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 (89%) in the period of the last 5 years, the total return, or increase in value of 183% of NASDAQ 100 Balanced Unhedged Sub-strategy is higher, thus better.
• During the last 3 years, the total return is 63.2%, which is smaller, thus worse than the value of 101.4% 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 (13.6%) in the period of the last 5 years, the annual return (CAGR) of 23.2% of NASDAQ 100 Balanced Unhedged Sub-strategy is greater, thus better.
• Compared with QQQ (26.4%) in the period of the last 3 years, the annual performance (CAGR) of 17.8% is lower, thus worse.

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 volatility over 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy is 25.8%, which is higher, thus worse compared to the benchmark QQQ (22.5%) in the same period.
• Compared with QQQ (19.6%) in the period of the last 3 years, the historical 30 days volatility of 26.9% is higher, thus worse.

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.'

• Looking at the downside deviation of 17.2% in the last 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy, we see it is relatively higher, thus worse in comparison to the benchmark QQQ (15.7%)
• Looking at downside deviation in of 18.4% in the period of the last 3 years, we see it is relatively larger, 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 0.8, which is larger, thus better compared to the benchmark QQQ (0.49) in the same period.
• Looking at risk / return profile (Sharpe) in of 0.57 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to QQQ (1.22).

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.'

• The downside risk / excess return profile over 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy is 1.2, which is greater, thus better compared to the benchmark QQQ (0.71) in the same period.
• Looking at ratio of annual return and downside deviation in of 0.83 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to QQQ (1.81).

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 Ulcer Ratio of 12 of NASDAQ 100 Balanced Unhedged Sub-strategy is lower, thus better.
• Compared with QQQ (4.69 ) 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.'

• The maximum DrawDown over 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy is -31.5 days, which is higher, thus better compared to the benchmark QQQ (-35.1 days) in the same period.
• 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 smaller, thus worse in comparison to QQQ (-22.8 days).

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.'

• The maximum days below previous high over 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy is 299 days, which is lower, thus better compared to the benchmark QQQ (493 days) in the same period.
• Compared with QQQ (85 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 282 days is greater, thus worse.

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.'

• The average days below previous high over 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy is 89 days, which is smaller, thus better compared to the benchmark QQQ (121 days) in the same period.
• Looking at average days below previous high in of 80 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to QQQ (25 days).