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 (76.7%) in the period of the last 5 years, the total return of 251.9% of NASDAQ 100 Strategy is greater, thus better.
• Compared with SPY (48.3%) in the period of the last 3 years, the total return of 96.3% is higher, thus better.

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 (12.1%) in the period of the last 5 years, the annual performance (CAGR) of 28.6% of NASDAQ 100 Strategy is higher, thus better.
• During the last 3 years, the compounded annual growth rate (CAGR) is 25.2%, which is higher, thus better than the value of 14.1% 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 historical 30 days volatility over 5 years of NASDAQ 100 Strategy is 16.5%, which is larger, thus worse compared to the benchmark SPY (13.6%) in the same period.
• Compared with SPY (12.9%) in the period of the last 3 years, the 30 days standard deviation of 16.3% is larger, 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.'

• The downside deviation over 5 years of NASDAQ 100 Strategy is 18.2%, which is greater, thus worse compared to the benchmark SPY (14.9%) in the same period.
• Compared with SPY (14.6%) in the period of the last 3 years, the downside volatility of 18.1% is greater, thus worse.

Sharpe:

'The Sharpe ratio is the measure of risk-adjusted return of a financial portfolio. Sharpe ratio is a measure of excess portfolio return over the risk-free rate relative to its standard deviation. Normally, the 90-day Treasury bill rate is taken as the proxy for risk-free rate. A portfolio with a higher Sharpe ratio is considered superior relative to its peers. The measure was named after William F Sharpe, a Nobel laureate and professor of finance, emeritus at Stanford University.'

• Compared with the benchmark SPY (0.7) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 1.59 of NASDAQ 100 Strategy is greater, thus better.
• Compared with SPY (0.9) in the period of the last 3 years, the Sharpe Ratio of 1.39 is greater, 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.'

• Compared with the benchmark SPY (0.64) in the period of the last 5 years, the excess return divided by the downside deviation of 1.43 of NASDAQ 100 Strategy is larger, thus better.
• Looking at downside risk / excess return profile in of 1.26 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to SPY (0.79).

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 (3.99 ) in the period of the last 5 years, the Ulcer Ratio of 4.71 of NASDAQ 100 Strategy is larger, thus worse.
• Looking at Ulcer Index in of 4.71 in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (4.1 ).

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.'

• Looking at the maximum drop from peak to valley 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)
• Looking at maximum drop from peak to valley in of -12.4 days in the period of the last 3 years, we see it is relatively greater, thus better in comparison to SPY (-19.3 days).

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.'

• Compared with the benchmark SPY (187 days) in the period of the last 5 years, the maximum days below previous high of 276 days of NASDAQ 100 Strategy is larger, thus worse.
• Looking at maximum days below previous high in of 276 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to SPY (139 days).

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 54 days, which is greater, thus worse compared to the benchmark SPY (42 days) in the same period.
• Looking at average days under water in of 72 days in the period of the last 3 years, we see it is relatively higher, thus worse in comparison to SPY (36 days).