NASDAQ 100 Balanced Unhedged Sub-strategy

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 QQQ (125.8%) in the period of the last 5 years, the total return, or performance of 144.5% of NASDAQ 100 Balanced Unhedged Sub-strategy is larger, thus better.
• Compared with QQQ (113.1%) in the period of the last 3 years, the total return of 57.4% is lower, thus worse.

CAGR:

'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.'

• The compounded annual growth rate (CAGR) over 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy is 19.7%, which is higher, thus better compared to the benchmark QQQ (17.8%) in the same period.
• Looking at compounded annual growth rate (CAGR) in of 16.4% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to QQQ (28.9%).

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.'

• Looking at the volatility of 27.3% in the last 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy, we see it is relatively larger, thus worse in comparison to the benchmark QQQ (22.4%)
• Looking at historical 30 days volatility in of 28.2% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to QQQ (19.7%).

DownVol:

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

• Compared with the benchmark QQQ (15.5%) in the period of the last 5 years, the downside volatility of 18.6% of NASDAQ 100 Balanced Unhedged Sub-strategy is higher, thus worse.
• Looking at downside risk in of 19.8% in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to QQQ (13.2%).

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

• The risk / return profile (Sharpe) over 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy is 0.63, which is lower, thus worse compared to the benchmark QQQ (0.68) in the same period.
• During the last 3 years, the Sharpe Ratio is 0.49, which is smaller, thus worse than the value of 1.34 from the benchmark.

Sortino:

'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.'

• Compared with the benchmark QQQ (0.99) in the period of the last 5 years, the downside risk / excess return profile of 0.92 of NASDAQ 100 Balanced Unhedged Sub-strategy is lower, thus worse.
• Compared with QQQ (1.99) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.71 is smaller, thus worse.

Ulcer:

'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.'

• Compared with the benchmark QQQ (14 ) in the period of the last 5 years, the Downside risk index of 13 of NASDAQ 100 Balanced Unhedged Sub-strategy is smaller, thus better.
• Looking at Ulcer Index in of 15 in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to QQQ (4.85 ).

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 drop from peak to valley over 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy is -31.5 days, which is larger, thus better compared to the benchmark QQQ (-35.1 days) in the same period.
• During the last 3 years, the maximum reduction from previous high is -31.5 days, which is lower, thus worse than the value of -22.8 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.'

• Compared with the benchmark QQQ (493 days) in the period of the last 5 years, the maximum days below previous high of 359 days of NASDAQ 100 Balanced Unhedged Sub-strategy is lower, thus better.
• During the last 3 years, the maximum time in days below previous high water mark is 359 days, which is higher, thus worse than the value of 113 days from the benchmark.

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 below previous high of 108 days in the last 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy, we see it is relatively smaller, thus better in comparison to the benchmark QQQ (125 days)
• During the last 3 years, the average days under water is 110 days, which is higher, thus worse than the value of 31 days from the benchmark.