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.'

• The total return over 5 years of NASDAQ 100 Low Volatility Sub-strategy is 35.7%, which is lower, thus worse compared to the benchmark QQQ (117.8%) in the same period.
• Looking at total return, or performance in of 4.2% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to QQQ (103.6%).

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 6.3%, which is lower, thus worse compared to the benchmark QQQ (16.9%) in the same period.
• During the last 3 years, the annual performance (CAGR) is 1.4%, which is smaller, thus worse than the value of 26.9% from the benchmark.

Volatility:

'Volatility is a rate at which the price of a security increases or decreases for a given set of returns. Volatility is measured by calculating the standard deviation of the annualized returns over a given period of time. It shows the range to which the price of a security may increase or decrease. Volatility measures the risk of a security. It is used in option pricing formula to gauge the fluctuations in the returns of the underlying assets. Volatility indicates the pricing behavior of the security and helps estimate the fluctuations that may happen in a short period of time.'

• 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 (22.5%) in the same period.
• During the last 3 years, the historical 30 days volatility is 13.7%, which is lower, thus better than the value of 19.9% 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.'

• Compared with the benchmark QQQ (15.6%) in the period of the last 5 years, the downside deviation of 9.8% of NASDAQ 100 Low Volatility Sub-strategy is smaller, thus better.
• During the last 3 years, the downside deviation is 9.7%, which is lower, thus better than the value of 13.5% from the benchmark.

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 (0.64) in the period of the last 5 years, the Sharpe Ratio of 0.27 of NASDAQ 100 Low Volatility Sub-strategy is lower, thus worse.
• Looking at ratio of return and volatility (Sharpe) in of -0.08 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to QQQ (1.22).

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 (0.92) in the period of the last 5 years, the excess return divided by the downside deviation of 0.39 of NASDAQ 100 Low Volatility Sub-strategy is smaller, thus worse.
• Compared with QQQ (1.8) in the period of the last 3 years, the downside risk / excess return profile of -0.12 is lower, thus worse.

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 6.57 of NASDAQ 100 Low Volatility Sub-strategy is lower, thus better.
• During the last 3 years, the Ulcer Ratio is 6.67 , which is higher, thus worse than the value of 4.87 from the benchmark.

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.'

• Looking at the maximum drop from peak to valley of -15.2 days 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 (-35.1 days)
• 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 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). Many assume Max DD Duration is the length of time between new highs during which the Max DD (magnitude) occurred. But that isn’t always the case. The Max DD duration is the longest time between peaks, period. So it could be the time when the program also had its biggest peak to valley loss (and usually is, because the program needs a long time to recover from the largest loss), but it doesn’t have to be'

• The maximum days below previous high over 5 years of NASDAQ 100 Low Volatility Sub-strategy is 412 days, which is lower, thus better compared to the benchmark QQQ (493 days) in the same period.
• During the last 3 years, the maximum days below previous high is 412 days, which is higher, 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.'

• Compared with the benchmark QQQ (125 days) in the period of the last 5 years, the average time in days below previous high water mark of 115 days of NASDAQ 100 Low Volatility Sub-strategy is smaller, thus better.
• Compared with QQQ (31 days) in the period of the last 3 years, the average days below previous high of 150 days is greater, thus worse.