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 237.5%, which is larger, thus better compared to the benchmark QQQ (167.1%) in the same period.
• During the last 3 years, the total return, or performance is 56.5%, which is greater, thus better than the value of 35.2% 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.'

• Compared with the benchmark QQQ (21.7%) in the period of the last 5 years, the annual return (CAGR) of 27.6% of NASDAQ 100 Low Volatility Sub-strategy is greater, thus better.
• Compared with QQQ (10.6%) in the period of the last 3 years, the annual return (CAGR) of 16.2% is higher, thus better.

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.'

• The 30 days standard deviation over 5 years of NASDAQ 100 Low Volatility Sub-strategy is 21.3%, which is lower, thus better compared to the benchmark QQQ (25.4%) in the same period.
• Looking at historical 30 days volatility in of 17.4% 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.'

• Compared with the benchmark QQQ (18%) in the period of the last 5 years, the downside deviation of 13.1% of NASDAQ 100 Low Volatility Sub-strategy is smaller, thus better.
• Compared with QQQ (16.6%) in the period of the last 3 years, the downside risk of 9.1% is lower, thus better.

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.'

• Looking at the ratio of return and volatility (Sharpe) of 1.18 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 (0.76)
• Looking at ratio of return and volatility (Sharpe) in of 0.79 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to QQQ (0.34).

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 (1.07) in the period of the last 5 years, the ratio of annual return and downside deviation of 1.91 of NASDAQ 100 Low Volatility Sub-strategy is larger, thus better.
• Looking at downside risk / excess return profile in of 1.5 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to QQQ (0.49).

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 Ulcer Ratio over 5 years of NASDAQ 100 Low Volatility Sub-strategy is 5.95 , which is lower, thus better compared to the benchmark QQQ (14 ) in the same period.
• Looking at Ulcer Index in of 6.02 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to QQQ (17 ).

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.'

• Looking at the maximum reduction from previous high of -29.3 days in the last 5 years of NASDAQ 100 Low Volatility Sub-strategy, we see it is relatively greater, thus better in comparison to the benchmark QQQ (-35.1 days)
• Compared with QQQ (-35.1 days) in the period of the last 3 years, the maximum DrawDown of -13.6 days is higher, 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 days below previous high of 273 days of NASDAQ 100 Low Volatility Sub-strategy is smaller, thus better.
• Compared with QQQ (493 days) in the period of the last 3 years, the maximum days below previous high of 273 days is lower, thus better.

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 (123 days) in the period of the last 5 years, the average time in days below previous high water mark of 52 days of NASDAQ 100 Low Volatility Sub-strategy is lower, thus better.
• Looking at average time in days below previous high water mark in of 72 days in the period of the last 3 years, we see it is relatively lower, thus better in comparison to QQQ (180 days).