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 (96.6%) in the period of the last 5 years, the total return of 193.9% of NASDAQ 100 Balanced Unhedged Sub-strategy is higher, thus better.
• During the last 3 years, the total return is 85.8%, which is lower, thus worse than the value of 123.6% from the benchmark.

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 annual performance (CAGR) over 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy is 24.2%, which is larger, thus better compared to the benchmark QQQ (14.5%) in the same period.
• During the last 3 years, the compounded annual growth rate (CAGR) is 23%, which is lower, thus worse than the value of 30.9% 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.'

• Compared with the benchmark QQQ (22.6%) in the period of the last 5 years, the historical 30 days volatility of 26% of NASDAQ 100 Balanced Unhedged Sub-strategy is greater, thus worse.
• During the last 3 years, the 30 days standard deviation is 27.4%, which is greater, thus worse than the value of 19.8% from the benchmark.

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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 (15.7%) in the period of the last 5 years, the downside volatility of 17.4% of NASDAQ 100 Balanced Unhedged Sub-strategy is greater, thus worse.
• Looking at downside risk in of 18.4% 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 ratio of return and volatility (Sharpe) over 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy is 0.83, which is greater, thus better compared to the benchmark QQQ (0.53) in the same period.
• During the last 3 years, the risk / return profile (Sharpe) is 0.75, which is lower, thus worse than the value of 1.43 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.'

• Compared with the benchmark QQQ (0.76) in the period of the last 5 years, the excess return divided by the downside deviation of 1.25 of NASDAQ 100 Balanced Unhedged Sub-strategy is higher, thus better.
• During the last 3 years, the downside risk / excess return profile is 1.12, which is smaller, thus worse than the value of 2.15 from the benchmark.

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 12 of NASDAQ 100 Balanced Unhedged Sub-strategy is smaller, thus better.
• Compared with QQQ (4.7 ) in the period of the last 3 years, the Ulcer Ratio of 14 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.'

• Compared with the benchmark QQQ (-35.1 days) in the period of the last 5 years, the maximum reduction from previous high of -31.5 days of NASDAQ 100 Balanced Unhedged Sub-strategy is greater, thus better.
• Looking at maximum reduction from previous high in of -31.5 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 under water of 299 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 (493 days)
• Looking at maximum days under water in of 273 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to QQQ (85 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.'

• Looking at the average time in days below previous high water mark of 87 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 (121 days)
• Looking at average days below previous high in of 79 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to QQQ (25 days).