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 (85.7%) in the period of the last 5 years, the total return, or increase in value of 41.2% of NASDAQ 100 Low Volatility Sub-strategy is lower, thus worse.
• Looking at total return, or performance in of 3.7% in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to QQQ (85.5%).

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 (13.2%) in the period of the last 5 years, the annual return (CAGR) of 7.2% of NASDAQ 100 Low Volatility Sub-strategy is smaller, thus worse.
• 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 (23%).

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.'

• 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 lower, thus better in comparison to the benchmark QQQ (22.4%)
• During the last 3 years, the 30 days standard deviation is 13.7%, which is lower, thus better than the value of 19.6% from the benchmark.

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.'

• Looking at the downside deviation of 9.8% 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 (15.6%)
• Looking at downside volatility 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 (0.48) in the period of the last 5 years, the risk / return profile (Sharpe) of 0.33 of NASDAQ 100 Low Volatility Sub-strategy is lower, thus worse.
• During the last 3 years, the ratio of return and volatility (Sharpe) is -0.09, which is smaller, thus worse than the value of 1.04 from the benchmark.

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 0.48 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 (0.69)
• Compared with QQQ (1.54) in the period of the last 3 years, the downside risk / excess return profile of -0.13 is smaller, 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.'

• The Downside risk index over 5 years of NASDAQ 100 Low Volatility Sub-strategy is 6.34 , which is lower, thus better compared to the benchmark QQQ (14 ) in the same period.
• Looking at Downside risk index in of 7.39 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to QQQ (4.83 ).

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 reduction from previous high of -15.2 days of NASDAQ 100 Low Volatility Sub-strategy is larger, thus better.
• Looking at maximum reduction from previous high in of -15.2 days in the period of the last 3 years, we see it is relatively larger, thus better in comparison to QQQ (-22.8 days).

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 below previous high of 363 days of NASDAQ 100 Low Volatility Sub-strategy is lower, thus better.
• During the last 3 years, the maximum days under water is 363 days, which is greater, thus worse than the value of 106 days from the benchmark.

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 days under water of 100 days of NASDAQ 100 Low Volatility Sub-strategy is lower, thus better.
• During the last 3 years, the average days under water is 144 days, which is greater, thus worse than the value of 30 days from the benchmark.