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 (161.1%) in the period of the last 5 years, the total return, or performance of 839.1% of NASDAQ 100 Balanced Unhedged Sub-strategy is greater, thus better.
• During the last 3 years, the total return, or performance is 82.5%, which is larger, thus better than the value of 31.2% from the benchmark.

CAGR:

'Compound annual growth rate (CAGR) is a business and investing specific term for the geometric progression ratio that provides a constant rate of return over the time period. CAGR is not an accounting term, but it is often used to describe some element of the business, for example revenue, units delivered, registered users, etc. CAGR dampens the effect of volatility of periodic returns that can render arithmetic means irrelevant. It is particularly useful to compare growth rates from various data sets of common domain such as revenue growth of companies in the same industry.'

• Compared with the benchmark QQQ (21.2%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 56.7% of NASDAQ 100 Balanced Unhedged Sub-strategy is greater, thus better.
• Looking at annual performance (CAGR) in of 22.3% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to QQQ (9.5%).

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

• The 30 days standard deviation over 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy is 30%, which is larger, thus worse compared to the benchmark QQQ (23.1%) in the same period.
• During the last 3 years, the volatility is 24.9%, which is larger, thus worse than the value of 22.9% from the benchmark.

DownVol:

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

• Looking at the downside volatility of 19.2% in the last 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy, we see it is relatively greater, thus worse in comparison to the benchmark QQQ (16.2%)
• During the last 3 years, the downside deviation is 16.5%, which is greater, thus worse than the value of 16.2% from the benchmark.

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.'

• Looking at the Sharpe Ratio of 1.81 in the last 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy, we see it is relatively higher, thus better in comparison to the benchmark QQQ (0.81)
• Compared with QQQ (0.31) in the period of the last 3 years, the Sharpe Ratio of 0.8 is greater, thus better.

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 2.83, which is greater, thus better compared to the benchmark QQQ (1.16) in the same period.
• During the last 3 years, the downside risk / excess return profile is 1.2, which is greater, thus better than the value of 0.43 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.'

• Looking at the Ulcer Ratio of 7.78 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 (13 )
• Looking at Ulcer Ratio in of 7.47 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to QQQ (13 ).

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

• The maximum DrawDown over 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy is -20.5 days, which is larger, thus better compared to the benchmark QQQ (-35.1 days) in the same period.
• Compared with QQQ (-29.6 days) in the period of the last 3 years, the maximum drop from peak to valley of -20.5 days is larger, thus better.

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 smaller, thus better in comparison to the benchmark QQQ (493 days)
• Looking at maximum days below previous high in of 134 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to QQQ (304 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.'

• The average days below previous high over 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy is 62 days, which is smaller, thus better compared to the benchmark QQQ (121 days) in the same period.
• Compared with QQQ (81 days) in the period of the last 3 years, the average days under water of 38 days is lower, thus better.