NASDAQ 100 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.'

• The total return, or increase in value over 5 years of NASDAQ 100 Strategy is 249.5%, which is higher, thus better compared to the benchmark SPY (68.2%) in the same period.
• Compared with SPY (47.7%) in the period of the last 3 years, the total return, or performance of 135.1% is greater, thus better.

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.'

• The annual return (CAGR) over 5 years of NASDAQ 100 Strategy is 28.5%, which is larger, thus better compared to the benchmark SPY (11%) in the same period.
• Compared with SPY (13.9%) in the period of the last 3 years, the annual return (CAGR) of 33% is larger, thus better.

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 SPY (13.2%) in the period of the last 5 years, the 30 days standard deviation of 16.6% of NASDAQ 100 Strategy is greater, thus worse.
• Compared with SPY (12.4%) in the period of the last 3 years, the volatility of 16.3% is greater, thus worse.

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 risk of 18% in the last 5 years of NASDAQ 100 Strategy, we see it is relatively larger, thus worse in comparison to the benchmark SPY (14.6%)
• During the last 3 years, the downside volatility is 17.8%, which is larger, thus worse than the value of 14% from the benchmark.

Sharpe:

'The Sharpe ratio was developed by Nobel laureate William F. Sharpe, and is used to help investors understand the return of an investment compared to its risk. The ratio is the average return earned in excess of the risk-free rate per unit of volatility or total risk. Subtracting the risk-free rate from the mean return allows an investor to better isolate the profits associated with risk-taking activities. One intuition of this calculation is that a portfolio engaging in 'zero risk' investments, such as the purchase of U.S. Treasury bills (for which the expected return is the risk-free rate), has a Sharpe ratio of exactly zero. Generally, the greater the value of the Sharpe ratio, the more attractive the risk-adjusted return.'

• The Sharpe Ratio over 5 years of NASDAQ 100 Strategy is 1.56, which is larger, thus better compared to the benchmark SPY (0.64) in the same period.
• Compared with SPY (0.92) in the period of the last 3 years, the risk / return profile (Sharpe) of 1.87 is larger, thus better.

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.'

• The ratio of annual return and downside deviation over 5 years of NASDAQ 100 Strategy is 1.44, which is higher, thus better compared to the benchmark SPY (0.58) in the same period.
• Looking at ratio of annual return and downside deviation in of 1.71 in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (0.81).

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.'

• The Ulcer Ratio over 5 years of NASDAQ 100 Strategy is 4.4 , which is larger, thus better compared to the benchmark SPY (3.95 ) in the same period.
• Looking at Downside risk index in of 3.94 in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to SPY (4 ).

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.'

• Looking at the maximum DrawDown of -14 days in the last 5 years of NASDAQ 100 Strategy, we see it is relatively higher, thus better in comparison to the benchmark SPY (-19.3 days)
• During the last 3 years, the maximum drop from peak to valley is -12.4 days, which is larger, thus better than the value of -19.3 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) in days.'

• Looking at the maximum days below previous high of 131 days in the last 5 years of NASDAQ 100 Strategy, we see it is relatively lower, thus better in comparison to the benchmark SPY (187 days)
• During the last 3 years, the maximum time in days below previous high water mark is 131 days, which is higher, thus worse than the value of 131 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.'

• The average days under water over 5 years of NASDAQ 100 Strategy is 27 days, which is lower, thus better compared to the benchmark SPY (39 days) in the same period.
• During the last 3 years, the average time in days below previous high water mark is 24 days, which is lower, thus better than the value of 33 days from the benchmark.