Description

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 (YTD)

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

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.'

Using this definition on our asset we see for example:
  • Compared with the benchmark QQQ (85.6%) in the period of the last 5 years, the total return, or performance of 186.5% of NASDAQ 100 Balanced unhedged is greater, thus better.
  • Looking at total return in of 104% in the period of the last 3 years, we see it is relatively larger, thus better in comparison to QQQ (44.2%).

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.'

Applying this definition to our asset in some examples:
  • Looking at the compounded annual growth rate (CAGR) of 23.4% in the last 5 years of NASDAQ 100 Balanced unhedged, we see it is relatively larger, thus better in comparison to the benchmark QQQ (13.2%)
  • Looking at annual performance (CAGR) in of 26.8% in the period of the last 3 years, we see it is relatively higher, thus better in comparison to QQQ (13%).

Volatility:

'In finance, volatility (symbol σ) is the degree of variation of a trading price series over time as measured by the standard deviation of logarithmic returns. Historic volatility measures a time series of past market prices. Implied volatility looks forward in time, being derived from the market price of a market-traded derivative (in particular, an option). Commonly, the higher the volatility, the riskier the security.'

Applying this definition to our asset in some examples:
  • The historical 30 days volatility over 5 years of NASDAQ 100 Balanced unhedged is 18.7%, which is lower, thus better compared to the benchmark QQQ (20.9%) in the same period.
  • During the last 3 years, the historical 30 days volatility is 20.7%, which is lower, thus better than the value of 23.4% 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.'

Using this definition on our asset we see for example:
  • Looking at the downside volatility of 13% in the last 5 years of NASDAQ 100 Balanced unhedged, we see it is relatively lower, thus better in comparison to the benchmark QQQ (15.2%)
  • Looking at downside deviation in of 14.6% in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to QQQ (17.2%).

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:
  • The ratio of return and volatility (Sharpe) over 5 years of NASDAQ 100 Balanced unhedged is 1.12, which is higher, thus better compared to the benchmark QQQ (0.51) in the same period.
  • During the last 3 years, the ratio of return and volatility (Sharpe) is 1.17, which is higher, thus better than the value of 0.45 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.'

Which means for our asset as example:
  • Compared with the benchmark QQQ (0.7) in the period of the last 5 years, the excess return divided by the downside deviation of 1.61 of NASDAQ 100 Balanced unhedged is greater, thus better.
  • During the last 3 years, the excess return divided by the downside deviation is 1.67, which is higher, thus better than the value of 0.61 from the benchmark.

Ulcer:

'The Ulcer Index is a technical indicator that measures downside risk, in terms of both the depth and duration of price declines. The index increases in value as the price moves farther away from a recent high and falls as the price rises to new highs. The indicator is usually calculated over a 14-day period, with the Ulcer Index showing the percentage drawdown a trader can expect from the high over that period. The greater the value of the Ulcer Index, the longer it takes for a stock to get back to the former high.'

Applying this definition to our asset in some examples:
  • Looking at the Ulcer Ratio of 4.49 in the last 5 years of NASDAQ 100 Balanced unhedged, we see it is relatively lower, thus better in comparison to the benchmark QQQ (5.75 )
  • Looking at Downside risk index in of 4.85 in the period of the last 3 years, we see it is relatively smaller, thus better in comparison to QQQ (6.23 ).

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.'

Which means for our asset as example:
  • Looking at the maximum DrawDown of -30.4 days in the last 5 years of NASDAQ 100 Balanced unhedged, we see it is relatively lower, thus worse in comparison to the benchmark QQQ (-28.6 days)
  • Compared with QQQ (-28.6 days) in the period of the last 3 years, the maximum reduction from previous high of -30.4 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). 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'

Applying this definition to our asset in some examples:
  • The maximum days below previous high over 5 years of NASDAQ 100 Balanced unhedged is 78 days, which is smaller, thus better compared to the benchmark QQQ (163 days) in the same period.
  • During the last 3 years, the maximum days below previous high is 68 days, which is smaller, thus better 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.'

Applying this definition to our asset in some examples:
  • The average time in days below previous high water mark over 5 years of NASDAQ 100 Balanced unhedged is 20 days, which is lower, thus better compared to the benchmark QQQ (35 days) in the same period.
  • Compared with QQQ (31 days) in the period of the last 3 years, the average days below previous high of 16 days is lower, thus better.

Performance (YTD)

Historical returns have been extended using synthetic data.

Allocations
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Allocations

Returns (%)

  • Note that yearly returns do not equal 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.