NASDAQ 100 Low Volatility Sub-strategy

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.'

• The total return, or increase in value over 5 years of NASDAQ 100 Low Volatility Sub-strategy is 34.5%, which is smaller, thus worse compared to the benchmark QQQ (116.5%) in the same period.
• Compared with QQQ (105.9%) in the period of the last 3 years, the total return, or performance of 2.9% is smaller, thus worse.

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 6.1% in the last 5 years of NASDAQ 100 Low Volatility Sub-strategy, we see it is relatively lower, thus worse in comparison to the benchmark QQQ (16.8%)
• Looking at annual return (CAGR) in of 0.9% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to QQQ (27.3%).

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• The volatility over 5 years of NASDAQ 100 Low Volatility Sub-strategy is 14%, which is lower, thus better compared to the benchmark QQQ (22.5%) in the same period.
• Looking at volatility in of 13.7% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to QQQ (19.9%).

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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.'

• The downside volatility over 5 years of NASDAQ 100 Low Volatility Sub-strategy is 9.8%, which is lower, thus better compared to the benchmark QQQ (15.6%) in the same period.
• During the last 3 years, the downside risk is 9.7%, which is smaller, thus better than the value of 13.5% 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 Sharpe Ratio of 0.26 in the last 5 years of NASDAQ 100 Low Volatility Sub-strategy, we see it is relatively smaller, thus worse in comparison to the benchmark QQQ (0.63)
• During the last 3 years, the Sharpe Ratio is -0.11, which is lower, thus worse than the value of 1.25 from the benchmark.

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

• Compared with the benchmark QQQ (0.91) in the period of the last 5 years, the downside risk / excess return profile of 0.37 of NASDAQ 100 Low Volatility Sub-strategy is lower, thus worse.
• Looking at downside risk / excess return profile in of -0.16 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to QQQ (1.83).

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.'

• The Downside risk index over 5 years of NASDAQ 100 Low Volatility Sub-strategy is 6.57 , which is smaller, thus better compared to the benchmark QQQ (14 ) in the same period.
• During the last 3 years, the Ulcer Ratio is 6.66 , which is greater, thus worse than the value of 4.87 from the benchmark.

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.'

• Looking at the maximum DrawDown of -15.2 days in the last 5 years of NASDAQ 100 Low Volatility Sub-strategy, we see it is relatively greater, thus better in comparison to the benchmark QQQ (-35.1 days)
• During the last 3 years, the maximum DrawDown is -15.2 days, which is higher, thus better 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 411 days of NASDAQ 100 Low Volatility Sub-strategy is lower, thus better.
• During the last 3 years, the maximum time in days below previous high water mark is 411 days, which is larger, thus worse than the value of 113 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.'

• The average time in days below previous high water mark over 5 years of NASDAQ 100 Low Volatility Sub-strategy is 115 days, which is lower, thus better compared to the benchmark QQQ (125 days) in the same period.
• Looking at average days below previous high in of 149 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to QQQ (31 days).