower, thus better compared to the benchmark DIA (227 days) in the same period.
  • Looking at maximum days below previous high in of 103 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to DIA (161 days).

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.'

Applying this definition to our asset in some examples:
  • The average time in days below previous high water mark over 5 years of Dow 30 Strategy unhedged is 32 days, which is smaller, thus better compared to the benchmark DIA (53 days) in the same period.
  • Looking at average days under water in of 28 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to DIA (43 days).

Performance of Dow 30 Strategy unhedged (YTD)

Historical returns have been extended using synthetic data.

Allocations of Dow 30 Strategy unhedged
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Allocations

Returns of Dow 30 Strategy unhedged (%)

  • "Year" returns in the table above are not equal to 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.