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.'

• Compared with the benchmark QQQ (102.4%) in the period of the last 5 years, the total return, or performance of 25.3% of NASDAQ 100 Low Volatility Sub-strategy is smaller, thus worse.
• During the last 3 years, the total return, or increase in value is 3.3%, which is lower, thus worse than the value of 96.1% from the benchmark.

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.'

• The annual performance (CAGR) over 5 years of NASDAQ 100 Low Volatility Sub-strategy is 4.6%, which is smaller, thus worse compared to the benchmark QQQ (15.2%) in the same period.
• Compared with QQQ (25.3%) in the period of the last 3 years, the compounded annual growth rate (CAGR) of 1.1% is lower, thus worse.

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.'

• Compared with the benchmark QQQ (23%) in the period of the last 5 years, the 30 days standard deviation of 14% of NASDAQ 100 Low Volatility Sub-strategy is lower, thus better.
• Looking at 30 days standard deviation in of 13.7% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to QQQ (20.5%).

DownVol:

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

• The downside volatility over 5 years of NASDAQ 100 Low Volatility Sub-strategy is 9.8%, which is smaller, thus better compared to the benchmark QQQ (15.9%) in the same period.
• During the last 3 years, the downside deviation is 9.7%, which is lower, thus better than the value of 13.9% 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.'

• Compared with the benchmark QQQ (0.55) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 0.15 of NASDAQ 100 Low Volatility Sub-strategy is lower, thus worse.
• Compared with QQQ (1.11) in the period of the last 3 years, the ratio of return and volatility (Sharpe) of -0.1 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.'

• The downside risk / excess return profile over 5 years of NASDAQ 100 Low Volatility Sub-strategy is 0.22, which is smaller, thus worse compared to the benchmark QQQ (0.8) in the same period.
• Looking at excess return divided by the downside deviation in of -0.15 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to QQQ (1.64).

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.'

• The Ulcer Ratio over 5 years of NASDAQ 100 Low Volatility Sub-strategy is 6.75 , which is smaller, thus better compared to the benchmark QQQ (14 ) in the same period.
• Looking at Ulcer Ratio in of 6.47 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to QQQ (4.83 ).

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 reduction from previous high of -15.2 days of NASDAQ 100 Low Volatility Sub-strategy is greater, thus better.
• Compared with QQQ (-22.8 days) in the period of the last 3 years, the maximum reduction from previous high of -15.2 days is larger, 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) in days.'

• 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 450 days of NASDAQ 100 Low Volatility Sub-strategy is smaller, thus better.
• During the last 3 years, the maximum days below previous high is 450 days, which is larger, thus worse than the value of 113 days from the benchmark.

AveDuration:

'The Average 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. 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 below previous high over 5 years of NASDAQ 100 Low Volatility Sub-strategy is 128 days, which is greater, thus worse compared to the benchmark QQQ (124 days) in the same period.
• During the last 3 years, the average days under water is 151 days, which is larger, thus worse than the value of 29 days from the benchmark.