NASDAQ 100 Leaders Sub-strategy

TotalReturn:

'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.'

• Looking at the total return, or performance of 165.9% in the last 5 years of NASDAQ 100 Leaders Sub-strategy, we see it is relatively higher, thus better in comparison to the benchmark QQQ (120.3%)
• Looking at total return, or performance in of 71.7% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to QQQ (97.9%).

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 (17.2%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 21.7% of NASDAQ 100 Leaders Sub-strategy is larger, thus better.
• During the last 3 years, the compounded annual growth rate (CAGR) is 19.9%, which is lower, thus worse than the value of 25.7% 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.'

• Compared with the benchmark QQQ (23.4%) in the period of the last 5 years, the historical 30 days volatility of 34.8% of NASDAQ 100 Leaders Sub-strategy is higher, thus worse.
• Compared with QQQ (22.5%) in the period of the last 3 years, the historical 30 days volatility of 29.9% is larger, thus worse.

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 24.2% 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 (16.3%)
• During the last 3 years, the downside volatility is 20.1%, which is larger, thus worse than the value of 14.9% from the benchmark.

Sharpe:

'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.'

• The risk / return profile (Sharpe) over 5 years of NASDAQ 100 Leaders Sub-strategy is 0.55, which is smaller, thus worse compared to the benchmark QQQ (0.63) in the same period.
• Compared with QQQ (1.03) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.58 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.'

• Looking at the ratio of annual return and downside deviation of 0.79 in the last 5 years of NASDAQ 100 Leaders Sub-strategy, we see it is relatively smaller, thus worse in comparison to the benchmark QQQ (0.9)
• During the last 3 years, the excess return divided by the downside deviation is 0.87, which is lower, thus worse than the value of 1.56 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 Ulcer Ratio of 23 of NASDAQ 100 Leaders Sub-strategy is larger, thus worse.
• During the last 3 years, the Downside risk index is 15 , which is higher, thus worse than the value of 7.91 from the benchmark.

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 Leaders Sub-strategy is -45.1 days, which is lower, thus worse compared to the benchmark QQQ (-35.1 days) in the same period.
• Looking at maximum reduction from previous high in of -30.8 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 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 Leaders Sub-strategy is 507 days, which is larger, thus worse compared to the benchmark QQQ (493 days) in the same period.
• Looking at maximum days below previous high in of 282 days in the period of the last 3 years, we see it is relatively larger, 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.'

• The average days below previous high over 5 years of NASDAQ 100 Leaders Sub-strategy is 158 days, which is higher, thus worse compared to the benchmark QQQ (122 days) in the same period.
• Compared with QQQ (47 days) in the period of the last 3 years, the average days under water of 79 days is greater, thus worse.