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 of 135.1% 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 (107.7%)
• Looking at total return, or performance in of 104% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to QQQ (137.6%).

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.'

• The annual performance (CAGR) over 5 years of NASDAQ 100 Leaders Sub-strategy is 18.7%, which is greater, thus better compared to the benchmark QQQ (15.8%) in the same period.
• During the last 3 years, the annual return (CAGR) is 26.9%, which is lower, thus worse than the value of 33.6% from the benchmark.

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 volatility over 5 years of NASDAQ 100 Leaders Sub-strategy is 34.1%, which is higher, thus worse compared to the benchmark QQQ (22.7%) in the same period.
• During the last 3 years, the 30 days standard deviation is 30.4%, which is greater, thus worse than the value of 20% from the benchmark.

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.'

• Compared with the benchmark QQQ (15.7%) in the period of the last 5 years, the downside risk of 23.7% of NASDAQ 100 Leaders Sub-strategy is greater, thus worse.
• During the last 3 years, the downside risk is 20.8%, which is greater, thus worse than the value of 13.3% 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.'

• Looking at the ratio of return and volatility (Sharpe) of 0.48 in the last 5 years of NASDAQ 100 Leaders Sub-strategy, we see it is relatively lower, thus worse in comparison to the benchmark QQQ (0.59)
• Looking at risk / return profile (Sharpe) in of 0.8 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to QQQ (1.55).

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.'

• Compared with the benchmark QQQ (0.84) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.68 of NASDAQ 100 Leaders Sub-strategy is lower, thus worse.
• During the last 3 years, the excess return divided by the downside deviation is 1.17, which is lower, thus worse than the value of 2.34 from the benchmark.

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 Downside risk index of 24 of NASDAQ 100 Leaders Sub-strategy is higher, thus worse.
• During the last 3 years, the Downside risk index is 18 , which is larger, thus worse than the value of 4.69 from the benchmark.

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 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 -35.5 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 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.'

• Compared with the benchmark QQQ (493 days) in the period of the last 5 years, the maximum days below previous high of 507 days of NASDAQ 100 Leaders Sub-strategy is larger, thus worse.
• Looking at maximum time in days below previous high water mark in of 398 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to QQQ (85 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 187 days of NASDAQ 100 Leaders Sub-strategy is higher, thus worse.
• During the last 3 years, the average time in days below previous high water mark is 124 days, which is larger, thus worse than the value of 24 days from the benchmark.