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.'

• The total return, or increase in value over 5 years of NASDAQ 100 Leaders Sub-strategy is 230.1%, which is larger, thus better compared to the benchmark QQQ (104.7%) in the same period.
• During the last 3 years, the total return, or increase in value is 154.4%, which is larger, thus better than the value of 96.3% from the benchmark.

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.'

• Compared with the benchmark QQQ (15.5%) in the period of the last 5 years, the annual performance (CAGR) of 27.1% of NASDAQ 100 Leaders Sub-strategy is greater, thus better.
• Compared with QQQ (25.3%) in the period of the last 3 years, the annual return (CAGR) of 36.7% 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.'

• Compared with the benchmark QQQ (22.7%) in the period of the last 5 years, the historical 30 days volatility of 35.5% of NASDAQ 100 Leaders Sub-strategy is larger, thus worse.
• During the last 3 years, the volatility is 37%, which is larger, thus worse than the value of 20.2% from the benchmark.

DownVol:

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

• The downside deviation over 5 years of NASDAQ 100 Leaders Sub-strategy is 24.1%, which is larger, thus worse compared to the benchmark QQQ (15.8%) in the same period.
• Compared with QQQ (13.8%) in the period of the last 3 years, the downside risk of 25.3% is larger, 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.'

• Looking at the Sharpe Ratio of 0.69 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 (0.57)
• Compared with QQQ (1.13) in the period of the last 3 years, the risk / return profile (Sharpe) of 0.92 is smaller, 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 excess return divided by the downside deviation over 5 years of NASDAQ 100 Leaders Sub-strategy is 1.02, which is greater, thus better compared to the benchmark QQQ (0.82) in the same period.
• Looking at downside risk / excess return profile in of 1.35 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to QQQ (1.66).

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.'

• The Downside risk index over 5 years of NASDAQ 100 Leaders Sub-strategy is 23 , which is greater, thus worse compared to the benchmark QQQ (14 ) in the same period.
• Looking at Downside risk index in of 18 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to QQQ (4.88 ).

MaxDD:

'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.'

• 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 smaller, thus worse.
• During the last 3 years, the maximum reduction from previous high is -35.5 days, which is lower, 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.'

• 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 greater, thus worse.
• Compared with QQQ (113 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 486 days is larger, thus worse.

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 time in days below previous high water mark over 5 years of NASDAQ 100 Leaders Sub-strategy is 210 days, which is greater, thus worse compared to the benchmark QQQ (124 days) in the same period.
• During the last 3 years, the average days under water is 175 days, which is larger, thus worse than the value of 31 days from the benchmark.