NASDAQ 100 Low Volatility Sub-strategy

TotalReturn:

'Total return, when measuring performance, is the actual rate of return of an investment or a pool of investments over a given evaluation period. Total return includes interest, capital gains, dividends and distributions realized over a given period of time. Total return accounts for two categories of return: income including interest paid by fixed-income investments, distributions or dividends and capital appreciation, representing the change in the market price of an asset.'

• Looking at the total return, or performance of 87.4% in the last 5 years of NASDAQ 100 Low Volatility Sub-strategy, we see it is relatively smaller, thus worse in comparison to the benchmark QQQ (111%)
• During the last 3 years, the total return, or increase in value is -4.7%, which is lower, thus worse than the value of 116.7% 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.'

• Looking at the compounded annual growth rate (CAGR) of 13.4% 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 (16.2%)
• Looking at annual performance (CAGR) in of -1.6% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to QQQ (29.6%).

Volatility:

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

• Compared with the benchmark QQQ (22.7%) in the period of the last 5 years, the 30 days standard deviation of 15.8% of NASDAQ 100 Low Volatility Sub-strategy is lower, thus better.
• During the last 3 years, the volatility is 13.9%, which is smaller, thus better than the value of 20.3% from the benchmark.

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 10.3%, which is smaller, thus better compared to the benchmark QQQ (15.7%) in the same period.
• During the last 3 years, the downside volatility is 10%, which is lower, thus better than the value of 13.5% 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 (0.6) in the period of the last 5 years, the Sharpe Ratio of 0.69 of NASDAQ 100 Low Volatility Sub-strategy is larger, thus better.
• Looking at risk / return profile (Sharpe) in of -0.29 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to QQQ (1.34).

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.'

• Looking at the excess return divided by the downside deviation of 1.06 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 (0.87)
• Looking at excess return divided by the downside deviation in of -0.41 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to QQQ (2).

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 Downside risk index over 5 years of NASDAQ 100 Low Volatility Sub-strategy is 5.96 , which is lower, thus better compared to the benchmark QQQ (14 ) in the same period.
• Looking at Ulcer Index in of 7.01 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to QQQ (4.86 ).

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.
• During the last 3 years, the maximum reduction from previous high is -13.6 days, which is greater, thus better than the value of -22.8 days from the benchmark.

MaxDuration:

'The Maximum 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. It is the length of time the account was in the Max Drawdown. A Max Drawdown measures a retrenchment from when an equity curve reaches a new high. It’s the maximum an account lost during that retrenchment. This method is applied because a valley can’t be measured until a new high occurs. Once the new high is reached, the percentage change from the old high to the bottom of the largest trough is recorded.'

• Compared with the benchmark QQQ (493 days) in the period of the last 5 years, the maximum days under water of 280 days of NASDAQ 100 Low Volatility Sub-strategy is lower, thus better.
• Compared with QQQ (85 days) in the period of the last 3 years, the maximum time in days below previous high water mark of 280 days is larger, thus worse.

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 below previous high of 79 days of NASDAQ 100 Low Volatility Sub-strategy is smaller, thus better.
• Compared with QQQ (24 days) in the period of the last 3 years, the average time in days below previous high water mark of 113 days is higher, thus worse.