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.'

• Looking at the total return, or increase in value of 47.9% 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 (103.1%)
• Compared with QQQ (117.6%) in the period of the last 3 years, the total return of 3.8% is lower, thus worse.

CAGR:

'The compound annual growth rate (CAGR) is a useful measure of growth over multiple time periods. It can be thought of as the growth rate that gets you from the initial investment value to the ending investment value if you assume that the investment has been compounding over the time period.'

• Compared with the benchmark QQQ (15.3%) in the period of the last 5 years, the compounded annual growth rate (CAGR) of 8.2% of NASDAQ 100 Low Volatility Sub-strategy is smaller, thus worse.
• During the last 3 years, the annual return (CAGR) is 1.2%, which is lower, thus worse than the value of 29.8% from the benchmark.

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 (22.6%) in the period of the last 5 years, the historical 30 days volatility of 14% of NASDAQ 100 Low Volatility Sub-strategy is smaller, thus better.
• Looking at volatility in of 13.8% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to QQQ (19.8%).

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• 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 (15.7%) in the same period.
• During the last 3 years, the downside volatility is 9.8%, which is lower, thus better than the value of 13.2% 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.'

• The Sharpe Ratio over 5 years of NASDAQ 100 Low Volatility Sub-strategy is 0.4, which is smaller, thus worse compared to the benchmark QQQ (0.57) in the same period.
• Looking at ratio of return and volatility (Sharpe) in of -0.09 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to QQQ (1.38).

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.'

• Compared with the benchmark QQQ (0.81) in the period of the last 5 years, the ratio of annual return and downside deviation of 0.58 of NASDAQ 100 Low Volatility Sub-strategy is lower, thus worse.
• During the last 3 years, the downside risk / excess return profile is -0.13, which is smaller, thus worse than the value of 2.06 from the benchmark.

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 Ulcer Ratio of 6.24 of NASDAQ 100 Low Volatility Sub-strategy is smaller, thus better.
• Compared with QQQ (4.7 ) in the period of the last 3 years, the Ulcer Ratio of 7.29 is larger, 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 DrawDown 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.
• During the last 3 years, the maximum DrawDown is -15.2 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 below previous high of 318 days of NASDAQ 100 Low Volatility Sub-strategy is lower, thus better.
• During the last 3 years, the maximum days below previous high is 318 days, which is larger, thus worse than the value of 85 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.'

• The average time in days below previous high water mark over 5 years of NASDAQ 100 Low Volatility Sub-strategy is 88 days, which is smaller, thus better compared to the benchmark QQQ (121 days) in the same period.
• Looking at average days under water in of 125 days in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to QQQ (25 days).