NASDAQ 100 Balanced Unhedged Sub-strategy

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 QQQ (127.5%) in the period of the last 5 years, the total return of 393.9% of NASDAQ 100 Balanced Unhedged Sub-strategy is greater, thus better.
• During the last 3 years, the total return is 83%, which is smaller, thus worse than the value of 101.1% 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.'

• Compared with the benchmark QQQ (17.9%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 37.8% of NASDAQ 100 Balanced Unhedged Sub-strategy is larger, thus better.
• During the last 3 years, the compounded annual growth rate (CAGR) is 22.4%, which is smaller, thus worse than the value of 26.3% 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.'

• The 30 days standard deviation over 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy is 28.4%, which is higher, thus worse compared to the benchmark QQQ (23.5%) in the same period.
• Looking at volatility in of 25.8% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to QQQ (22.6%).

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.'

• Compared with the benchmark QQQ (16.3%) in the period of the last 5 years, the downside volatility of 18.7% of NASDAQ 100 Balanced Unhedged Sub-strategy is larger, thus worse.
• Looking at downside deviation in of 17.1% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to QQQ (14.9%).

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.'

• The ratio of return and volatility (Sharpe) over 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy is 1.24, which is greater, thus better compared to the benchmark QQQ (0.66) in the same period.
• During the last 3 years, the Sharpe Ratio is 0.77, which is lower, thus worse than the value of 1.06 from the benchmark.

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.'

• The ratio of annual return and downside deviation over 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy is 1.89, which is greater, thus better compared to the benchmark QQQ (0.95) in the same period.
• During the last 3 years, the excess return divided by the downside deviation is 1.17, which is lower, thus worse than the value of 1.59 from the benchmark.

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 Ulcer Index of 9 in the last 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy, we see it is relatively lower, thus better in comparison to the benchmark QQQ (14 )
• During the last 3 years, the Ulcer Ratio is 9.38 , which is greater, thus worse than the value of 7.9 from the benchmark.

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.'

• Compared with the benchmark QQQ (-35.1 days) in the period of the last 5 years, the maximum DrawDown of -25.8 days of NASDAQ 100 Balanced Unhedged Sub-strategy is larger, thus better.
• Looking at maximum drop from peak to valley in of -25.8 days in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to QQQ (-22.8 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.'

• Looking at the maximum days below previous high of 299 days in the last 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy, we see it is relatively lower, thus better in comparison to the benchmark QQQ (493 days)
• Compared with QQQ (190 days) in the period of the last 3 years, the maximum days below previous high of 134 days is lower, thus better.

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 days under water of 67 days in the last 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy, we see it is relatively lower, thus better in comparison to the benchmark QQQ (122 days)
• Compared with QQQ (47 days) in the period of the last 3 years, the average days under water of 43 days is smaller, thus better.