Description of NASDAQ 100 Balanced unhedged

The NASDAQ 100 is a sub- strategy that uses proprietary risk-adjusted momentum to pick the most appropriate 4 NASDAQ 100 stocks. It is part for the Nasdaq 100 hedged strategy where it is combined with a variable hedge.

Methodology & Assets

The model chooses four individual stocks from the NASDAQ 100 stock index. So depending on what stocks are in the NASDAQ 100, the stock rotation formula might include the new ones.

Statistics of NASDAQ 100 Balanced unhedged (YTD)

What do these metrics mean? [Read More] [Hide]

TotalReturn:

'Total return is the amount of value an investor earns from a security over a specific period, typically one year, when all distributions are reinvested. Total return is expressed as a percentage of the amount invested. For example, a total return of 20% means the security increased by 20% of its original value due to a price increase, distribution of dividends (if a stock), coupons (if a bond) or capital gains (if a fund). Total return is a strong measure of an investment’s overall performance.'

Applying this definition to our asset in some examples:
  • Looking at the total return of 448.5% in the last 5 years of NASDAQ 100 Balanced unhedged, we see it is relatively larger, thus better in comparison to the benchmark QQQ (110.5%)
  • During the last 3 years, the total return is 210.1%, which is greater, thus better than the value of 76.6% from the benchmark.

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.'

Using this definition on our asset we see for example:
  • Looking at the annual return (CAGR) of 40.6% in the last 5 years of NASDAQ 100 Balanced unhedged, we see it is relatively larger, thus better in comparison to the benchmark QQQ (16.1%)
  • Looking at annual return (CAGR) in of 45.9% in the period of the last 3 years, we see it is relatively greater, thus better in comparison to QQQ (20.9%).

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.'

Using this definition on our asset we see for example:
  • Looking at the historical 30 days volatility of 24.2% in the last 5 years of NASDAQ 100 Balanced unhedged, we see it is relatively higher, thus worse in comparison to the benchmark QQQ (17%)
  • Looking at 30 days standard deviation in of 23.9% in the period of the last 3 years, we see it is relatively larger, thus worse in comparison to QQQ (16.7%).

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.'

Using this definition on our asset we see for example:
  • Looking at the downside deviation of 26.6% in the last 5 years of NASDAQ 100 Balanced unhedged, we see it is relatively greater, thus worse in comparison to the benchmark QQQ (19.1%)
  • During the last 3 years, the downside deviation is 26.3%, which is larger, thus worse than the value of 19.2% from the benchmark.

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.'

Which means for our asset as example:
  • Compared with the benchmark QQQ (0.8) in the period of the last 5 years, the ratio of return and volatility (Sharpe) of 1.57 of NASDAQ 100 Balanced unhedged is higher, thus better.
  • Looking at Sharpe Ratio in of 1.82 in the period of the last 3 years, we see it is relatively greater, thus better in comparison to QQQ (1.1).

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.'

Which means for our asset as example:
  • Looking at the downside risk / excess return profile of 1.43 in the last 5 years of NASDAQ 100 Balanced unhedged, we see it is relatively larger, thus better in comparison to the benchmark QQQ (0.71)
  • Looking at downside risk / excess return profile in of 1.65 in the period of the last 3 years, we see it is relatively larger, thus better in comparison to QQQ (0.96).

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.'

Applying this definition to our asset in some examples:
  • Compared with the benchmark QQQ (4.98 ) in the period of the last 5 years, the Ulcer Index of 6.52 of NASDAQ 100 Balanced unhedged is larger, thus worse.
  • Looking at Ulcer Index in of 5.91 in the period of the last 3 years, we see it is relatively greater, thus worse in comparison to QQQ (4.89 ).

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.'

Using this definition on our asset we see for example:
  • Looking at the maximum reduction from previous high of -24 days in the last 5 years of NASDAQ 100 Balanced unhedged, we see it is relatively smaller, thus worse in comparison to the benchmark QQQ (-22.8 days)
  • During the last 3 years, the maximum reduction from previous high is -18.8 days, which is larger, thus better than the value of -22.8 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.'

Applying this definition to our asset in some examples:
  • The maximum days under water over 5 years of NASDAQ 100 Balanced unhedged is 160 days, which is smaller, thus better compared to the benchmark QQQ (163 days) in the same period.
  • During the last 3 years, the maximum time in days below previous high water mark is 160 days, which is larger, thus worse than the value of 154 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.'

Which means for our asset as example:
  • Looking at the average days below previous high of 33 days in the last 5 years of NASDAQ 100 Balanced unhedged, we see it is relatively lower, thus better in comparison to the benchmark QQQ (34 days)
  • Compared with QQQ (28 days) in the period of the last 3 years, the average time in days below previous high water mark of 32 days is higher, thus worse.

Performance of NASDAQ 100 Balanced unhedged (YTD)

Historical returns have been extended using synthetic data.

Allocations of NASDAQ 100 Balanced unhedged
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Allocations

Returns of NASDAQ 100 Balanced unhedged (%)

  • "Year" returns in the table above are not equal to the sum of monthly returns due to compounding.
  • Performance results of NASDAQ 100 Balanced unhedged are hypothetical, do not account for slippage, fees or taxes, and are based on backtesting, which has many inherent limitations, some of which are described in our Terms of Use.