NASDAQ 100 Leaders 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.'

• Looking at the total return, or performance of 199.2% in the last 5 years of NASDAQ 100 Leaders Sub-strategy, we see it is relatively greater, thus better in comparison to the benchmark QQQ (130.5%)
• Compared with QQQ (95.3%) in the period of the last 3 years, the total return of 61.2% 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.'

• Looking at the annual return (CAGR) of 24.6% in the last 5 years of NASDAQ 100 Leaders Sub-strategy, we see it is relatively larger, thus better in comparison to the benchmark QQQ (18.2%)
• During the last 3 years, the annual performance (CAGR) is 17.3%, which is lower, thus worse than the value of 25.1% from the benchmark.

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 Leaders Sub-strategy is 35.2%, which is higher, thus worse compared to the benchmark QQQ (23.5%) in the same period.
• Compared with QQQ (22.9%) in the period of the last 3 years, the volatility of 30.1% is larger, thus worse.

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 (16.3%) in the period of the last 5 years, the downside risk of 24.4% of NASDAQ 100 Leaders Sub-strategy is larger, thus worse.
• Looking at downside risk in of 20.4% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to QQQ (15.2%).

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 Leaders Sub-strategy is 0.63, which is lower, thus worse compared to the benchmark QQQ (0.67) in the same period.
• Compared with QQQ (0.99) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.49 is lower, thus worse.

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 downside risk / excess return profile over 5 years of NASDAQ 100 Leaders Sub-strategy is 0.9, which is lower, thus worse compared to the benchmark QQQ (0.96) in the same period.
• Looking at excess return divided by the downside deviation in of 0.73 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to QQQ (1.48).

Ulcer:

'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.'

• Compared with the benchmark QQQ (14 ) in the period of the last 5 years, the Ulcer Index of 23 of NASDAQ 100 Leaders Sub-strategy is greater, thus worse.
• Compared with QQQ (7.91 ) in the period of the last 3 years, the Ulcer Ratio of 16 is greater, thus worse.

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 drop from peak to valley over 5 years of NASDAQ 100 Leaders Sub-strategy is -45.1 days, which is smaller, thus worse compared to the benchmark QQQ (-35.1 days) in the same period.
• During the last 3 years, the maximum reduction from previous high is -30.8 days, which is smaller, thus worse than the value of -22.8 days from the benchmark.

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 507 days in the last 5 years of NASDAQ 100 Leaders Sub-strategy, we see it is relatively greater, thus worse in comparison to the benchmark QQQ (493 days)
• Looking at maximum days under water in of 263 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to QQQ (190 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.'

• Compared with the benchmark QQQ (121 days) in the period of the last 5 years, the average time in days below previous high water mark of 155 days of NASDAQ 100 Leaders Sub-strategy is larger, thus worse.
• Looking at average days below previous high in of 75 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to QQQ (46 days).