Description

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.

Methodology & Assets

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.

Statistics (YTD)

What do these metrics mean? [Read More] [Hide]

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.'

Which means for our asset as example:
  • Compared with the benchmark QQQ (111.1%) in the period of the last 5 years, the total return, or increase in value of 939.2% of NASDAQ 100 Leaders Sub-strategy is higher, thus better.
  • Looking at total return in of 380.1% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to QQQ (53%).

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.'

Which means for our asset as example:
  • Compared with the benchmark QQQ (16.1%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 59.8% of NASDAQ 100 Leaders Sub-strategy is higher, thus better.
  • Compared with QQQ (15.2%) in the period of the last 3 years, the annual return (CAGR) of 68.6% is larger, thus better.

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark QQQ (24.7%) in the period of the last 5 years, the historical 30 days volatility of 35.7% of NASDAQ 100 Leaders Sub-strategy is higher, thus worse.
  • Looking at historical 30 days volatility in of 41.1% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to QQQ (27.8%).

DownVol:

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

Which means for our asset as example:
  • Looking at the downside risk of 24.5% 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 (17.9%)
  • Compared with QQQ (20.2%) in the period of the last 3 years, the downside volatility of 28.2% is greater, thus worse.

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.'

Using this definition on our asset we see for example:
  • The Sharpe Ratio over 5 years of NASDAQ 100 Leaders Sub-strategy is 1.61, which is greater, thus better compared to the benchmark QQQ (0.55) in the same period.
  • Looking at risk / return profile (Sharpe) in of 1.61 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to QQQ (0.46).

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

Using this definition on our asset we see for example:
  • Compared with the benchmark QQQ (0.76) in the period of the last 5 years, the excess return divided by the downside deviation of 2.34 of NASDAQ 100 Leaders Sub-strategy is larger, thus better.
  • During the last 3 years, the ratio of annual return and downside deviation is 2.35, which is higher, thus better than the value of 0.63 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.'

Which means for our asset as example:
  • Looking at the Downside risk index of 14 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 (8.17 )
  • Compared with QQQ (9.37 ) 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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark QQQ (-32.7 days) in the period of the last 5 years, the maximum DrawDown of -38.7 days of NASDAQ 100 Leaders Sub-strategy is lower, thus worse.
  • Compared with QQQ (-32.7 days) in the period of the last 3 years, the maximum DrawDown of -38.7 days is lower, thus worse.

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.'

Using this definition on our asset we see for example:
  • The maximum days below previous high over 5 years of NASDAQ 100 Leaders Sub-strategy is 194 days, which is higher, thus worse compared to the benchmark QQQ (154 days) in the same period.
  • Looking at maximum days below previous high in of 173 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to QQQ (128 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.'

Applying this definition to our asset in some examples:
  • The average days under water over 5 years of NASDAQ 100 Leaders Sub-strategy is 49 days, which is greater, thus worse compared to the benchmark QQQ (32 days) in the same period.
  • Compared with QQQ (29 days) in the period of the last 3 years, the average days under water of 48 days is greater, thus worse.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations ()

Allocations

Returns (%)

  • 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, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.