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 over 5 years of NASDAQ 100 Low Volatility Sub-strategy is 147.1%, which is greater, thus better compared to the benchmark QQQ (141.3%) in the same period.
• Compared with QQQ (75.3%) in the period of the last 3 years, the total return, or increase in value of 0.9% is lower, thus worse.

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 (19.3%) in the period of the last 5 years, the annual return (CAGR) of 19.9% of NASDAQ 100 Low Volatility Sub-strategy is larger, thus better.
• Looking at annual performance (CAGR) in of 0.3% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to QQQ (20.7%).

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.'

• Looking at the volatility of 16.1% 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 (23.7%)
• Looking at 30 days standard deviation in of 14.5% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to QQQ (23.7%).

DownVol:

'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 10.5%, which is smaller, thus better compared to the benchmark QQQ (16.5%) in the same period.
• Looking at downside volatility in of 10.4% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to QQQ (16%).

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 1.08 in the last 5 years of NASDAQ 100 Low Volatility Sub-strategy, we see it is relatively higher, thus better in comparison to the benchmark QQQ (0.71)
• Compared with QQQ (0.77) in the period of the last 3 years, the risk / return profile (Sharpe) of -0.15 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.'

• The ratio of annual return and downside deviation over 5 years of NASDAQ 100 Low Volatility Sub-strategy is 1.66, which is greater, thus better compared to the benchmark QQQ (1.02) in the same period.
• During the last 3 years, the ratio of annual return and downside deviation is -0.21, which is lower, thus worse than the value of 1.13 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.'

• Compared with the benchmark QQQ (14 ) in the period of the last 5 years, the Downside risk index of 5.36 of NASDAQ 100 Low Volatility Sub-strategy is smaller, thus better.
• Compared with QQQ (8.09 ) in the period of the last 3 years, the Downside risk index of 6.51 is smaller, thus better.

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 drop from peak to valley of -13.6 days of NASDAQ 100 Low Volatility Sub-strategy is greater, thus better.
• Looking at maximum drop from peak to valley in of -13.6 days in the period of the last 3 years, we see it is relatively greater, 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'

• Looking at the maximum days under water of 273 days 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 (493 days)
• Looking at maximum time in days below previous high water mark in of 273 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to QQQ (190 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.'

• Compared with the benchmark QQQ (121 days) in the period of the last 5 years, the average days under water of 57 days of NASDAQ 100 Low Volatility Sub-strategy is lower, thus better.
• During the last 3 years, the average time in days below previous high water mark is 79 days, which is greater, thus worse than the value of 45 days from the benchmark.