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 (99.2%) in the period of the last 5 years, the total return of 67.4% of NASDAQ 100 Low Volatility Sub-strategy is lower, thus worse.
• Looking at total return in of 17.1% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to QQQ (110.6%).

CAGR:

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

• Looking at the annual return (CAGR) of 10.9% 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 (14.8%)
• Looking at annual return (CAGR) in of 5.4% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to QQQ (28.3%).

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 14% in the last 5 years of NASDAQ 100 Low Volatility Sub-strategy, we see it is relatively smaller, thus better in comparison to the benchmark QQQ (22.5%)
• Compared with QQQ (19.6%) in the period of the last 3 years, the 30 days standard deviation of 13.7% is smaller, thus better.

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.'

• Looking at the downside deviation of 9.7% 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 (15.6%)
• During the last 3 years, the downside risk is 9.6%, which is smaller, thus better than the value of 13.1% from the benchmark.

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 (0.55) in the period of the last 5 years, the Sharpe Ratio of 0.6 of NASDAQ 100 Low Volatility Sub-strategy is larger, thus better.
• Compared with QQQ (1.32) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of 0.21 is smaller, thus worse.

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 (0.79) in the period of the last 5 years, the excess return divided by the downside deviation of 0.86 of NASDAQ 100 Low Volatility Sub-strategy is larger, thus better.
• Compared with QQQ (1.97) in the period of the last 3 years, the downside risk / excess return profile of 0.31 is lower, thus worse.

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 Ulcer Index of 6.26 of NASDAQ 100 Low Volatility Sub-strategy is lower, thus better.
• During the last 3 years, the Ulcer Index is 7.27 , which is larger, thus worse than the value of 4.67 from the benchmark.

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 DrawDown of -15.2 days of NASDAQ 100 Low Volatility Sub-strategy is higher, thus better.
• Compared with QQQ (-22.8 days) in the period of the last 3 years, the maximum drop from peak to valley of -15.2 days is greater, thus better.

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 339 days of NASDAQ 100 Low Volatility Sub-strategy is smaller, thus better.
• Looking at maximum time in days below previous high water mark in of 339 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to QQQ (85 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.'

• The average days under water over 5 years of NASDAQ 100 Low Volatility Sub-strategy is 94 days, which is lower, thus better compared to the benchmark QQQ (122 days) in the same period.
• Looking at average days under water in of 135 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to QQQ (27 days).