NASDAQ 100 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.'

• Compared with the benchmark SPY (62.6%) in the period of the last 5 years, the total return of 449.1% of NASDAQ 100 Strategy is larger, thus better.
• Looking at total return, or increase in value in of 237.3% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (32.1%).

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 compounded annual growth rate (CAGR) over 5 years of NASDAQ 100 Strategy is 40.7%, which is higher, thus better compared to the benchmark SPY (10.2%) in the same period.
• Looking at annual return (CAGR) in of 49.9% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to SPY (9.7%).

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 Strategy is 18.1%, which is smaller, thus better compared to the benchmark SPY (21.5%) in the same period.
• During the last 3 years, the historical 30 days volatility is 20.9%, which is lower, thus better than the value of 24.8% 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 SPY (15.6%) in the period of the last 5 years, the downside volatility of 11.6% of NASDAQ 100 Strategy is lower, thus better.
• During the last 3 years, the downside deviation is 13.3%, which is lower, thus better than the value of 17.9% 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.'

• The Sharpe Ratio over 5 years of NASDAQ 100 Strategy is 2.11, which is higher, thus better compared to the benchmark SPY (0.36) in the same period.
• Looking at ratio of return and volatility (Sharpe) in of 2.27 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (0.29).

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.'

• Looking at the ratio of annual return and downside deviation of 3.28 in the last 5 years of NASDAQ 100 Strategy, we see it is relatively higher, thus better in comparison to the benchmark SPY (0.5)
• Compared with SPY (0.4) in the period of the last 3 years, the ratio of annual return and downside deviation of 3.56 is greater, thus better.

Ulcer:

'Ulcer Index is a method for measuring investment risk that addresses the real concerns of investors, unlike the widely used standard deviation of return. UI is a measure of the depth and duration of drawdowns in prices from earlier highs. Using Ulcer Index instead of standard deviation can lead to very different conclusions about investment risk and risk-adjusted return, especially when evaluating strategies that seek to avoid major declines in portfolio value (market timing, dynamic asset allocation, hedge funds, etc.). The Ulcer Index was originally developed in 1987. Since then, it has been widely recognized and adopted by the investment community. According to Nelson Freeburg, editor of Formula Research, Ulcer Index is “perhaps the most fully realized statistical portrait of risk there is.'

• Compared with the benchmark SPY (8.52 ) in the period of the last 5 years, the Ulcer Index of 5 of NASDAQ 100 Strategy is lower, thus better.
• Compared with SPY (10 ) in the period of the last 3 years, the Ulcer Ratio of 5.15 is lower, thus better.

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.'

• Compared with the benchmark SPY (-33.7 days) in the period of the last 5 years, the maximum drop from peak to valley of -19.7 days of NASDAQ 100 Strategy is larger, thus better.
• Compared with SPY (-33.7 days) in the period of the last 3 years, the maximum reduction from previous high of -19.7 days is greater, thus better.

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'

• Compared with the benchmark SPY (235 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 264 days of NASDAQ 100 Strategy is higher, thus worse.
• During the last 3 years, the maximum days under water is 264 days, which is higher, thus worse than the value of 235 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 55 days, which is higher, thus worse compared to the benchmark SPY (55 days) in the same period.
• During the last 3 years, the average days under water is 63 days, which is higher, thus worse than the value of 59 days from the benchmark.