NASDAQ 100 Balanced Unhedged Sub-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 performance over 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy is 239.2%, which is greater, thus better compared to the benchmark QQQ (111.9%) in the same period.
• Compared with QQQ (116.3%) in the period of the last 3 years, the total return, or increase in value of 48.4% is lower, thus worse.

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 QQQ (16.3%) in the period of the last 5 years, the annual performance (CAGR) of 27.8% of NASDAQ 100 Balanced Unhedged Sub-strategy is higher, thus better.
• Looking at compounded annual growth rate (CAGR) in of 14.1% in the period of the last 3 years, we see it is relatively lower, thus worse in comparison to QQQ (29.5%).

Volatility:

'Volatility is a statistical measure of the dispersion of returns for a given security or market index. Volatility can either be measured by using the standard deviation or variance between returns from that same security or market index. Commonly, the higher the volatility, the riskier the security. In the securities markets, volatility is often associated with big swings in either direction. For example, when the stock market rises and falls more than one percent over a sustained period of time, it is called a 'volatile' market.'

• Looking at the historical 30 days volatility of 26.8% in the last 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy, we see it is relatively larger, thus worse in comparison to the benchmark QQQ (22.7%)
• Compared with QQQ (20.4%) in the period of the last 3 years, the 30 days standard deviation of 26.8% is greater, thus worse.

DownVol:

'The downside volatility is similar to the volatility, or standard deviation, but only takes losing/negative periods into account.'

• The downside risk over 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy is 17.6%, which is higher, thus worse compared to the benchmark QQQ (15.7%) in the same period.
• Looking at downside deviation in of 18.3% in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to QQQ (13.6%).

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.'

• The risk / return profile (Sharpe) over 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy is 0.95, which is greater, thus better compared to the benchmark QQQ (0.61) in the same period.
• Looking at Sharpe Ratio in of 0.43 in the period of the last 3 years, we see it is relatively smaller, thus worse in comparison to QQQ (1.32).

Sortino:

'The Sortino ratio, a variation of the Sharpe ratio only factors in the downside, or negative volatility, rather than the total volatility used in calculating the Sharpe ratio. The theory behind the Sortino variation is that upside volatility is a plus for the investment, and it, therefore, should not be included in the risk calculation. Therefore, the Sortino ratio takes upside volatility out of the equation and uses only the downside standard deviation in its calculation instead of the total standard deviation that is used in calculating the Sharpe ratio.'

• The ratio of annual return and downside deviation over 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy is 1.44, which is greater, thus better compared to the benchmark QQQ (0.88) in the same period.
• During the last 3 years, the excess return divided by the downside deviation is 0.64, which is lower, thus worse than the value of 1.99 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.'

• Looking at the Ulcer Ratio of 11 in the last 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy, we see it is relatively smaller, thus better in comparison to the benchmark QQQ (14 )
• Compared with QQQ (4.88 ) in the period of the last 3 years, the Ulcer Index of 13 is higher, thus worse.

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 -31.5 days in the last 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy, we see it is relatively higher, thus better in comparison to the benchmark QQQ (-35.1 days)
• Compared with QQQ (-22.8 days) in the period of the last 3 years, the maximum DrawDown of -31.5 days is lower, thus worse.

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 QQQ (493 days) in the period of the last 5 years, the maximum time in days below previous high water mark of 299 days of NASDAQ 100 Balanced Unhedged Sub-strategy is lower, thus better.
• Looking at maximum days under water in of 235 days in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to QQQ (85 days).

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.'

• The average days under water over 5 years of NASDAQ 100 Balanced Unhedged Sub-strategy is 80 days, which is smaller, thus better compared to the benchmark QQQ (122 days) in the same period.
• During the last 3 years, the average days under water is 66 days, which is larger, thus worse than the value of 24 days from the benchmark.