NASDAQ 100 Leaders Sub-strategy

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

• The total return over 5 years of NASDAQ 100 Leaders Sub-strategy is 270.9%, which is greater, thus better compared to the benchmark QQQ (128%) in the same period.
• Looking at total return, or increase in value in of 35% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to QQQ (46.3%).

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.'

• Looking at the annual return (CAGR) of 30.1% 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 (18%)
• During the last 3 years, the annual return (CAGR) is 10.6%, which is smaller, thus worse than the value of 13.6% 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.'

• Looking at the historical 30 days volatility of 36.3% 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 (23.7%)
• Compared with QQQ (24.4%) in the period of the last 3 years, the 30 days standard deviation of 30.6% is higher, 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 deviation of 24.9% in the last 5 years of NASDAQ 100 Leaders Sub-strategy, we see it is relatively larger, thus worse in comparison to the benchmark QQQ (16.6%)
• During the last 3 years, the downside risk is 21%, which is higher, thus worse than the value of 16.9% 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.'

• Compared with the benchmark QQQ (0.65) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.76 of NASDAQ 100 Leaders Sub-strategy is larger, thus better.
• Looking at risk / return profile (Sharpe) in of 0.26 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to QQQ (0.45).

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 (0.93) in the period of the last 5 years, the excess return divided by the downside deviation of 1.1 of NASDAQ 100 Leaders Sub-strategy is larger, thus better.
• Looking at downside risk / excess return profile in of 0.38 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to QQQ (0.66).

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• Looking at the Ulcer Ratio of 22 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 (14 )
• Looking at Ulcer Ratio in of 16 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to QQQ (8.38 ).

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.'

• Compared with the benchmark QQQ (-35.1 days) in the period of the last 5 years, the maximum reduction from previous high of -45.1 days of NASDAQ 100 Leaders Sub-strategy is lower, thus worse.
• Compared with QQQ (-22.8 days) in the period of the last 3 years, the maximum drop from peak to valley of -30.8 days is lower, thus worse.

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 time in days below previous high water mark of 507 days in the last 5 years of NASDAQ 100 Leaders Sub-strategy, we see it is relatively larger, thus worse in comparison to the benchmark QQQ (493 days)
• During the last 3 years, the maximum days below previous high is 252 days, which is greater, thus worse than the value of 190 days from the benchmark.

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 149 days of NASDAQ 100 Leaders Sub-strategy is greater, thus worse.
• During the last 3 years, the average time in days below previous high water mark is 88 days, which is greater, thus worse than the value of 46 days from the benchmark.