NASDAQ 100 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 331.3% in the last 5 years of NASDAQ 100 Strategy, we see it is relatively greater, thus better in comparison to the benchmark SPY (97.3%)
• During the last 3 years, the total return, or performance is 62.4%, which is greater, thus better than the value of 40.1% from the benchmark.

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 SPY (14.6%) in the period of the last 5 years, the annual return (CAGR) of 34% of NASDAQ 100 Strategy is larger, thus better.
• Looking at annual performance (CAGR) in of 17.7% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (12%).

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.'

• The 30 days standard deviation over 5 years of NASDAQ 100 Strategy is 19%, which is smaller, thus better compared to the benchmark SPY (21%) in the same period.
• Looking at volatility in of 14.4% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (17.3%).

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 12.4% in the last 5 years of NASDAQ 100 Strategy, we see it is relatively lower, thus better in comparison to the benchmark SPY (15%)
• During the last 3 years, the downside deviation is 9.5%, which is smaller, thus better than the value of 12.1% 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.'

• Looking at the ratio of return and volatility (Sharpe) of 1.66 in the last 5 years of NASDAQ 100 Strategy, we see it is relatively larger, thus better in comparison to the benchmark SPY (0.58)
• During the last 3 years, the Sharpe Ratio is 1.06, which is greater, thus better than the value of 0.55 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 2.55 in the last 5 years of NASDAQ 100 Strategy, we see it is relatively higher, thus better in comparison to the benchmark SPY (0.8)
• Compared with SPY (0.78) in the period of the last 3 years, the excess return divided by the downside deviation of 1.59 is higher, thus better.

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 4.82 in the last 5 years of NASDAQ 100 Strategy, we see it is relatively lower, thus better in comparison to the benchmark SPY (9.33 )
• Looking at Ulcer Ratio in of 3.89 in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (8.64 ).

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 Strategy is -19.7 days, which is greater, thus better compared to the benchmark SPY (-33.7 days) in the same period.
• During the last 3 years, the maximum reduction from previous high is -9.9 days, which is higher, thus better than the value of -22.1 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.'

• Looking at the maximum time in days below previous high water mark of 300 days in the last 5 years of NASDAQ 100 Strategy, we see it is relatively lower, thus better in comparison to the benchmark SPY (488 days)
• During the last 3 years, the maximum days under water is 197 days, which is lower, thus better than the value of 325 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 time in days below previous high water mark of 60 days in the last 5 years of NASDAQ 100 Strategy, we see it is relatively smaller, thus better in comparison to the benchmark SPY (122 days)
• During the last 3 years, the average days below previous high is 52 days, which is lower, thus better than the value of 89 days from the benchmark.