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 169.6%, which is larger, thus better compared to the benchmark SPY (104.5%) in the same period.
• Compared with SPY (57.9%) in the period of the last 3 years, the total return of 51.3% is lower, thus worse.

CAGR:

'The compound annual growth rate isn't a true return rate, but rather a representational figure. It is essentially a number that describes the rate at which an investment would have grown if it had grown the same rate every year and the profits were reinvested at the end of each year. In reality, this sort of performance is unlikely. However, CAGR can be used to smooth returns so that they may be more easily understood when compared to alternative investments.'

• The annual return (CAGR) over 5 years of NASDAQ 100 Strategy is 22%, which is greater, thus better compared to the benchmark SPY (15.4%) in the same period.
• Compared with SPY (16.5%) in the period of the last 3 years, the annual performance (CAGR) of 14.9% is smaller, thus worse.

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.'

• Compared with the benchmark SPY (17.5%) in the period of the last 5 years, the volatility of 16.5% of NASDAQ 100 Strategy is smaller, thus better.
• Compared with SPY (17.2%) in the period of the last 3 years, the 30 days standard deviation of 14.9% is smaller, thus better.

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 SPY (12.1%) in the period of the last 5 years, the downside volatility of 10.9% of NASDAQ 100 Strategy is smaller, thus better.
• Looking at downside deviation in of 10% in the period of the last 3 years, we see it is relatively lower, thus better in comparison to SPY (11.5%).

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.'

• The risk / return profile (Sharpe) over 5 years of NASDAQ 100 Strategy is 1.18, which is greater, thus better compared to the benchmark SPY (0.74) in the same period.
• During the last 3 years, the risk / return profile (Sharpe) is 0.83, which is larger, thus better than the value of 0.81 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.'

• Compared with the benchmark SPY (1.07) in the period of the last 5 years, the excess return divided by the downside deviation of 1.79 of NASDAQ 100 Strategy is larger, thus better.
• During the last 3 years, the ratio of annual return and downside deviation is 1.24, which is larger, thus better than the value of 1.22 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 SPY (8.48 ) in the period of the last 5 years, the Ulcer Index of 4.84 of NASDAQ 100 Strategy is lower, thus better.
• Compared with SPY (5.3 ) in the period of the last 3 years, the Ulcer Ratio of 4.49 is smaller, thus better.

MaxDD:

'A maximum drawdown is the maximum loss from a peak to a trough of a portfolio, before a new peak is attained. Maximum Drawdown is an indicator of downside risk over a specified time period. It can be used both as a stand-alone measure or as an input into other metrics such as 'Return over Maximum Drawdown' and the Calmar Ratio. Maximum Drawdown is expressed in percentage terms.'

• Compared with the benchmark SPY (-24.5 days) in the period of the last 5 years, the maximum drop from peak to valley of -11.8 days of NASDAQ 100 Strategy is greater, thus better.
• During the last 3 years, the maximum drop from peak to valley is -11.5 days, which is larger, thus better than the value of -18.8 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) in days.'

• Looking at the maximum days under water of 300 days in the last 5 years of NASDAQ 100 Strategy, we see it is relatively smaller, thus better in comparison to the benchmark SPY (488 days)
• Compared with SPY (199 days) in the period of the last 3 years, the maximum days under water of 154 days is lower, thus better.

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 SPY (120 days) in the period of the last 5 years, the average days under water of 68 days of NASDAQ 100 Strategy is lower, thus better.
• During the last 3 years, the average time in days below previous high water mark is 49 days, which is larger, thus worse than the value of 47 days from the benchmark.