The NASDAQ 100 leaders is a sub-strategy that uses proprietary risk-adjusted momentum to pick the most appropriate 4 NASDAQ 100 stocks. It is part for the Nasdaq 100 hedged strategy where it is combined with a variable hedge.

The model chooses four individual stocks from the NASDAQ 100 stock index. So depending on what stocks are in the NASDAQ 100, the stock rotation formula might include the new ones.

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

Which means for our asset as example:- The total return, or increase in value over 5 years of NASDAQ 100 Leaders Sub-strategy is 555.2%, which is higher, thus better compared to the benchmark QQQ (155.2%) in the same period.
- Compared with QQQ (28.8%) in the period of the last 3 years, the total return, or performance of 47.2% is higher, thus better.

'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.'

Which means for our asset as example:- The annual performance (CAGR) over 5 years of NASDAQ 100 Leaders Sub-strategy is 45.7%, which is larger, thus better compared to the benchmark QQQ (20.6%) in the same period.
- Compared with QQQ (8.8%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 13.8% is larger, thus better.

'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.'

Which means for our asset as example:- Looking at the historical 30 days volatility of 37.8% in the last 5 years of NASDAQ 100 Leaders Sub-strategy, we see it is relatively higher, thus worse in comparison to the benchmark QQQ (25.5%)
- Compared with QQQ (23.8%) in the period of the last 3 years, the volatility of 32.3% is larger, thus worse.

'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.'

Applying this definition to our asset in some examples:- The downside volatility over 5 years of NASDAQ 100 Leaders Sub-strategy is 25.7%, which is greater, thus worse compared to the benchmark QQQ (18%) in the same period.
- Compared with QQQ (16.8%) in the period of the last 3 years, the downside risk of 22% is higher, thus worse.

'The Sharpe ratio (also known as the Sharpe index, the Sharpe measure, and the reward-to-variability ratio) is a way to examine the performance of an investment by adjusting for its risk. The ratio measures the excess return (or risk premium) per unit of deviation in an investment asset or a trading strategy, typically referred to as risk, named after William F. Sharpe.'

Which means for our asset as example:- The ratio of return and volatility (Sharpe) over 5 years of NASDAQ 100 Leaders Sub-strategy is 1.14, which is larger, thus better compared to the benchmark QQQ (0.71) in the same period.
- Looking at Sharpe Ratio in of 0.35 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to QQQ (0.27).

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark QQQ (1.01) in the period of the last 5 years, the excess return divided by the downside deviation of 1.68 of NASDAQ 100 Leaders Sub-strategy is greater, thus better.
- Compared with QQQ (0.38) in the period of the last 3 years, the ratio of annual return and downside deviation of 0.51 is greater, thus better.

'The Ulcer Index is a technical indicator that measures downside risk, in terms of both the depth and duration of price declines. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. The indicator is usually calculated over a 14-day period, with the Ulcer Index showing the percentage drawdown a trader can expect from the high over that period. The greater the value of the Ulcer Index, the longer it takes for a stock to get back to the former high.'

Which means for our asset as example:- Compared with the benchmark QQQ (14 ) in the period of the last 5 years, the Ulcer Index of 21 of NASDAQ 100 Leaders Sub-strategy is larger, thus worse.
- Looking at Downside risk index in of 24 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to QQQ (17 ).

'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.'

Using this definition on our asset we see for example:- Compared with the benchmark QQQ (-35.1 days) in the period of the last 5 years, the maximum DrawDown of -45.1 days of NASDAQ 100 Leaders Sub-strategy is lower, thus worse.
- Compared with QQQ (-35.1 days) in the period of the last 3 years, the maximum reduction from previous high of -45.1 days is lower, thus worse.

'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.'

Applying this definition to our asset in some examples:- Compared with the benchmark QQQ (493 days) in the period of the last 5 years, the maximum days under water of 507 days of NASDAQ 100 Leaders Sub-strategy is greater, thus worse.
- Compared with QQQ (493 days) in the period of the last 3 years, the maximum days below previous high of 507 days is higher, thus worse.

'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.'

Using this definition on our asset we see for example:- The average days below previous high over 5 years of NASDAQ 100 Leaders Sub-strategy is 134 days, which is greater, thus worse compared to the benchmark QQQ (122 days) in the same period.
- Looking at average time in days below previous high water mark in of 188 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to QQQ (178 days).

Historical returns have been extended using synthetic data.
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- Note that yearly returns do not equal the sum of monthly returns due to compounding.
- Performance results of NASDAQ 100 Leaders Sub-strategy are hypothetical and do not account for slippage, fees or taxes.
- Results may be based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.