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.'

• Compared with the benchmark QQQ (95.5%) in the period of the last 5 years, the total return, or increase in value of 37% of NASDAQ 100 Low Volatility Sub-strategy is lower, thus worse.
• Looking at total return, or increase in value in of 3.5% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to QQQ (107.1%).

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 6.5%, which is lower, thus worse compared to the benchmark QQQ (14.4%) in the same period.
• Compared with QQQ (27.6%) in the period of the last 3 years, the annual performance (CAGR) of 1.2% 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.'

• Looking at the historical 30 days 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 (22.4%)
• 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 (19.7%).

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.'

• The downside volatility over 5 years of NASDAQ 100 Low Volatility Sub-strategy is 9.8%, which is lower, thus better compared to the benchmark QQQ (15.5%) in the same period.
• Looking at downside risk in of 9.7% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to QQQ (13.3%).

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 (0.53) in the period of the last 5 years, the Sharpe Ratio of 0.29 of NASDAQ 100 Low Volatility Sub-strategy is lower, thus worse.
• Looking at risk / return profile (Sharpe) in of -0.1 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to QQQ (1.27).

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 ratio of annual return and downside deviation over 5 years of NASDAQ 100 Low Volatility Sub-strategy is 0.41, which is lower, thus worse compared to the benchmark QQQ (0.77) in the same period.
• Compared with QQQ (1.89) in the period of the last 3 years, the downside risk / excess return profile of -0.14 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.'

• Looking at the Ulcer Ratio of 6.39 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 (14 )
• Compared with QQQ (4.85 ) in the period of the last 3 years, the Ulcer Ratio of 7.45 is greater, thus worse.

MaxDD:

'Maximum drawdown measures the loss in any losing period during a fund’s investment record. It is defined as the percent retrenchment from a fund’s peak value to the fund’s valley value. The drawdown is in effect from the time the fund’s retrenchment begins until a new fund high is reached. The maximum drawdown encompasses both the period from the fund’s peak to the fund’s valley (length), and the time from the fund’s valley to a new fund high (recovery). It measures the largest percentage drawdown that has occurred in any fund’s data record.'

• The maximum reduction from previous high over 5 years of NASDAQ 100 Low Volatility Sub-strategy is -15.2 days, which is greater, thus better compared to the benchmark QQQ (-35.1 days) in the same period.
• Looking at maximum DrawDown in of -15.2 days in the period of the last 3 years, we see it is relatively higher, thus better in comparison to QQQ (-22.8 days).

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 373 days of NASDAQ 100 Low Volatility Sub-strategy is smaller, thus better.
• During the last 3 years, the maximum time in days below previous high water mark is 373 days, which is greater, 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 below previous high of 103 days 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 (124 days)
• Compared with QQQ (31 days) in the period of the last 3 years, the average days under water of 149 days is larger, thus worse.