NASDAQ 100 Low Volatility 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 Low Volatility Sub-strategy is 27.1%, which is lower, thus worse compared to the benchmark QQQ (114.4%) in the same period.
• Looking at total return, or performance in of 5.5% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to QQQ (111%).

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.'

• Compared with the benchmark QQQ (16.6%) in the period of the last 5 years, the annual return (CAGR) of 4.9% of NASDAQ 100 Low Volatility Sub-strategy is lower, thus worse.
• During the last 3 years, the annual performance (CAGR) is 1.8%, which is lower, thus worse than the value of 28.4% 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 30 days standard deviation of 14% in the last 5 years of NASDAQ 100 Low Volatility Sub-strategy, we see it is relatively lower, thus better in comparison to the benchmark QQQ (23%)
• During the last 3 years, the 30 days standard deviation is 13.8%, which is smaller, thus better than the value of 20.4% from the benchmark.

DownVol:

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

• Compared with the benchmark QQQ (15.8%) in the period of the last 5 years, the downside risk of 9.8% of NASDAQ 100 Low Volatility Sub-strategy is smaller, thus better.
• Compared with QQQ (13.8%) in the period of the last 3 years, the downside volatility of 9.7% is smaller, thus better.

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 0.17 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 (0.61)
• Compared with QQQ (1.27) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of -0.05 is smaller, thus worse.

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.'

• Looking at the ratio of annual return and downside deviation of 0.25 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 (0.89)
• Compared with QQQ (1.88) in the period of the last 3 years, the excess return divided by the downside deviation of -0.07 is lower, thus worse.

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.'

• The Downside risk index over 5 years of NASDAQ 100 Low Volatility Sub-strategy is 7 , which is lower, thus better compared to the benchmark QQQ (14 ) in the same period.
• During the last 3 years, the Downside risk index is 6.85 , which is higher, thus worse than the value of 4.8 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.'

• Compared with the benchmark QQQ (-35.1 days) in the period of the last 5 years, the maximum drop from peak to valley of -15.2 days of NASDAQ 100 Low Volatility Sub-strategy is higher, thus better.
• Looking at maximum drop from peak to valley in of -15.2 days in the period of the last 3 years, we see it is relatively larger, thus better in comparison to QQQ (-22.8 days).

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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• Compared with the benchmark QQQ (493 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 489 days of NASDAQ 100 Low Volatility Sub-strategy is lower, thus better.
• Compared with QQQ (113 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 489 days is higher, 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.'

• Looking at the average days below previous high of 143 days in the last 5 years of NASDAQ 100 Low Volatility Sub-strategy, we see it is relatively higher, thus worse in comparison to the benchmark QQQ (125 days)
• During the last 3 years, the average time in days below previous high water mark is 176 days, which is greater, thus worse than the value of 30 days from the benchmark.