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.'

• Compared with the benchmark QQQ (97.6%) in the period of the last 5 years, the total return of 218.3% of NASDAQ 100 Low Volatility Sub-strategy is greater, thus better.
• Compared with QQQ (31.8%) in the period of the last 3 years, the total return, or increase in value of 86.6% is greater, thus better.

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 (14.6%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 26.1% of NASDAQ 100 Low Volatility Sub-strategy is higher, thus better.
• Looking at compounded annual growth rate (CAGR) in of 23.2% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to QQQ (9.7%).

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 20%, which is lower, thus better compared to the benchmark QQQ (26.2%) in the same period.
• During the last 3 years, the 30 days standard deviation is 16.6%, which is lower, thus better than the value of 24.1% 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 (18.7%) in the period of the last 5 years, the downside risk of 13.6% of NASDAQ 100 Low Volatility Sub-strategy is lower, thus better.
• 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 (16.9%).

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

• Compared with the benchmark QQQ (0.46) in the period of the last 5 years, the risk / return profile (Sharpe) of 1.18 of NASDAQ 100 Low Volatility Sub-strategy is larger, thus better.
• Compared with QQQ (0.3) in the period of the last 3 years, the Sharpe Ratio of 1.24 is higher, thus better.

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 ratio of annual return and downside deviation over 5 years of NASDAQ 100 Low Volatility Sub-strategy is 1.74, which is higher, thus better compared to the benchmark QQQ (0.65) in the same period.
• Compared with QQQ (0.42) in the period of the last 3 years, the downside risk / excess return profile of 1.99 is greater, thus better.

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.'

• Compared with the benchmark QQQ (14 ) in the period of the last 5 years, the Downside risk index of 5.15 of NASDAQ 100 Low Volatility Sub-strategy is lower, thus better.
• Compared with QQQ (17 ) in the period of the last 3 years, the Ulcer Index of 4.75 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.'

• The maximum DrawDown over 5 years of NASDAQ 100 Low Volatility Sub-strategy is -29.3 days, which is larger, thus better compared to the benchmark QQQ (-35.1 days) in the same period.
• Looking at maximum reduction from previous high in of -12.1 days in the period of the last 3 years, we see it is relatively greater, thus better in comparison to QQQ (-35.1 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 (444 days) in the period of the last 5 years, the maximum days below previous high of 105 days of NASDAQ 100 Low Volatility Sub-strategy is smaller, thus better.
• During the last 3 years, the maximum days below previous high is 105 days, which is lower, thus better than the value of 444 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 25 days, which is smaller, thus better compared to the benchmark QQQ (106 days) in the same period.
• Compared with QQQ (149 days) in the period of the last 3 years, the average days under water of 30 days is lower, thus better.