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.'

• Looking at the total return of 26.4% 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 (110.9%)
• During the last 3 years, the total return is 3.6%, which is lower, thus worse than the value of 109.2% from the benchmark.

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

• The annual return (CAGR) over 5 years of NASDAQ 100 Low Volatility Sub-strategy is 4.8%, which is smaller, thus worse compared to the benchmark QQQ (16.2%) in the same period.
• Looking at annual return (CAGR) in of 1.2% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to QQQ (28.1%).

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 14%, which is lower, thus better compared to the benchmark QQQ (23%) in the same period.
• Looking at 30 days standard deviation in of 13.8% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to QQQ (20.5%).

DownVol:

'Downside risk is the financial risk associated with losses. That is, it is the risk of the actual return being below the expected return, or the uncertainty about the magnitude of that difference. 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.'

• The downside risk 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.
• Looking at downside volatility in of 9.7% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to QQQ (13.8%).

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.'

• The Sharpe Ratio over 5 years of NASDAQ 100 Low Volatility Sub-strategy is 0.17, which is lower, thus worse compared to the benchmark QQQ (0.6) in the same period.
• Compared with QQQ (1.25) in the period of the last 3 years, the risk / return profile (Sharpe) of -0.1 is smaller, thus worse.

Sortino:

'The Sortino ratio measures the risk-adjusted return of an investment asset, portfolio, or strategy. It is a modification of the Sharpe ratio but penalizes only those returns falling below a user-specified target or required rate of return, while the Sharpe ratio penalizes both upside and downside volatility equally. Though both ratios measure an investment's risk-adjusted return, they do so in significantly different ways that will frequently lead to differing conclusions as to the true nature of the investment's return-generating efficiency. The Sortino ratio is used as a way to compare the risk-adjusted performance of programs with differing risk and return profiles. In general, risk-adjusted returns seek to normalize the risk across programs and then see which has the higher return unit per risk.'

• Looking at the ratio of annual return and downside deviation of 0.24 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 (0.86)
• Looking at ratio of annual return and downside deviation in of -0.13 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to QQQ (1.86).

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.'

• Compared with the benchmark QQQ (14 ) in the period of the last 5 years, the Downside risk index of 6.97 of NASDAQ 100 Low Volatility Sub-strategy is smaller, thus better.
• Looking at Ulcer Index in of 6.81 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to QQQ (4.8 ).

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 drop from peak to valley 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 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) 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 485 days of NASDAQ 100 Low Volatility Sub-strategy is lower, thus better.
• During the last 3 years, the maximum time in days below previous high water mark is 485 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.'

• Looking at the average days under water of 142 days in the last 5 years of NASDAQ 100 Low Volatility Sub-strategy, we see it is relatively higher, thus worse in comparison to the benchmark QQQ (125 days)
• During the last 3 years, the average days below previous high is 174 days, which is greater, thus worse than the value of 30 days from the benchmark.